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1、目录2018年回顾：低回报，高波动42019年展望之增长：等待戈多7全球增长：继续分化？还是同步放缓？ 7中国经济：早周期还是晚周期？亦或是经济转型的迷茫期？ 7企业盈利：来自增长的考验92019年展望之波动：回归常态11利率周期与波动率11经济周期与波动率12股票资产波动率归来132019年大类资产配箝建议：先御险，待驭险14债券：利率下行，但空间变小14股票：未来12个月可能正HI报16另类和海外：分散风险的重要性19配谿策略：分散化、确定性、灵活性 20两个主题22主题之一：再谈黄金的配谿价值22主题之二：Risk on 与 Risk off24图表图表1：年初以来全球大类资产表现和波动
2、区间（以本币计价）5图表2:全球大类资产表现汇总表（以本币计价）5图表3: 2018年回顾：债强股弱，商品居中6图表4:年初以来以人民币计价的资产表现排序：房地产利率债信用债海外资产黄金商品港股A股6图表5:相比去年的低波动，今年股债资产的波动率更接近过去五年的常态6图表6:年初以来的资产表现表达出投资者较低的风险偏好 6图表7:分散配络凸显价值6图表8:波动率归来，回报率凸显避险模式6图表9:全球主要经济体从2017年到2018年，从同步复苏走向分化7图表10:从彭博一致预期来看，2019年美国、欧元区和中国经济增长将从分化走向同步放缓7图表11: 10月份中国制造业PMI降至50.2%,内
3、外需均乏力 8图表12:中金宏观组认为基准情形下中国经济先抑后扬，变数在于中美贸易摩擦的演进和中国政策8图表13:增长下行，通胀上行，“滞胀”忧虑再起，然而比这一状态更值得担忧是走向增长和通胀的双放缓 9图表14: “政策底”正在酝酿9图表15: A股上市公司三季度盈利增速明显放缓10图表16:对于今年和明年盈利的一致预期还需下调10图表17:随着明年经济增速的放缓，企业收入增速还将继续放缓10图表18:企业的净利率处于历史较高水平，净利率收缩的压力也将传导至企业盈利增速和ROE上10图表19:美国联邦基金利率对美国标普500指数的隐含波动率有前珞两年的领先效果11图表20:美国标普500指数
4、在历次加息周期时的表现11图表21:美国1914年以来加息周期超过2.5年期间标普500指数表现11图表22:美国1914年以来加息周期不到2.5年期间标普500指数表现11图表23:加息周期越长，股票资产波动率到了加息后期就越大122019年展望之波动：回归常态利率周期与波动率随着全球流动性边际收紧，股票资产的波动率趋势上行。比照美国联邦基金利率和美国 标普500指数的隐含疲动窣，如图表19所示，利率对疲动率有前辂两年的领先效果，也 就是说始于2015年底的加息在今年年初反映在资产的波动率中。美国还处在加息周期之 中，由此往后看，美股的波动率短期或有反复，但中长期可能趋势性向上。分析美国19
5、14年以来每次加息周期对应的标普500中鼬的波动率特征，可以颗加息周 期持续时间越长，股票资产波动率到了加息后期就显著提升。如图表20-23所示，在美 联储加息的前期和中期，股票资产往往是上涨的。不过随着加息周期持续时间越长，到 了加息后期股票资产的波动率会更高。观察美国历史上的14次加息周期（如图表20的 阴影局部所示，不包括2015年底开启的最近一次），其中有9次加息后期（最后90天） 的波动率显著上升，而持续时间超过三年的三次加息周期（19631966、1976-1980 2004-2007）,股票资产最后90天波动率都显著高于区间整体水平。图表19.美国联邦基金利率对美国标普500指数
6、的隐含波图表20:美国标普500指数在历次加息周期时的表现动率有前路两年的领先效果（%）美国联邦基金利率（前辂两年,LHS）一标普500指数隐含波动率VIX（90DMA）(%)2018161412106 .o 20.o o5.S1 1.OQ Q2.LO.4 2 00Ee 8Tue 9I,ue 寸Tue owe 80,ue 99UX zo，ue09UW 86，ue 96,ue b6，uw Z6,ue 06，ueX,ON6E0NbEON60，ON bo，ON 66，ON =6，ON 6?ON 寸 8，ON 6Z，ON N，0N 69，ON t?9，0N 6S，ON bs.AON 670N qON
7、6m，ON bm，ON18.507.506.505.504.503.502.501.50费料来源：Bloomberg,图表21:美国年以来加息周期超过25年期间标普500指数表现费料来源：Bloomberg,图表21:美国年以来加息周期超过25年期间标普500指数表现贡料来源：Bloomberg,图表22:美国1914年以来加息周期不到2,5年期间标普500指数表现160160150140120130901001102015-1963-196613012512011511010510095901851651999-20011994-19951983-19841972-19741967-1970
