Analysis of asset classes through the business cycle

    Audrius Dzikevičius Info
    Jaroslav Vetrov Info
DOI: https://doi.org/10.3846/bme.2012.01

Abstract

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.

Keywords:

asset classes, asset allocation, business cycle, OECD Composite Leading Indicators

How to Cite

Dzikevičius, A., & Vetrov, J. (2012). Analysis of asset classes through the business cycle. Business, Management and Economics Engineering, 10(1), 1-10. https://doi.org/10.3846/bme.2012.01

Share

Published in Issue
June 4, 2012
Abstract Views
1164

View article in other formats

CrossMark check

CrossMark logo

Published

2012-06-04

Issue

Section

Articles

How to Cite

Dzikevičius, A., & Vetrov, J. (2012). Analysis of asset classes through the business cycle. Business, Management and Economics Engineering, 10(1), 1-10. https://doi.org/10.3846/bme.2012.01

Share