“学海拾珠”系列之二百四十八：如何在投资组合构建中纳入宏观冲击？

• The report introduces a framework to study the impact of macroeconomic variables such as economic growth and inflation on asset prices, using expected indicators, actual CPI inflation rates, and GDP growth rates to construct inflation shocks and growth shocks, and estimate the sensitivity (beta coefficients) of different risk factors/assets to these macroeconomic shocks[2][3][16] - The model employs a bivariate regression model to simultaneously estimate the sensitivity of an asset or factor to inflation and economic growth shocks, considering the potential correlation between inflation and economic growth[3][16] - The regression model used is: $r_{t+1}=c+\beta_{\pi}\pi_{t+1}^{s}+\beta_{g}g_{t+1}^{s}+\varepsilon_{t+1}$ where $\pi_{t+1}^{s}$ and $g_{t+1}^{s}$ represent unexpected inflation and unexpected economic growth, respectively: $\begin{array}{l} \pi_{t+1}^{s}=\pi_{t+1}-E_{t}\pi_{t+1} \\ g_{t+1}^{s}=g_{t+1}-E_{t}g_{t+1} \end{array}$ [16][17] - The data used includes actual GDP data from the US Bureau of Economic Analysis and CPI inflation data from the US Bureau of Labor Statistics, along with actual GDP growth and inflation expectations from the Survey of Professional Forecasters (SPF), covering the period from June 1970 to September 2023[18][21] - The report finds that most assets have positive growth beta coefficients, with exceptions like duration assets and gold, which help diversify growth risk in a portfolio. Traditional assets like stocks and fixed income generally have negative inflation beta coefficients, indicating poor performance in high inflation environments, while commodities and real bonds (inflation-linked bonds) can hedge against inflation risk[4][27][28] - The report also discusses how investors can use this framework to construct portfolios resilient to various macroeconomic environments by incorporating macroeconomic beta coefficients into portfolio construction[4][15][52] Model Backtesting Results - Short Rate: Growth Beta: 0.38, Inflation Beta: 0.52, Adj. R²: 0.39[25] - 10-year Nominal Yield: Growth Beta: 0.18, Inflation Beta: 0.32, Adj. R²: 0.31[25] - Nominal 30y-10y Slope: Growth Beta: -0.05, Inflation Beta: -0.05, Adj. R²: 0.19[25] - 10-year Real Yield: Growth Beta: 0.05, Inflation Beta: 0.04, Adj. R²: 0.03[25] - Equities: Growth Beta: 3.75, Inflation Beta: -1.99, Adj. R²: 0.24[25] - REITs: Growth Beta: 3.36, Inflation Beta: -0.89, Adj. R²: 0.13[25] - Credit Spread: Growth Beta: -0.15, Inflation Beta: 0.03, Adj. R²: 0.19[25] - Commodities: Growth Beta: 2.00, Inflation Beta: 7.62, Adj. R²: 0.37[25] - Gold: Growth Beta: -1.78, Inflation Beta: 5.84, Adj. R²: 0.23[25] Factor Construction and Evaluation - Growth Beta: Constructed by regressing asset returns on unexpected economic growth, calculated as the difference between actual GDP growth and expected GDP growth[16][17] - Inflation Beta: Constructed by regressing asset returns on unexpected inflation, calculated as the difference between actual CPI inflation and expected CPI inflation[16][17] - Evaluation: The model shows that unexpected macroeconomic shocks significantly impact asset returns, with different assets exhibiting varying sensitivities to growth and inflation shocks. This highlights the importance of considering these sensitivities in portfolio construction to enhance resilience against macroeconomic fluctuations[4][27][28]