Decomposing Countries’ Consumption in Active Portfolio Management: A Black–Litterman Application
将国家消费数据分解为趋势和周期成分，用于预测股票指数超额收益，并融入Black-Litterman模型构建主动投资组合，发现周期消费能显著解释股市收益变化，且该策略在风险调整后表现优于被动基准。
In this article, an active portfolio management approach is introduced, which treats passive markets as assets. Therefore, countries’ consumption data are decomposed into a trend and a cyclical component, utilized to proxy countries’ main stock indexes’ expected excess returns. The expected returns are then applied within the Black–Litterman framework to combine them with market-implied expectations, upon which weights for a portfolio consisting of the stock indexes are constructed. It is found that cyclical consumption statistically significantly explains variation in returns of various stock markets. Additionally, a method of implementing cyclical consumption into an active portfolio management model is presented. The model presented demonstrates outperformance over the passive benchmark in terms of risk-adjusted and downside-oriented performance, suggesting to portfolio managers that investing in the incorporation of cyclical consumption into the portfolio optimization process is of value.