Page 10 - CCFA Journal - Tenth Issue

宏观经济 Macro Economy 加中金融

在我们做了这个指标的量化之后，我们把这个经济周期的指标和美国各个部门的宏观经济变量做了比较，我们看一下它们
是否高度相关，我们要看一下我们的经济周期指标是否能够解释其他宏观经济部门里宏观变量变化的情况。

左上图，我们把我们的经济周期指标和美国的 S&P 标普的年化收益率，红色的这条线，我们做了一个比较，高度相关。中
间的图是经济周期指标，深蓝色的线和标普全体上市公司 EPS 每股盈利变化的情况我们做了比较，高度相关。左边下图蓝
色的经济指标和经济周期指标，与美国的工业产值做了比较。右上图经济周期指标和美国的产能利用率做一个比较。右边
中间的图，我们的经济周期指标和美国的经济领先指标做了一个比较。下图，蓝色的经济周期指标和美国资本支出变化的
情况做了比较。每一个图我们展示的都是依附高度相关的相关性。

请注意，在精选的 6 个图里，我可以穷举我们的经济指标和美国其他的宏观经济部门高度拟合的情况，这 6 个图我们精选
出来的是美国的股市以 S&P 标普 500 来代表；美国的盈利由标普 500 全体上市公司来代表；美国的工业由美国的工业产值
总量做代表；产能利用率、工业运行的情况、经济领先的指标，还有资本支出计划，是一个填表的调查数。

从金融市场到美国的实体经济，到上市公司的盈利，到美国实体经济的调查，以及实体经济里产能利用率，这里既有量，
也有价的变量。跨部门，每一个变量，无一不展示出与我们经济周期指标强烈的相关性。结论：美国的经济周期指标，蓝
色的这条线正在快速的下行。在周期下行的时候，就是风险临近爆发的时候，也是美联储每次加息把美国的经济加爆的时
候，我们现在已经看到三家大银行宣告倒闭。过去一周，硅谷银行的破产，是美国银行史上第二大银行倒闭事件，第一大
是 2008 年时候的，彼时那家银行（华盛顿互惠银行）是 3000 多亿美元的资产，硅谷银行是 2000 多亿美元。

在周期下行的时候，我们观察的是实体经济里，前期的风险积累集中，这个就是周期的力量，是没办法比拟的。因此，在
我们看到美国股票市场还在历史相对高位的时候，我相信每一个朋友尤其是做美股的朋友都会非常的纠结。美联储要降息
了。我们都知道美联储降息是对经济弱势的反映。我相信我做了这么多量化的研究，美联储那边几百个 PHD 他做的量化
研究可能比我多，但是他的结论不一定比我们正确，因为他们的屁股决定了他们的脑袋。

After quantifying this indicator, we compared it to macroeconomic variables from various sectors of the US economy to see if they
are highly correlated. We wanted to see if our economic cycle indicator can explain changes in macroeconomic variables in other
macroeconomic sectors.

The top-left graph shows a comparison between our economic cycle indicator and the annualized return rate of the S&P 500 in the
US, with the red line indicating a high correlation. The middle graph compares our economic cycle indicator, represented by the
dark blue line, with the change in earnings per share of all listed companies on the S&P 500, also showing a high correlation. The
bottom-left graph compares the blue economic indicator and economic cycle indicator with US industrial output. The top-right
graph compares the economic cycle indicator with US capacity utilization. In the middle-right graph, our economic cycle indicator is
compared with the US leading economic indicators. Finally, the bottom-right graph shows a comparison between the blue economic
cycle indicator and changes in US capital expenditures. Each graph shows a high correlation with our economic cycle indicator.

It is worth noting that out of the six selected graphs, we could enumerate the high fit of our economic indicators with other
macroeconomic sectors in the US. The six selected graphs represent the S&P 500 as a proxy for the US stock market, the earnings
per share of all listed companies on the S&P 500 for US profits, the total US industrial output for US industry, capacity utilization,
industrial operations, leading economic indicators, and capital expenditure plans as survey data within the real economy.

From the financial market to the US real economy, to the profits of listed companies, to surveys of the US real economy, and capacity
utilization within the real economy, there are both quantity and value variables. Across sectors, each variable shows a strong
correlation with our economic cycle indicator. Conclusion: the blue line of the US economic cycle indicator is rapidly declining.
During the downward cycle, we observe the concentration of accumulated risks in the real economy, which is the power of the cycle
that cannot be compared. Therefore, when we see that the US stock market is still relatively high in historical terms, I believe that
every friend, especially those who invest in US stocks, will feel very conflicted. The Federal Reserve is going to cut interest rates. We
all know that the Federal Reserve's interest rate cuts reflect economic weakness. I believe that although the Federal Reserve has
hundreds of PhDs who conduct more quantitative research than I do, their conclusions are not necessarily more accurate than ours
because their conclusions are determined by their interests.
The text mainly discusses the author's analysis of the US economic cycle indicators and other macroeconomic data, and concludes
that the US economic cycle is rapidly declining. The author also mentions the recent collapse of three major banks and how, during
the downward cycle, risks accumulate in the real economy. The author suggests that when the US stock market is still high in
historical terms, cutting interest rates by the Federal Reserve reflects economic weakness and may cause conflict among investors.
Finally, the author emphasizes that although the Federal Reserve may have more quantitative research, their conclusions are not
necessarily more accurate than the author's due to the influence of their interests.

CCFA JOURNAL OF FINANCE March 2023
Page 10 第10页