全球宏观策略：如何预测美国经济增长的时间

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1、ABGlobalResearch2April2019GlobalMacroStrategyGlobalMacroStrategyGlobalHowtotimethemarketwithaUSgrowthnowcastDoesourUSmacronowcastingdataofferaninvestmentedge?Yes.Weshowstrongevidenceofbothstatisticalandeconomicsignificancefortheanticipatoryinvestmentsignalembeddedi

2、nUBSEvidenceLabdata.Inotherwords,thesignal(ELM)basedonthisdatamattersforinvestmentdecisions.RelevantsystematicinvestmentstrategiesbasedontheELMsignaloutperformBacktestresultsofbenchmarktimingstrategiesfordifferentassetclasses,aswellasrelativevalueandcross-assetrotat

3、ionstrategiesconditionalontheELMsignalacrossriskyanddefensiveassetclasses,showimprovementinrisk-adjustedreturnscomparedtoindex-tracking.Theresultsoftenimprovemaxdrawdowncharacteristicsoftherelatedbenchmarkasset.Oneofthebest-performingcross-assetrotationstrategies—co

4、mparedtoanequally-weightedS&P500andUSTreasuryportfolio,—hasbeentoholdUShigh-yieldcorporatebondsinperiodsofacceleration,rotatetoaportfolioofdefensiveandlow-volatilitystocksduringstablegrowth(nomomentum),andswitchtoaportfolioofUSTreasuriesandTIPSwhentheELMsignalindica

5、tesaslowdown.Whydoes'growth'work?GrowthmomentumcapturesassetpricevariationMomentuminofficially-reportedUSprivatedemandgrowthisasignificantfactordrivingcross-assetrisk-adjustedreturnsdueprimarilytodifferentgrowthsensitivitiesamongassets.Inturn,theELMsignalanticipates

6、significanteconomiccyclevariations,relyingonBigDataanalysisofreal-timeeconomicactivity.Ithascorrectlyrecognisedaccelerationandslowdown,asconfirmedbyofficialdata,in72%ofmonthssinceJanuary2010.TheELMsignalisthusastrongtacticalindicatorforassetreturnsovertheUSgrowthcyc

7、le.Whatismore,waitingforofficialdatareleasestotradeUSgrowthdoesnotwork(unprofitable);theevidenceshowsthatthelargestupsidetotradingUSgrowthwiththeELMsignalisintheearlyperiodpriortotheofficialdatareleases.ArtourDanilovStrategistartour.danilov@ubs.com+44-20-75682000St

8、uartKaiser,CFAStrategiststuart.kaiser@ubs.com+1-212-8212069ThemosFiotakisStrategistthemos.fiotakis@ubs.com+44-20-75677215YianosKontopoulos