2011.09.

15

IIIA

021-38676673

021-38676710

liufubing008481@gtjas.com

jiangyingkun@gtjas.com

S0880511010017

S0880511010023

logit
70% 24%
0.88

z
2006

7
18 35

6 CPI PPI

logit

0,1 0.5
70%

8% 24%

9
0.88 8
cpi
7

2011.07.10
II
2008.09.09
I
2008.09.09

1.
I
2008.9.9
II(2008.9.9),

1.1.

//

:1
(HBS) MorningstarRusell
(SCS)Frank Russell Salomon Brother
2(RBS) sharp

1.2.
SharpRusell

Farrell(1996)
71 91
20.14%
Arnott, David and Christopher 75 1 95 6 1

1.3.

2Markov Switch
Levist

2 of 14

3Logistic

Gokani Todorovic

2.

,
,

2.1.

1
1
40000
35000
30000

25000

20000
15000
10000
5000
0

1 7
18 35

3 of 14

20050131
20050531
20050930
20060125
20060531
20060929
20070131
20070531
20070928
20080131
20080530
20080926
20090123
20090527
20090930
20100129
20100531
20100930
20110131
20110531

20050131
20050531
20050930
20060125
20060531
20060929
20070131
20070531
20070928
20080131
20080530
20080926
20090123
20090527
20090930
20100129
20100531
20100930
20110131
20110531

2.2.

2
7000

6000

1.7

5000

5000

3000

2000

1000

4 of 14

1.5

4000

3000
1.3

2000

1000
1.1

0
0.9

7000
1.2

6000
1

4000
0.8

0.6

0.4

0.2

2005 2

1.25%

2009 1

3.84%

2005 3

4.77%

2009 2

1.85%

2005 4

1.72%

2009 3

1.23%

2005 5

2.04%

2009 4

0.44%

2005 6

0.39%

2009 5

5.26%

2005 7

4.19%

2009 6

15.04%

2005 8

5.05%

2009 7

5.69%

2005 9

0.65%

2009 8

12.36%

2005 10

0.04%

2009 9

4.72%

2005 11

0.90%

2009 10

2.16%

2005 12

1.78%

2009 11

6.09%

2006 1

1.95%

2009 12

3.27%

2006 2

4.32%

2010 1

8.91%

2006 3

3.47%

2010 2

0.70%

2006 4

4.12%

2010 3

4.62%

2006 5

4.96%

2010 4

2.22%

2006 6

0.99%

2010 5

2.25%

2006 7

0.74%

2010 6

1.29%

2006 8

4.23%

2010 7

1.11%

2006 9

2.84%

2010 8

6.89%

2006 10

7.07%

2010 9

3.14%

2006 11

9.89%

2010 10

7.08%

2006 12

8.95%

2010 11

9.48%

2007 1

6.71%

2010 12

3.76%

2007 2

8.36%

2011 1

3.66%

2007 3

1.26%

2011 2

1.41%

2007 4

14.80%

2011 3

7.98%

2007 5

0.01%

2011 4

3.78%

2007 6

2.51%

2011 5

0.89%

2007 7

0.99%

2011 6

3.81%

2007 8

16.33%

2011 7

1.33%

2007 9

0.89%

2011 8

2.57%

2007 10

11.20%

2007 11

2.12%

2007 12

13.23%

2008 1

7.08%

2008 2

3.94%

2008 3

2.21%

2008 4

12.31%

2008 5

6.78%

2008 6

0.56%

2008 7

5.44%

2008 8

11.69%

2008 9

10.15%

2008 10

4.76%

2008 11

8.01%

2008 12

3.38%

5 of 14

2-3

2006
2009

3. logit
3.1.

1[0,1]
2

Logit
Logit

Logit

Logit

Logit
0 1

Logit
0 1 Y=1,
Y=0 p 1-p
logit p Xi

ln( p / (1 p )) = + 1 X 1 + + N X N +
Y=1 Y=0 p
Xi alhpa
beta

6 of 14

Logit
Jackknife method
Logit
n n

3.2.
Y Y=1
Y=0
X 6 CPI PPI

1 12
2 1
2
9 7 3

Wind

A
23
50

100

3.3.

7 of 14

2005.1-2011.8

p
Ln
= 1.44cpi _ th 0.79cpi _ th + 0.42ia _ th3 + 0.56cci _ d
1

0.07 exp_ h 0.29 sum _ th

logit

R-square

cpi_th

1.44

0.012

HL=11.72

0.33

0.58

71.80%

ppi_th

-0.79

0.008

p=0.164)

ia_th3

0.42

0.012

cci_d

0.56

0.021

exp_h

-0.07

0.013

sum_th

-0.29

0.391

2 HL

1CPI
CPI
2PPI

4 cpi
1.7

5 ppi

1.6

10
8

cpi_t(%)

1.5

15.00
ppi_t%
10.00

1.5

1.4

5.00

1.3

1.3
2

1.2

0.9

4
2006/03

2007/03

2008/03

2009/03

2010/03

2011/03

1.1
5.00

10.00

0.9
2005/03
2005/06
2005/09
2005/12
2006/03
2006/06
2006/09
2006/12
2007/03
2007/06
2007/09
2007/12
2008/03
2008/06
2008/09
2008/12
2009/03
2009/06
2009/09
2009/12
2010/03
2010/06
2010/09
2010/12
2011/03
2011/06

