资金管理与策略测试

1、图解市场罗宾 格里芬Registered Office 12 Moorgate London EC2R 6DA Registered in England No 3017060 Authorised and regulated by the Financial Services AuthorityCazenove Capital Management Limited provides independent advice- 1 -古代世界地图- 2 -当代世界地图- 3 -未来世界地图- 4 -约瑟夫 熊彼特的三周期嵌套模式- 5 -长期有多长？- 6 -十年经济周期 (朱格拉周期)-4-20

2、2468101960196519701975198019851990199520002005US REAL GDP (%YOY) NADJTen year cycle lowsSource: Thomson Datastream- 7 -道琼斯工业指数: 十年周期模式1900 - 1999709011013015017019021001234567910Year8- 8 -四年市场周期正好与美国大选周期重叠Source: Thomson Datastream- 9 -大选周期：每年的经济表现10100100010000100000Third YearElection YearHoneymoon

3、 PeriodReality AttackRun up to next election Honeymoon PeriodReality AttackThird YearElection YearHoneymoon PeriodReality AttackTrend is more important than levelData based on dow industrials(Monthly data 1900-2006) - 10 -历史上月平均股市回报FTSE All Share Average % gains by month(1962-2005)3.090.900.792.59-0

4、.37-0.69-0.250.73-0.690.160.601.64-1.00-0.500.000.501.001.502.002.503.003.50JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctober November DecemberPercentage GainNikkei 225 Average % gain by month (1960-2005) 1.030.770.24-1.16-0.46-0.870.69-0.041.191.690.703.03-1.50-1.00-0.500.000.501.001.502.0

5、02.503.003.50JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctober November DecemberPercentage Gain1.380.910.81-0.750.10-0.070.120.121.220.600.021.66-1.00-0.500.000.501.001.502.00JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctober November DecemberPercentage GainS&P 500 Average % gai

6、n by month (1964-2005)2.321.24-0.40-1.530.500.84-0.330.73-0.040.330.821.71-2.00-1.50-1.00-0.500.000.501.001.502.002.503.00JanuaryFebruaryMarchAprilMayJuneJulyAugustSeptemberOctober November DecemberPercentage GainS&P/TSX Composite Average % gain by month (1969-2005) - 11 -著名的钟形曲线，与另外两种不同的特性相结合-

7、12 -选出真实的市场Source: The misbehaviour of markets, Bernoit Mandelbrot- 13 -道琼斯工业指数：1960 - 1980400500600700800900100011001960196219641966 19681970197219741976 19781980Dow Jones Industrial 1960-1980200D Moving Average- 14 -道琼斯工业指数 1966-1982: 90天美国商业票据200天移动平均值- 15 -人口金字塔模型-600-400-2000200400600Rapid Grow

8、th -6-4-20246Slow Growth -6-4-20246Zero Growth -6-4-20246Negative Growth - 16 -印度人口结构: 2000, 2025 和 205055-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-9 0 -460-6465-6970-7475-7980+10050050100Millions2000MaleFemale80+75-7970-7465-6960-64 0 -45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-591

9、0050050100Millions2025MaleFemale55-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-9 0 -460-6465-6970-7475-7980+10050050100Millions2050MaleFemale- 17 -婴儿潮一代在美国人口金字塔当中的位置: 1960 - 202080+75-7970-7465-6960-64 0 -45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions1960MaleFemale 80+7

10、5-7970-7465-6960-64 0 -45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions1980MaleFemale 80+75-7970-7465-6960-64 0 -45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59201001020Millions2000MaleFemale 80+75-7970-7465-6960-64 0 -45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455

11、-59201001020Millions2020MaleFemale Baby Boom CohortBaby Boom Echo- 18 -英国人口结构：2000, 2025 和 205055-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-9 0 -460-6465-6970-7475-7980+531135Millions2000MaleFemale80+75-7970-7465-6960-64 0 -45-910-1415-1920-2425-2930-3435-3940-4445-4950-5455-59531135Millions2

12、025MaleFemale55-5950-5445-4940-4435-3930-3425-2920-2415-1910-145-9 0 -460-6465-6970-7475-7980+531135Millions2050MaleFemaleABCDEWXYZ=Abcdewxyabcdewxyabcdeabcdexyzabcde标准路线图19ABCDEWXYZ=A被现实向下趋势扭曲的标准路线图20ABCDEWXYZ=A被现实向上趋势扭曲的标准路线图21- 22 -标普500指数Source: Thomson Datastream- 23 -富时100指数 Source: Thomson Da

13、tastream- 24 -日经225指数Source: Thomson Datastream- 25 -德国DAX 30指数Source: Thomson Datastream- 26 -希腊Athex综合指数Source: Thomson Datastream- 27 -印度Sensex 30指数Source: Thomson Datastream- 28 -中国沪指Source: Thomson Datastream- 29 -巴西Bovespa指数Source: Thomson Datastream- 30 -黄金价格Source: Thomson Datastream- 31 -贸易

14、加权美元Source: Thomson Datastream- 32 -欧元/美元Source: Thomson Datastream- 33 -英镑/美元Source: Thomson Datastream- 34 -美国30年期国债收益Source: Thomson Datastream- 35 -免责声明This document is issued by Cazenove Capital Management Limited (Cazenove Capital), a firm authorised and regulated by the Financial Services Aut

15、hority. Nothing in this document should be deemed to constitute the provision of financial, investment or other professional advice in any way. Past performance is not necessarily a guide to future performance. Values may fall as well as rise and you may not get back the amount you invested. Income

16、from investments may fluctuate. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. You should be aware of the additional risks associated with investment in emerging and developing markets. Unregulated collective investment schemes operated in offsh

17、ore centres are unlikely to offer a level of investor protection equivalent to the UK. Such schemes may deal infrequently and may limit redemptions. Some of the investments we may make on your behalf could be in investment companies which use gearing as a strategy or invest in other investment compa

18、nies which use gearing, such as investment trusts. The strategy which the issuer of such securities uses or proposes to use may result in movements in the price of the securities being more volatile than the movements in the price of underlying investments. The investment may be subject to sudden an

19、d large falls in value and you may get back nothing at all if there is a sufficiently large fall.Where reference is made to structured capital at risk products these are normally required to be held for the full term to preserve the protected capital value, the return at maturity over and above the

20、protected capital value depends on the performance of the corresponding market index and fees, and there is an exposure to the creditworthiness of the issuer for both the protected capital value and the return over and above the protected capital value. It is possible to sell the product during the term, but if it is sold before maturity the proceeds of the sale may be less than th