8、1958-19601451251980-19811927-1929 (RHS)（加息周期超过两年半）6?d4 6Tq LL. -8E38E3O 8工nq 8T，un 8Tq L 卜Ea Z-EJO Env ZI，un T-T,q出 9T30 9194 9Tun 9TB 9Tq d ST。* 80 ZTUn wqaLL. 9E3Q 9ZO 9工n 9T，un 91dv 9Tq LL.5 o8 8（加息周期不到两年半）858?d 8Tq LZEaNEJO45资料来源：Bloomberg,资料来源：Bloomberg,资料来源：Bloomberg,A. that it was whatB. what
9、 it was thatC. whatwas it thatD. that was it what2. He let out an，Icry, we ve won!A. excited exciteB. excitingD. excitesC.3. -Is football Johns favourite sport?-Yes. football, baseball is his greatest love.A. Near toB. ExceptC.BesideD. Next toDo you think regular exercise good health?A. benefit from
10、B. reach forC. makeforD. go for4. Have you applied Mr Black thepost? Its worth a try.A. for; toB. with; forC.with; aboutD. to; forA. As; put With; rely5. the loud noise going on in the workshop, I can hardly on my lessons.C.B. As; concentrateDe With; concentrate6. , r ve never seen anyone whos as ca
11、pable as Kate.B. Now that IA. As long as I have travelled have travelled so muchC. As I have travelled muchC. As I have travelled muchD. Much as Ihavetravelled7. The big fire lasted as long as 24 hours it was brought under control.A. aftersinceB. beforeD. while8. The discovery of new evidence led to
12、A. caughtA. caughtthe thief having been caughtB. the thief to beD. theC. catch the thiefthief being caught9. -Would you have helped her had it been possible?一一Yes, but I busy with my work.A. wasB. had beenC. havebeenD. am on the small island, the tower has beenseriously damaged by the sea water?A. B
13、eing lainB. LainC. BeinglocatedD. Located10. In this workshop, the output of July was three times of January.A. thatB. thisC.oneD. it-Well, where did you spend your night that day?一At .A. where it is called Grand Hotel B. what is called Grand HotelC. which is called Grand HotelD. that is calledGrand
14、 HotelThe thief was brought in, his hands behindhis back.A. tyingB. tiedC. beingtiedD. having tied11. The journey around the world took the old sailor nine months, the sailing time was 226 days.A. of whichB. during which C. fromwhichD. for which12. She stood on a brick to make herselfa bittaller.A.
15、lookingB. lookedC. tolookD. look13. Did your speech the audience?A. get through toB. get across toC. getthrough D. get across14. A Dus unique voice especially to young peopleA. attractsB. drawsC.catchesD. appealsThe old woman stood still with her eyes thepicture.A. fixing inB. fixing onC. fixedin D.
