| Abstract [eng] |
In the final Master‘s thesis there is analysed the coherence among European exchange traded funds (hereinafter – ETF) and the main indicators of the economic cycle seeking to offer European ETF portfolios for resistant economic fluctuations. For the purposes of scientific literature analysis, systemisation, grouping, specification, graphic overview of the methods of exchange-traded funds and investment portfolio management concepts, the influence of economic fluctuations for investment solutions. For the purposes of statistical analysis, systemisation, grouping, graphical analysis methods are determined the phases of the economic cycles in Europe during the years 2003-2015 and analysed statistical coherence among the potential European and US economic cycle indicators forming ETF. The survey revealed that there is a statistical coherence between the main indicator of the economic cycle and ETF average profitability rates. Having summarized the the results and evaluation of the coherence to the economic growth, recession and economic recovery resistant funds, shall be selected the least sensitive funds to economic fluctuations funds during corresponding period. According to the classic H. Markowitz portfolio formation theory, the portfolios shall be formed investment portfolios resistant in different economic conditions. Provided sets of efficient portfolios and carried out the portfolio optimization. Determined that on the basis of previous results could be formed the optimal portfolio resistant to different economic conditions maintaining positive portfolio returns. The study presented recommendations for different types of investors by investment strategy. |