2005/03

0.00

1.1

8 of 14

3ia

4cci

25.00

1.6
1.5

20.00

1.4
15.00

1.3

116.00

1.6
cci

114.00

1.5

112.00

1.4

110.00
1.3
108.00

1.2

10.00

1.2
106.00

2011/07

2011/03

2010/11

2010/07

2010/03

2009/11

2009/07

2009/03

2008/11

2008/07

2008/03

2007/11

2005/03

2007/07

0.9

2007/03

100.00

2011/07

2011/03

2010/11

2010/07

2010/03

2009/11

2009/07

2009/03

2008/11

2008/07

2008/03

2007/11

2007/07

2007/03

2006/11

2006/07

2006/03

2005/11

2005/07

2005/03

0.9

2006/11

0.00

102.00

2006/07

1.1

104.00

2006/03

2005/11

ia_t3

5.00

2005/07

1.1

5exp

6sum

1800

1.6

1.6

24

1600

1.5

1.5

22

1400

20

1000

1.3

18

1.3

800

1.2

16

1.2

1.1

14

1.1

12

0.9

10

0.9

600
400

200

2011/07

2011/03

2010/11

2010/07

2010/03

2009/11

2009/07

2009/03

2008/11

2008/07

2008/03

2007/11

2007/07

2007/03

2006/11

2006/07

2006/03

2005/11

2005/07

2005/03

2005/03
2005/06
2005/09
2005/12
2006/03
2006/06
2006/09
2006/12
2007/03
2007/06
2007/09
2007/12
2008/03
2008/06
2008/09
2008/12
2009/03
2009/06
2009/09
2009/12
2010/03
2010/06
2010/09
2010/12
2011/03
2011/06

1.4

1200

9 of 14

1.4

70.27%
2

logit

0.16532

0.054391

0.020146

0.25405

-0.11691

-0.06571

0.11969

0.10149

0.042737

2008/10

0.12792

0.047574

0.011402

2008/11

0.31187

0.080129

0.049786

2008/12

0.445

0.033768

0.044963

2009/01

0.049257

-0.03845

0.003237

2009/02

0.37293

0.018535

0.006528

2009/03

0.95557

0.012301

0.03035

2009/04

0.87194

-0.00436

-0.00675

2009/05

0.60157

0.052643

0.005505

2009/06

0.26243

-0.15038

-0.06353

2009/07

0.61667

0.056947

0.038099

2009/08

0.52586

-0.12356

-0.06898

2009/09

0.6062

0.047228

0.038997

2009/10

0.70253

0.02158

0.014045

2009/11

0.47895

0.060927

0.033858

2009/12

0.54608

0.032672

0.009379

2010/01

0.32769

0.089106

0.042563

2010/02

0.26235

0.006965

0.002803

2010/03

0.15518

-0.04623

-0.02064

2010/04

0.45248

0.022213

0.015086

2010/05

0.4378

0.022459

0.012237

2010/06

0.60039

0.012865

0.009985

2010/07

0.50028

-0.01114

0.000812

2010/08

0.42971

0.068907

0.039188

2010/09

0.56532

-0.03138

-0.01145

2010/10

0.64636

0.0708

0.053675

2010/11

0.33791

0.094819

0.036478

2010/12

0.65371

0.037633

0.013622

2011/01

0.28206

0.036644

0.024206

2011/02

0.19873

0.014086

0.007679

2011/03

0.35601

-0.07983

-0.0519

2011/04

0.96296

0.037836

0.01772

2011/05

0.42781

-0.00892

-0.00523

2011/06

0.3724

0.038137

0.020441

2011/07

0.32651

0.013343

-0.00051

2011/08

0.87347

0.025703

0.017389

2008/07

2008/08

2008/09

10 of 14

10
0.2

1.2

0.15

0.1

0.8

0.05
0.6
0
0.4

0.05

0.2

0.1

0.15

0,1
0.5 70%

11
1800
1600

1400
1200
1000
800
600
400

1
2

11
8%
24%

4.
9

11 of 14

9
8 cpi
7

3
cpi

ppi

ia

cci

exp

sum

2011/07

0.27

0.02

-0.5

-0.43

-0.065

-0.03

0.32651

2011/08

1.2

-0.2

-0.04

1.27

-0.21

-0.05

0.87347

2011/09

0.14

-0.3

0.671

2.106

-0.564

0.88469

12 of 14

S0880511010017
021-38676673
liufubing008481@gtjas.com
2008-2010

S0880511010023
021-38676710
jiangyingkun@gtjas.com
CPA05
06
07-08 2010

13 of 14

1.

12
12

300
2.
12

300

300 15%

300 5%15%

300 -5%5%

300 5%

300

300

300

168
29

200120

02138676666
E-mailgtjaresearch@gtjas.com

6009
34
518026
075523976888

28
2 10
100140
01059312799

14 of 14