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图解市场
罗宾 • 格里芬
Cazenove Capital Management Limited 12 Moorgate London EC2R 6DA
Telephone +44 (0) 20 3479 1000 www.cazenovecapital.com
Registered Office 12 Moorgate London EC2R 6DA Registered in England No 3017060
Authorised and regulated by the Financial Services Authority
Cazenove Capital Management Limited provides independent advice
古代世界地图
Source: mapresources.com
-1-
当代世界地图
Source: mapresources.com
-2-
未来世界地图
Source: mapresources.com
-3-
约瑟夫 • 熊彼特的三周期嵌套模式
-4-
长期有多长？
100000
S&P 500 Price Index
100
Valuation contraction
S&P 500 PE Ratio
Valuation expansion
Long Run PE Average
2000
50 Period Moving Average
± 2 Standard Deviations above/below long run m ean
10000
18
ar
Ye
s
80
16 Years
17
1000
1929
8
21 Years
1900
Ye
20 Years
rs
Yea
1966
90
70
1982
60
1949
s
ar
50
1921
100
40
30
Overvalued
10
20
10
Undervalued
1
1900
0
1910
1920
1930
1940
1950
1960
1970
1980
1990
2000
Source: R. Shiller 'Irrational Exuberance' [www.econ.yale.edu] & Cazenove Capital
-5-
十年经济周期 (朱格拉周期)
10
US REAL GDP (%YOY) NADJ
Ten year cycle lows
8
6
4
2
0
-2
-4
1960
1965
1970
1975
1980
1985
1990
1995
2000
2005
Source: Thomson Datastream
-6-
道琼斯工业指数: 十年周期模式1900 - 1999
210
190
170
150
130
110
90
70
0
1
2
3
4
5
Year
-7-
6
7
8
9
10
四年市场周期正好与美国大选周期重叠
0.75
0.55
0.35
2.5
2.0
0.15
1.5
Dow Jones Cycles Index
Dow Jones (Log)
George W. Bush
George W. Bush
William J. Clinton
William J. Clinton
George H. W. Bush
Ronald Reagan
Ronald Reagan
Jimmy Carter
Gerald R. Ford
Richard M. Nixon
Richard M. Nixon
Lyndon B. Johnson
Lyndon B. Johnson
John Kennedy
Dwight D. Eisenhower
3.0
Dwight D. Eisenhower
Harry S Truman
Harry S Truman
Franklin D. Roosevelt
3.5
Franklin D. Roosevelt
4.0
Franklin D. Roosevelt
4.5
1998
1.0
1966
1946
1938
0.5
1950
1942
1954
1958
1987
1978
1970
1962
1974
1982
-0.05
1990
1994
2002
0.0
-0.25
1933 1936 1939 1942 1945 1948 1951 1954 1957 1960 1963 1966 1969 1972 1975 1978 1981 1984 1987 1990 1993 1996 1999 2002 2005
Dow Jones Index
Four year cycle in Dow Jones extracted using displaced moving average
Source: Thomson Datastream
-8-
大选周期：每年的经济表现
100000
Third Year
Election Year
Honeymoon Period
Reality Attack
10000
Honeymoon Period
1000
Reality Attack
Run up to next
election
100
Trend is more important than level
Data based on dow industrials
(Monthly data 1900-2006)
10
Third Year
Election Year
-9-
Honeymoon Period
Reality Attack
历史上月平均股市回报
3.00
2.00
2.59
2.50
1.66
2.00
1.64
1.50
0.90 0.79
1.00
0.50
0.73
0.60
-0.69
0.16
-0.25
-0.37
1.38
1.22
0.81 0.91
1.00
0.60
0.50
0.12 0.12
3.00
1.19
1.50
0.69
0.70
1.00
0.77
1.03
0.24
0.50
1.24
1.50
0.82
1.00
0.84 0.50
0.73
0.33
0.50
0.00
December
-0.40
November
-1.53
October
September
August
-0.33
July
June
-2.00
-0.04
May
-1.50
April
-0.50
-1.00
- 10 -
1.71
March
December
November
-0.87-0.46
-1.16
October
September
August
July
-0.04
June
May
April
March
February
January
-1.50
2.00
February
0.00
Percentage Gain
1.69
2.00
-1.00
2.32
2.50
2.50
January
Percentage Gain
3.00
-0.50
S&P/TSX Composite Average % gain by month (1969-2005)
Nikkei 225 Average % gain by month (1960-2005)
3.03
December
-0.75
-1.00
3.50
November
-0.07
October
September
August
July
June
May
April
March
-0.50
0.10
0.02
0.00
February
December
November
October
September
-0.69
August
July
June
May
April
March
February
January
-1.00
1.50
January
0.00
-0.50
S&P 500 Average % gain by month (1964-2005)
FTSE All Share Average % gains by month(1962-2005)
3.09
Percentage Gain
Percentage Gain
3.50
著名的钟形曲线，与另外两种不同的特性相结合
- 11 -
选出真实的市场
Source: The misbehaviour of markets, Bernoit Mandelbrot
- 12 -
道琼斯工业指数：1960 - 1980
1100
1000
900
800
700
600
500
400
1960
1962 1964 1966 1968 1970 1972
Dow Jones Industrial 1960-1980
- 13 -
1974 1976 1978 1980
200D Moving Average
道琼斯工业指数 1966-1982: 90天美国商业票据200天移动平均值
4000
D ow Jones 1966-1982 tim ed using 200D M oving Average & US 90 D ay C om m ercialPaper
3500
