資金管理與策略測試

資金管理與策略測試第1頁/共38頁-2-古代世界地圖Source:第2頁/共38頁-3-當(dāng)代世界地圖Source:第3頁/共38頁-4-未來世界地圖Source:第4頁/共38頁-5-約瑟夫?熊彼特的三周期嵌套模式第5頁/共38頁-6-長期有多長？第6頁/共38頁-7-十年經(jīng)濟周期(朱格拉周期)-4-202468101960196519701975198019851990199520002005USREALGDP(%YOY)NADJTenyearcyclelowsSource:ThomsonDatastream第7頁/共38頁-8-道瓊斯工業(yè)指數(shù):十年周期模式1900-1999709011013015017019021001234567910Year8第8頁/共38頁-9-四年市場周期正好與美國大選周期重疊Source:ThomsonDatastream第9頁/共38頁-10-大選周期：每年的經(jīng)濟表現(xiàn)10100100010000100000ThirdYearElectionYearHoneymoonPeriodRealityAttackRunuptonextelectionHoneymoonPeriodRealityAttackThirdYearElectionYearHoneymoonPeriodRealityAttackTrendismoreimportantthanlevelDatabasedondowindustrials(Monthlydata1900-2006)

第10頁/共38頁-11-歷史上月平均股市回報FTSEAllShareAverage%gainsbymonth(1962-2005)3.090.900.792.59-0.37-0.69-0.250.73-0.690.160.601.64-1.00-0.500.000.501.001.502.002.503.003.50JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGainNikkei225Average%gainbymonth(1960-2005)1.030.770.24-1.16-0.46-0.870.69-0.041.191.690.703.03-1.50-1.00-0.500.000.501.001.502.002.503.003.50JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctober

November

DecemberPercentageGain1.380.910.81-0.750.10-0.070.120.121.220.600.021.66-1.00-0.500.000.501.001.502.00JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGainS&P500Average%gainbymonth(1964-2005)2.321.24-0.40-1.530.500.84-0.330.73-0.040.330.821.71-2.00-1.50-1.00-0.500.000.501.001.502.002.503.00JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctoberNovemberDecemberPercentageGainS&P/TSXCompositeAverage%gainbymonth(1969-2005)第11頁/共38頁-12-著名的鐘形曲線，與另外兩種不同的特性相結(jié)合第12頁/共38頁-13-選出真實的市場Source:Themisbehaviourofmarkets,BernoitMandelbrot第13頁/共38頁-14-道瓊斯工業(yè)指數(shù)：1960-19804005006007008009001000110019601962196419661968197019721974197619781980DowJonesIndustrial1960-1980200DMovingAverage第14頁/共38頁-15-道瓊斯工業(yè)指數(shù)1966-1982:90天美國商業(yè)票據(jù)200天移動平均值第15頁/共38頁-16-人口金字塔模型-600-400-2000200400600RapidGrowth

-6-4-20246SlowGrowth

-6-4-20246ZeroGrowth

-6-4-20246NegativeGrowth

第16頁/共38頁-17-印度人口結(jié)構(gòu):2000,2025和205055-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-90-460-6465-6970-7475-7980+10050050100Millions2000MaleFemale80+75-7970-7465-6960-640-45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-5910050050100Millions2025MaleFemale55-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-90-460-6465-6970-7475-7980+10050050100Millions2050MaleFemale第17頁/共38頁-18-嬰兒潮一代在美國人口金字塔當(dāng)中的位置:1960-202080+75-7970-7465-6960-640-45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions1960MaleFemale

80+75-7970-7465-6960-640-45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions1980MaleFemale

80+75-7970-7465-6960-640-45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions2000MaleFemale

80+75-7970-7465-6960-640-45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions2020MaleFemale

