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1 janvier 2022
- handle: 10670/1.efh4fj
Ce document est lié à :
10.21640/ns.v14i28.2839
info:eu-repo/semantics/openAccess
Mots-clés
asset allocation business cycle Composite Leading Indicator (CLI) Business Confidence Indicator (BCI) active strategy portfolio optimization finances model optimization marketSujets proches
Military strategyCiter ce document
Ángel Samaniego Alcántar et al., « Leading macroeconomic indicators for a dynamic investment strategy », Nova Scientia, ID : 10670/1.efh4fj
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Résumé
In this paper a long-term portfolio optimization model is developed, through the use of economic indicators (CLI and BCI). In this way, an investment portfolio will adjust to the movements of the business cycle, mitigating its risk in the event of possible downturns. The proposed model was tested in Mexico between 1998-2021. The active strategy makes investments in fixed income (Certificados de la Tesorería, CETES) and the market index (Índice de Precios y Cotizaciones, IPC), through operations of 25 % of the capital in monthly decisions. The dynamic investment strategy outperforms market index by 4.3 % in the period analyzed (differences in annual geometric return). In that period, only 5 % of the annual returns of the active strategy were negative, compared to 25.8 % in the market index.