16、 fixed upon15. I feel it is you who for the accident.A. is to blame B. is to be blamed C. are to blame D. are to be blamed-Have you seen the film?-Yes. I it three times when I was in Tokyo.A. sawBe had seenC. haveseenD. was seeing16. The thief was caught his hand into the pocketof a passenger.A. to
17、putB. to be putting C.puttingD. put17. So many students for the traffic jam, the exam had to be put off.A. were lateB. been lateC. has beenlate D. being late18. Seeing her father come back, .A. tears ran down her cheeksB. Her tears ranoutC. she burst into tearsD. Sheburst into crying19. Columbus is
18、known for the great discovery a new land-America.A. making upB. making intoC. makefromD. made of20. This photo was taken stands the Eiffel Tower.A. in whichB. in the place whichC.whereD. which27. With his money, he couldn5 t go home.C. runA. leavingB. missedoutD. running out28. Itsgreat fun to talk
19、with you.anA. aB. theC. /D.29. her.I admit that she has shortcomings, Istill likeA. WhenB. AsC. WhileD. Oncebig changesin the way30. The Internet has brought we work.A. about backB. outC. upD.31. New technology is being process.almost everyindustrialA. applied forofD. applied toB. applied inC. appli
20、ed32. 一Whos the man talking to our teacher?A professora visit to our school.A. paysB. is payingC. haspaidD. paying33. Our bodies are strengthened by taking exercise, our minds are developed by learning.A. Probably SimilarlyB. LikelyD. GenerallyC.34. I bank.some English when I was working in a foreig
21、nA. frompicked outB.picked upC. pickedD. picked at35. r m sure all willgo well asA. being plannedB. to be plannedC.planningD. planned36. -Areyou afraid of rats?A. Yes, a littlebut not a bitB. No, notC. Yes,not inthenever leastD. No,37 again.I think the Englishsong isworthA.very; listening tolistenin
22、g toD. well;B. very; listening listeningC. well;38. The students carrying books come in first,?A. dont youB. dont theyC. willtheyD. will you39. and we will complete the task sent to us.A. Another hour B. An hour laterC. After anhourD. In an hour40. My watch five minutes a day, so I have to setit bac
23、k.A. wins losesB. getsD. gainsC.答案：BADCD DDBDA DABBA DBDDC ACDCD CDCCA DDCBD DCDADshe felt sick inshe felt sick in1. They hadnt been out for longthe stomach.A. asB. whenC.whileD. thoughThe work should be given toyou think canfinish it ahead of time.A. whoB. whomC. whoever D.whomever3.to theThe shop
24、owner will customers today.get all these goods orderedA.to deliverB.deliveringC. deliverD.delivered4. Can you pictures?the differences between the twoA. speaktellD. sayB. talkC.5.to beIf you keep practicing your son in football, he a football player.A.wantsB. hopesC.wishesD.promises6. _ drawing.sing
25、er anddanceris alsogood atA. The;aD. The;B. The; theC.A;7. _ car out.thefact that there wasthickfog, hedrove hisA. spiteAlthoughB. No matterC. DespiteD. In8.MarysMary smiledher mother did when she wasage.A. as ifB. whatC. theway D. that9. In such dry weather, the flower will have to be watered if th
