Leading macroeconomic indicators for a dynamic investment strategy
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 i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidad De La Salle Bajío
2022-03-01
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| Series: | Nova Scientia |
| Subjects: | |
| Online Access: | http://novascientia.delasalle.edu.mx/ojs/index.php/Nova/article/view/2839 |
| _version_ | 1818358537326166016 |
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| author | Ángel Samaniego Alcántar Luis Raúl Rodríguez-Reyes |
| author_facet | Ángel Samaniego Alcántar Luis Raúl Rodríguez-Reyes |
| author_sort | Ángel Samaniego Alcántar |
| collection | DOAJ |
| description |
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.
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| first_indexed | 2024-12-13T20:30:35Z |
| format | Article |
| id | doaj.art-1b59bd32d05a4509ad3869cb4c287ce2 |
| institution | Directory Open Access Journal |
| issn | 2007-0705 |
| language | English |
| last_indexed | 2024-12-13T20:30:35Z |
| publishDate | 2022-03-01 |
| publisher | Universidad De La Salle Bajío |
| record_format | Article |
| series | Nova Scientia |
| spelling | doaj.art-1b59bd32d05a4509ad3869cb4c287ce22022-12-21T23:32:27ZengUniversidad De La Salle BajíoNova Scientia2007-07052022-03-01142810.21640/ns.v14i28.2839Leading macroeconomic indicators for a dynamic investment strategyÁngel Samaniego Alcántar0Luis Raúl Rodríguez-Reyes1Western Institute of Technology and Higher StudiesWestern Institute of Technology and Higher Studies 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. http://novascientia.delasalle.edu.mx/ojs/index.php/Nova/article/view/2839asset allocationbusiness cycleComposite Leading Indicator (CLI)Business Confidence Indicator (BCI)active strategyportfolio optimization |
| spellingShingle | Ángel Samaniego Alcántar Luis Raúl Rodríguez-Reyes Leading macroeconomic indicators for a dynamic investment strategy Nova Scientia asset allocation business cycle Composite Leading Indicator (CLI) Business Confidence Indicator (BCI) active strategy portfolio optimization |
| title | Leading macroeconomic indicators for a dynamic investment strategy |
| title_full | Leading macroeconomic indicators for a dynamic investment strategy |
| title_fullStr | Leading macroeconomic indicators for a dynamic investment strategy |
| title_full_unstemmed | Leading macroeconomic indicators for a dynamic investment strategy |
| title_short | Leading macroeconomic indicators for a dynamic investment strategy |
| title_sort | leading macroeconomic indicators for a dynamic investment strategy |
| topic | asset allocation business cycle Composite Leading Indicator (CLI) Business Confidence Indicator (BCI) active strategy portfolio optimization |
| url | http://novascientia.delasalle.edu.mx/ojs/index.php/Nova/article/view/2839 |
| work_keys_str_mv | AT angelsamaniegoalcantar leadingmacroeconomicindicatorsforadynamicinvestmentstrategy AT luisraulrodriguezreyes leadingmacroeconomicindicatorsforadynamicinvestmentstrategy |