Dynamic strategic asset allocation: Risk and return across the business cycle

2011 ◽  
Vol 12 (5) ◽  
pp. 360-375 ◽  
Author(s):  
Pim van Vliet ◽  
David Blitz
Keyword(s):  
Business Cycle ◽  
Asset Allocation ◽  
Risk And Return ◽  
Strategic Asset Allocation ◽  
The Business Cycle

scholarly journals ANALYSIS OF ASSET CLASSES THROUGH THE BUSINESS CYCLE

2012 ◽  
Vol 10 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Audrius Dzikevičius ◽  
Jaroslav Vetrov
Keyword(s):  
Business Cycle ◽  
Asset Allocation ◽  
Investment Decision ◽  
Significant Information ◽  
Monthly Data ◽  
Leading Indicator ◽  
Investment Decision Making ◽  
Risk Characteristics ◽  
Asset Classes ◽  
The Business Cycle

This study was driven by the dissimilar performance characteristics displayed by asset classes over the business cycle. The authors aim to explore assets classes on the grounds of a scientific literature review and a statistical analysis. Business cycles are divided into four stages to explore broad movements in returns of asset classes and a possible existence of asymmetrical effects of determinants within stages. Six main asset classes were analysed: US stocks, EAFE stocks, Bonds, Gold, Real Estate and Commodities. Monthly data from February 1976 to August 2011 were used for the study. The article combines business cycle and asset allocation theories by adding valuable information about performance of asset classes during different phases of the business cycle. Using the OECD Composite Leading Indicator as a business cycle measure, the authors demonstrate that different assets classes have different return/risk characteristics over the business cycle. The article demonstrates how to use the business cycle approach for investment decision-making. The OECD Composite Leading Indicator can provide significant information on market expectations and the future outlook; hence, results of this study can help every investor improve his/her performance and risk management.

scholarly journals The role of high-yield bonds in strategic asset allocation over the Great Recession

2017 ◽  
Vol 14 (3) ◽  
pp. 270-279
Author(s):  
Georgios Menounos ◽  
Constantinos Alexiou ◽  
Sofoklis Vogiazas
Keyword(s):  
Asset Allocation ◽  
Risk Profile ◽  
Global Market ◽  
Risk Tolerance ◽  
High Yield ◽  
Strategic Asset Allocation ◽  
The Great Recession ◽  
Market Portfolio ◽  
Allocation Process ◽  
The Business Cycle

By utilizing a modified version of the Black-Litterman model, the authors explore the asset allocation to high-yield bonds based on an investor’s risk profile. In so doing, the researchers use US data on high-yield bonds and over the period 2007–2013. The key finding relates to the strategic asset allocation to high-yield bonds in a simulated global market portfolio depending on an investor’s risk tolerance. In particular, the share of high-yield bonds does not exceed 4.15% of total assets in a global market portfolio over the period 2007–2013, whilst the allocation remains relatively stable and small on a risk-adjusted basis, irrespective of an investor’s risk profile or the phase of the business cycle. In simple terms, the results suggest that high-yield bonds do not seem to merit a favorable treatment in the asset allocation process relative to other financial instruments in a global market portfolio.

Optimal Asset Allocation over the Business Cycle

CFA Digest ◽  
1999 ◽  
Vol 29 (2) ◽  
pp. 57-58
Author(s):  
John H. Earl
Keyword(s):  
Business Cycle ◽  
Asset Allocation ◽  
The Business Cycle

Optimal Asset Allocation Over the Business Cycle

1998 ◽  
Vol 33 (3) ◽  
pp. 129-148 ◽  
Author(s):  
Joe Brocato ◽  
Steve Steed
Keyword(s):  
Business Cycle ◽  
Asset Allocation ◽  
The Business Cycle
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