西方的学界和金融业界都试图寻找到经济周期运行的规律原理，以及在
经济周期理论的大框架下资本市场运行的规律。在资本市场中，很多的
投资者也尝试着依靠这种规律来打败市场，获得超额收益。本文介绍了
目前著名的几种经济周期和板块轮动的理论，并选取了美林投资时钟作
为分析框架，以一种更具有实战性和操作性的方法，划分了中国过去自
2000 年以来的经济周期阶段，统计了各个经济周期阶段中资本市场的表
现情况，找寻到一定的运行规律。同时，本文通过这种规律来构建了一
套行之有效的交易策略，在资本市场中取得了非常良好的超额收益。

关键词：经济周期，行业板块轮动，美林投资时钟，交易策略
ABSTRACT
In west, there are already many studies and research on the business
cycle and sector rotation in the stock market, which include the famous
investment clock and Jeffrey Stangl’s sector rotation theory. The academic
and industry are both eager to find the rule and principle that dominates the
business cycle, and the rule that dominates the stock market in specific phase
of business cycle. The article introduces some of the popular business cycle
and sector rotation theories and chooses the Merrill Lynch’s investment clock
to analyze china’s business cycle in the last decade. The article uses specific
dimension and more practical way to identify china’s business cycle,
analyzes the performance of China stock market in each specific phase in the
business cycle and reaches the rule applicable to China stock market.
Meanwhile, the article builds up a feasible trading strategy under the rule of
sector rotation in china stock market, which beats the market successfully.
Key word: Business cycle, Sector rotation, Merrill Lynch Investment
Clock, Trading Strategy。。。