26、ey.A. have survived B. are to survive C. would survive D. will survive10. You should make it a rule to leave things you can find them again easily.A. whenB. whereC.thatD. in the placeThe cloth fine, but well.A. looks; doesnt washB. looks;isnt washedC. is looked; doesn, t washD. is looked;isnt washed
27、11. The theory that he stuck true.A. to proveB. provedC. toprovedD. to proving12. I from the crowed an old friend of mine whom Ihadn, t seen for 10 years.图表23:加息周期越长，股票资产波动率到了加息后期就越大资料来源：Bloomberg,经济周期与波动率经济周期不仅与资产的回报率有关，也与波动率有关，经济衰退期股票资产波动率较高。根据投资时钟理论，可以从增长和通胀的维度将经济周期划分为四个阶段，在不同阶段大类资 产的表现排序有所不同，例如在
28、复苏期股票资产表现最好，过热期大宗商品表现最好，滞胀期现金为王，衰退期债券最优。这反映的是经济周期对金融周期的映射，构 造了一幅经济周期映射下的大类资产轮动的经典模式。实际上，在经济周期的不同阶段， 大类资产的波动率也有不同的特征，Hamilton and Lin (1996)，的研究发现在经济衰退时 期股票资产的波动率显著大于经济景气时期。我们参考NBER6对美国经济周期的划分，把1857年以来的时间区间划分为衰退期和扩张 期，并把扩张期等分为前、中、后三段，来看每个阶段股票、债券、黄金和原油的回报 率和波动率的特征。我们用标普500指数指代股票，十年期国债到期收益率的倒数指代 债券价格指数
29、，债券的回报率由价格变动和票息收益两局部组成，使用月度数据计算， 数据起于1871年，黄金和原油的月度数据分别起于1968年和1982年。从回报率来看：在衰退期，股票负回报，在四个时间区间中表现最差；债券正回报，在四 个时间区间中表现最好。在扩张期，股票的回报率在前、中、后三段中依次递减，债券 也表现出同样的特征，而且在中后段价格变动为负，叠加票息收益后的回报率为勉 强转正。从波动率来看，股票的波动率在衰退期最高，在扩张期的前段次高，在扩张期的中后 段最低，在这两个阶段之间差异度不大；债券的波动率在衰退期、扩张期的前、中、 后段依次递减。从配谿的性价比来看，配谿股票的性价比在衰退期最低，在扩张
30、期的前段和中段都较 高；配谿债券的性价比在衰退期最高，在扩张期的前、中、后段依次递减。而在扩 张期的后段，配珞黄金的性价比最高。 最近的一次扩张期起于2009年7月，至今已经113个月了，仅次于1991-2001期间 的120个月。结合对美国经济增长放缓的预期，当前可能是处于扩张期的中后段了。,Hamilton, J.D., and Lin, G. 1996. Stock market volatility and the business cycle. Journal of Applied Econometrics6 A. figured out B. picked out C. gave
31、outDwent out-Who gave you this message?-A man himself Mr Zhang.A. calledB. callsC. iscalledD. calling14. The police got to was once an old yardthat the workers used as a store.A. whatB. whereC.thatD. whichThe door . Better have it repaired.A. isn t shutB. hasnt been shutC. won t beshutD. won t shut1
32、5. If you want to see a doctor, youd better make an appointment with him. This is a common in the USA.A. senseB. practiceC.habitD. attitudeYou can come to the dance you dress.A. whateverB. whicheverC.whetherD. howeverowner sitting in it.16. We got near a garden,A. its thatA. its thatB. whoseD. which
33、C.20. They lost their way in the matters worse was that night beganforest and to fall.madeA. it whatA. it whatD. whichB.thatC.21. If the horse won today, it30 races in fiveyears.wonA. would have wonD. has wonB. wonC. must have22. It isgenerally believed that teaching isit isa science.a science.A. as
34、 art much asmuch asB. much anD. as much an art asart asC. as an art23. Mr Black, strict teacher.23. Mr Black, strict teacher.who weall admire, is a kind butA. the oneitD. asA. the oneitD. asB. oneC.24. The fine day time in the country.our pleasure, we had a goodA. added uptoD. added toB. added inC.
