本研究主要探討美國的股市與債市之間的動態資產配置，結合波動擇時與市場擇時，在有納入景氣循環、經濟狀態的變化指標下進行動態資產配置，其股債之間的權重該如何調整。而選用能準確判斷經濟狀態改變的指標，對於景氣變化是否能更加有效的預測也是一個重要的議題，因此本文使用Z-Score建構指標，另擴充總經數據成為新指標元素，結果是比舊有指標更加優異。本文以美國S&P500 指數代表股市，以美國政府十年期公債價格指數代表債市，以美國公司債信用利差、S&P500 收益率、ISM 指數、失業率以及創新嘗試擴充的美國領先指標、消費者信心指數等來建構判斷經濟狀態的組合指標納入DCC-GARCH 模型，使得股與債之間的相關性能透過景氣指標與DCC-GARCH模型的模擬結果來提前獲得因應景氣變化的權重配置資訊，進而調整投資人之資產配置，以獲得理想化報酬或績效。 This study focuses on adjustment of Dynamic Asset Allocation between U.S. stocks and bonds with considering the change of economic stages. We combine the “volatility timing” and “market timing” to conduct decision models. It is also an important issue that the selection of indicators determines the change about economic structure and the more effective forecast on business cycle. In this paper, we adopt U.S. S&P500 index concerns to the stock market whereas ten-year U.S. government bond prices index represents the bond market. We determine composited indicators of economic structure with combination of the U.S. corporate bond credit spreads, S&P500 yield,ISM index, unemployment rate by using Z-Score method. Moreover, we adopt leading indicators and consumer confidence index in order to construct a new component and further implement into DCC-GARCH model. At last, we apply the correlation derived from DCC-GARCH model to obtain the information of business cycle and relocate the weight of asset in advance. Furthermore, investors can achieve idealized performance and return by adopting this new indicator which is better than the former one.
