Abstract:According to Merrill Lynch’s investment clock theory as well as monthly macroeconomic indicators, the economic cycle is divided into four phases and the national social security fund portfolio assets is divided into ten categories of assets. Based on the perspective of the economic cycle, this paper makes an analysis on the returns of ten categories of style assets. The results show that in the phase of recovery, the return rate on equity assets is the highest, and different styles of stock in terms of return rate have similar performance, showing a rising trend. In the phase of overheat, different styles of stock in terms of return rate have different performance, small-cap stocks, esp. small-cap growth stocks has the best yielding. In the phase of stagflation, the safest assets should be cash assets, if taking the inflation rate into account, the actual rate of return is even negative; in a recession, bond asset has the best performance. At the same time, this paper makes a comparison on the cumulative return rate of asset allocation scheme based on different strategies. The results show that the asset allocation scheme based on different economic stages can significantly improve the return rate of the portfolio.