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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 investmen...
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European Investment Bank
2020
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oapen-20.500.12657-434282021-01-25T13:50:41Z EIB Working Papers 2019/11 - Macro-based asset allocation Schmieder, Christian Kollár, Miroslav European Investment Bank Business & Economics Finance General bic Book Industry Communication::K Economics, finance, business & management::KF Finance & accounting::KFF Finance 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. 2020-12-15T13:28:44Z 2020-12-15T13:28:44Z 2020 book 9789286144899 https://library.oapen.org/handle/20.500.12657/43428 eng application/pdf n/a external_content.pdf European Investment Bank European Investment Bank https://doi.org/10.2867/394053 https://doi.org/10.2867/394053 66479d04-7b84-49c0-9a4d-db552a3ecc71 b818ba9d-2dd9-4fd7-a364-7f305aef7ee9 9789286144899 Knowledge Unlatched (KU) European Investment Bank Knowledge Unlatched open access |
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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. |
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European Investment Bank |
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2020 |
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