EDN: YNWQAW
INFLUENCE OF ECONOMIC CYCLES ON THE STRUCTURE OF THE INVESTMENT PORTFOLIO
📄 PDF Статьи
JATS‑XML (OAI)The objective of the research is to determine the expediency and significance of adapting investment portfolios to the stages of the economic cycle by assessing the impact of cyclical adjustments on the financial performance of the portfolio (profitability, risk, Sharpe and Sortino coefficients) in comparison with the Moscow Exchange and Moscow Exchange full return "net" indices.
The research methodology is to analyze key macroeconomic indicators and stock price dynamics of the leading sectors of the Russian economy for the period from 2019 to 2024. The paper proposes a model of dynamic capital allocation between stocks, bonds and gold, taking into account the stage of the economic cycle: recovery, growth, recession and recession. To test the model, a test analysis of the generated portfolio was performed.
The results of the research showed that the formed portfolio provides returns comparable to the Moscow Stock Exchange index of full profitability, while reducing volatility and improving risk indicators such as Sharpe and Sortino coefficients. The adaptation of the portfolio structure to the phases of the economic cycle enhances the sustainability of investments, especially in times of crisis.
The main conclusions of the research confirm the hypothesis that phase–oriented investment portfolio management optimizes financial results. The practical significance lies in the possibility of using this methodology for the strategic formation of balanced portfolios that take into account the dynamics of the economic environment and promote sustainable capital growth while reducing risks.
Funding
How to Cite
Most read articles by the same author(s)
- Kolesnikova A.V., Samoilova Y.V., High-tech digital solutions stream of fundamental science to engineering applications in the development of scientific-technological initiatives , Proceedings of the International Banking Institute: No. 4 (26) (2018)
- Samoilova Y.V., Shalimov V.V., Synergic effect of applying fundamental and technical analysis on the example of «green» companies , Proceedings of the International Banking Institute: No. 4 (46) (2023)
- Samoilova Y.V., Koltsova K.I., Market of alternative investment in- struments , Proceedings of the International Banking Institute: No. 3 (25) (2018)
- SAMOILOVA Y.V, MOLCHANOV N.D, TRENDS OF DEVELOPMENT OF THE FINANCIALINNOVATIONS IN BANKING BUSINESS , Proceedings of the International Banking Institute: No. 1 (31) (2020)
- Samoilova Y.V., Koltsova K.I., Prospects of development of the indus-try of financial technologies in Russia , Proceedings of the International Banking Institute: No. 1 (23) (2018)
