Optimization of Asset Allocation Strategies in Major Categories—Theories, Indicators, Assets and Timing

Abstract

Due to the defects of Merrill Lynch Clock, this paper aims to put forward Pringle Clock for theoretical improvement. In addition, strategic optimization for Pringle from perspectives including indicators, assets and timing is made, and finally its effectiveness in domestic market is tested. The results show as follows. 1) Stages of the Pringle cycle divided by three indexes (leading, consistent and lagging) can accurately grasp allocation opportunities of assets in different categories. 2) Researches and investments in the subdivided industries of the equity market are conducive to improving portfolio returns, and Markowitz mean-variance model can be used for portfolio optimization. 3) Selecting appropriate leading interest rate indicators (by using wavelet cross analysis) and predicting the characteristics of the next stage in advance (by using VAR model) are of great help to improve the flexible timing ability of the asset allocation strategies.