35、added up25. -Do you knowEnglish for 辣妹？-r m afraid not. Im not interested in English language.A. the; thetheD. /; /B. the; /C. /;26. I read about it in some book or other. Does it matter it was?A. where howD. whichB. whatC.27. You are Isaying that disagree.everyone should beequal, and this isA. why
36、whatB. whereC.D. how28. -Did Jack come backearly last night?he arrived-Yes, it was not yet eight o clock home.A. before thatD. untilB. whenC.29. Understanding the cultural habits of another nation,especially containing as many different subcultures as the united states, is very difficult.A. oneB. th
37、atC.someD. the oneThe noise of the machine can be heard in ourclassroom.A. fixedB. to be fixedC. beingfixedD. having been fixed30. There is what the weather will be like tomorrow.A. no knowingB. not knownC. notknowingD. no known31. Words me when I wanted to express my thanksto him for having saved m
38、y son from the burning house.A. leftB. discouragedC.disappointedD. failed32. Her sister has become a lawyer,she wants to be.A. whichB. whoC.whatD. that33. It is often said that teachers have very easy life.A. the; aB. /; /C. /;aD. the; /34. This girl is Lindas cousin.A. pretty little SpanishB. Spani
39、shlittle prettyC. Spanish pretty littleD. littlepretty Spanish35. -You know, Bob is a little slow understanding, so一一So I have to be patient him.A. in; to withD. at; forB. on; withC. in;37. I really cant understand37. I really cant understandher like that.A. you treatB. you to treatC. whytreatD. you
40、 treating38. I send you 100 dollars today, the restin ayear.A. followfollowsB. followedD. being followedC. to39.in the mountains fora week, the two studentswere finally saved by the local police.A. Having lostB. LostC. BeinglostD. Losing40. The manager,it clear to us that he didn t agree with us, le
41、ft the meeting room.A. who has madeB. having made C. mademaking答案：BCDAD DCCBB ACBDA DBDAC ADBDA DBBAC ADACA CDCBB图表24:参考NBER对美国经济周期的划分，我们把1871 年以来的时间区间划分为衰退期、扩张期前中后三段图表25:经济衰退期和扩张期的大类资产回报率、波动率 和配路性价比的特征资料来源：NBER, Bloomberg,CycleReturnSTD r/stdR-quity -8.9% 20.6% -0.43Bond7.8%13.4%0.58Gold14.5%26.8%0
42、.54Oil-10.3%50.2%-0.21CycleReturnSTD r/stdquity 13.7% 16.4% 0.83Bond4.9%13.0% 0.381 Gold-0.8%15.9% -0.05Oil2.4%21.6% 0.11CycleReturn STD r/stdquity 10.3% 12.6% 0.82BondGoldOilCycleReturn STD r/stdquity 5.1% 12.7% 0.403.8% 11.7% 0329.1% 143% 0.632.9% 31.6% 0.09资料来源：NBER, Bloomberg,Bond 1.1% 10.7% 0.1
43、0Gold 10.8% 22.2%0.49Oil9.1% 32.8% 0.28股票资产波动率归来2018年主要股票市场的波动率相比2017年的十年低位有显著提升。2017年全球股市波 动率降至历史低位，A股波动率更是降至2002年以来的最低值，降幅在全球股市中最大。低 波动率显示了在全球经济同步复苏背景下全球股市同步上涨的态势，也反映了市场一 致预期从分化走向趋同。然而静极思动，今年2月初以来，随着美国股票市场波动率骤 起，并传导至全球。波动率归来，投资股票需要承当更大的风险。那么基于前文对利率周期与波动率的关系、经 济周期与波动率的关系的探讨，随着明年美国经济增速的放缓、加息步伐的推进，美股
44、 波动率上行是大概率事件，我们可能会看到更多的类似于今年2月初、10月初的调整， 调整之后能否重拾升势那么取决于基本面状况，也就是说对盈利状况的依赖度更高。而且 这一波动也会像今年年初一样，传导至全球主要股票市场，在高波动下，投资股票需要 承当更大的风险，因此需要防范组合的风险敞口被动增加。图表26:4股与美股的波动率有很强的相关性图表27:2018年主耍股票市场的波动率相比2017年的十 年低位有显著提升全球主要股票指数波动率2007-2018 2018。201735%30%25%20%15%10%5%0%掾色器壬氐W 匏如画6 瓯警奈 展幕M爱 y2Mikm 量长Y 领H林 的更固 国就 姿1E水源 因生想公 假福资料来源：万得资讯，Bloomberg,30D波动率资料来源：万得资讯，Bloomberg,2019年大类资产配路建议：先御险，待驭险债券：利率下行，但空间变小今年年初以来，债券收益率普遍下行，当前国债各期限利率均处于历史中值附近（图表 28、29）： 1）短端利率下行幅度更大，下降幅度可比较14/15年，期限利差扩大，债券 收益率曲线陡峭化；2）信用利差收窄，不过高评级债和高收益率的利差在扩大，反映出 信用利差的分化；3）当前国债各期限的利率都在07年以来的历史中值附近，其中长端 和短端