Leading macroeconomic indicators for a dynamic investment strategy


asset allocation
business cycle
Composite Leading Indicator (CLI)
Business Confidence Indicator (BCI)
active strategy
portfolio optimization
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
comportamiento económico
periodos económicos

How to Cite

Samaniego Alcántar, Ángel, & Rodríguez-Reyes, L. R. (2022). Leading macroeconomic indicators for a dynamic investment strategy. Nova Scientia, 14(28). https://doi.org/10.21640/ns.v14i28.2839


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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