BabyBoomCohortBabyBoom"Echo"第18頁/共38頁-19-英國人口結(jié)構(gòu)：2000,2025和205055-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-90-460-6465-6970-7475-7980+531135Millions2000MaleFemale80+75-7970-7465-6960-640-45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59531135Millions2025MaleFemale55-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-90-460-6465-6970-7475-7980+531135Millions2050MaleFemale第19頁/共38頁ABCDEWXYZ=Abcdewxyabcdewxyabcdeabcdexyzabcde標(biāo)準(zhǔn)路線圖20第20頁/共38頁ABCDEWXYZ=A被現(xiàn)實向下趨勢扭曲的標(biāo)準(zhǔn)路線圖21第21頁/共38頁ABCDEWXYZ=A被現(xiàn)實向上趨勢扭曲的標(biāo)準(zhǔn)路線圖22第22頁/共38頁-23-標(biāo)普500指數(shù)Source:ThomsonDatastream第23頁/共38頁-24-富時100指數(shù)

Source:ThomsonDatastream第24頁/共38頁-25-日經(jīng)225指數(shù)Source:ThomsonDatastream第25頁/共38頁-26-德國DAX30指數(shù)Source:ThomsonDatastream第26頁/共38頁-27-希臘Athex綜合指數(shù)Source:ThomsonDatastream第27頁/共38頁-28-印度Sensex30指數(shù)Source:ThomsonDatastream第28頁/共38頁-29-中國滬指Source:ThomsonDatastream第29頁/共38頁-30-巴西Bovespa指數(shù)Source:ThomsonDatastream第30頁/共38頁-31-黃金價格Source:ThomsonDatastream第31頁/共38頁-32-貿(mào)易加權(quán)美元Source:ThomsonDatastream第32頁/共38頁-33-歐元/美元Source:ThomsonDatastream第33頁/共38頁-34-英鎊/美元Source:ThomsonDatastream第34頁/共38頁-35-美國30年期國債收益Source:ThomsonDatastream第35頁/共38頁-36-免責(zé)聲明ThisdocumentisissuedbyCazenoveCapitalManagementLimited(CazenoveCapital),afirmauthorisedandregulatedbytheFinancialServicesAuthority.Nothinginthisdocumentshouldbedeemedtoconstitutetheprovisionoffinancial,investmentorotherprofessionaladviceinanyway.Pastperformanceisnotnecessarilyaguidetofutureperformance.Valuesmayfallaswellasriseandyoumaynotgetbacktheamountyouinvested.Incomefrominvestmentsmayfluctuate.Changesinratesofexchangemayhaveanadverseeffectonthevalue,priceorincomeofinvestments.Youshouldbeawareoftheadditionalrisksassociatedwithinvestmentinemerginganddevelopingmarkets.UnregulatedcollectiveinvestmentschemesoperatedinoffshorecentresareunlikelytoofferalevelofinvestorprotectionequivalenttotheUK.Suchschemesmaydealinfrequentlyandmaylimitredemptions.Someoftheinvestmentswemaymakeonyourbehalfcouldbeininvestmentcompanieswhichusegearingasastrategyorinvestinotherinvestmentcompanieswhichusegearing,suchasinvestmenttrusts.Thestrategywhichtheissuerofsuchsecuritiesusesorproposestousemayresultinmovementsinthepriceofthesecuritiesbeingmorevolatilethanthemovementsinthepriceofunderlyinginvestments.Theinvestmentmaybesubjecttosuddenandlargefallsinvalueandyoumaygetbacknothingatallifthereisasufficientlylargefall.Wherereferenceismadetostructuredcapitalatriskproductsthesearenormallyrequiredtobeheldforthefulltermtopreservetheprotectedcapitalvalue,thereturnatmaturityoverandabovetheprotectedcapitalvaluedependsontheperformanceofthecorrespondingmarketindexandfees,andthereisanexposuretothecreditworthinessoftheissuerforboththeprotectedcapitalvalueandthereturnoverandabovetheprotectedcapitalvalue.Itispossibletoselltheproductduringtheterm,butifitissoldbeforematurit