D ow Jones IndustrialAverage 1966-1982
200D M oving Average
3000
2500
2000
1500
1000
500
1965
1970
1975
- 14 -
1980
人口金字塔模型
-600
-400
-6
-200
0
Rapid Growth
-4
-2
0
2
Zero
Growth
200
400
4
600
-6
-4
-2
0
Slow Growth
2
4
6
6
-6
- 15 -
-4
-2
0
2
Negative
Growth
4
6
印度人口结构: 2000, 2025 和 2050
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
Male
100
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
100
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
Female
50
0
2000
50
100
Millions
Male
100
0
2050
50
Female
50
0
2025
Female
50
Male
100
Millions
- 16 -
50
100
Millions
婴儿潮一代在美国人口金字塔当中的位置: 1960 - 2020
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
20
Male
10
0
10
20
Millions
1960
20
Male
10
20
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
Female
0
2000
Male
10
Baby Boom "Echo"
Baby Boom Cohort
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
Female
10
20
Millions
20
Female
0
1980
Male
10
20
Millions
Female
0
2020
- 17 -
10
10
20
Millions
英国人口结构：2000, 2025 和 2050
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
5
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
5
Male
3
Female
1
2000
1
3
Male
3
80+
75-79
70-74
65-69
60-64
55-59
50-54
45-49
40-44
35-39
30-34
25-29
20-24
15-19
10-14
5-9
0 -4
5
Millions
5
Female
1
2050
1
3
5
Millions
- 18 -
Male
3
Female
1
2025
1
3
5
Millions
标准路线图
W
a
c
d
D
w
y
B
w
x
b
e
d
e
c
A
e
d
y
b
b
x
c
c
a
E
e
b
Ya
y
c
d
z
x
X
e
b
d
a
C
Z=A
19
被现实向下趋势扭曲的标准路线图
D
W
Y
B
E
X
C
A
Z=A
20
被现实向上趋势扭曲的标准路线图
Y
W
D
Z=A
B
X
E
C
A
21
标普500指数
1600
1400
1200
Index
1000
800
600
400
200
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 22 -
富时100指数
7000
6000
Index
5000
4000
3000
2000
1000
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 23 -
日经225指数
40000
35000
30000
Index
25000
20000
15000
10000
5000
0
1980
1985
1990
1995
Actual
1 yr
2000
4 yr
2005
2010
10 yr
Source: Thomson Datastream
- 24 -
德国DAX 30指数
9000
8000
7000
6000
Index
5000
4000
3000
2000
1000
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 25 -
希腊Athex综合指数
6000
5000
Index
4000
3000
2000
1000
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 26 -
印度Sensex 30指数
21000
18000
15000
Index
12000
9000
6000
3000
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 27 -
中国沪指
6000
5000
Index
4000
3000
2000
1000
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 28 -
巴西Bovespa指数
80000
70000
60000
Index
50000
40000
30000
20000
10000
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 29 -
黄金价格
1600
1400
1200
$ per Troy oz
1000
800
600
400
200
0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 30 -
贸易加权美元
115
110
105
100
Index
95
90
85
80
75
70
65
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 31 -
欧元/美元
1.3
1.2
EUR/USD
1.1
1.0
0.9
0.8
0.7
0.6
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 32 -
英镑/美元
2.2
2.0
GBP/USD
1.8
1.6
1.4
1.2
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 33 -
美国30年期国债收益
11.0
10.0
9.0
8.0
%
7.0
6.0
5.0
4.0
3.0
2.0
1990
1995
2000
Actual
1 yr
2005
4 yr
2010
10 yr
Source: Thomson Datastream
- 34 -
免责声明
•
This document is issued by Cazenove Capital Management Limited (Cazenove Capital), a firm authorised and regulated by the Financial
Services Authority. 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 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 offshore 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 companies 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 and 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 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 the original sum invested.
•
This document may include forward-looking statements that are based upon our current opinions, expectations and projections. We undertake
no obligation to update or revise any forward-looking statements. Actual results could differ materially from those anticipated in the forwardlooking statements.
- 35 -
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