EIB Working Papers 2019/11 - Macro-based asset allocation

EIB Working Papers 2019/11 - Macro-based asset allocation

by European Investment Bank
Epub (Kobo), Epub (Adobe)
Publication Date: 14/02/2020

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Macro-based asset allocation is based on the identification of turning points in macro-financial cycles. This paper suggests that macro-based asset allocation informed by trends in continuous business and financial cycle indicators could be a promising alternative for medium- and long-term investment strategies. Despite changes during the last three decades, the most promising specifications of this approach did roughly anticipate turning points in asset price cycles, implying favourable returns and low portfolio volatility.

ISBN:
9789286144905
9789286144905
Category:
Public finance
Format:
Epub (Kobo), Epub (Adobe)
Publication Date:
14-02-2020
Language:
English
Publisher:
European Investment Bank

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