Keywords
business cycle
Composite Leading Indicator (CLI)
Business Confidence Indicator (BCI)
active strategy
portfolio optimization
finances
model
optimization
market
OECD
economic behavior
economic periods
economic cycle
CETES asignaci´ón de activos
ciclo económico
indicador adelantado compuesto (CLI)
indicador de confianza empresarial (BCI)
estrategia activa
optimización de carteras
finanzas
modelo
optimización
mercado
OCDE
comportamiento económico
periodos económicos
CETES
How to Cite
Abstract
In this paper a long-term portfolio optimization model is developed, through the use of economic indicators (CLI and BCI). In this way, an investment portfolio will adjust to the movements of the business cycle, mitigating its risk in the event of possible downturns. The proposed model was tested in Mexico between 1998-2021. The active strategy makes investments in fixed income (Certificados de la Tesorería, CETES) and the market index (Índice de Precios y Cotizaciones, IPC), through operations of 25 % of the capital in monthly decisions. The dynamic investment strategy outperforms market index by 4.3 % in the period analyzed (differences in annual geometric return). In that period, only 5 % of the annual returns of the active strategy were negative, compared to 25.8 % in the market index.
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