| Abstract [eng] |
According to effective market hypothesis, investor making capital management decisions is aiming to maximize profit and minimize risk, choosing combination most suitable for him. It is ideal to make as much profit as possible, no matter the complexity of economic environment or its changes. Economic cycles that repeat themselves regularly, are one of those forces influencing the market. So, to understand the effect economic cycles have for investment strategies and adjust accordingly is of crucial importance to every investor – be it physical or legal entities, banks, pension, investment funds – it is very relevant for all of them to form a good (according to H.Markowitz portfolio theory) portfolio. Economic environment is constantly changing and old models, although previously being good, no longer correlate with the situation of today. That is why a research is needed to better inform investors. The goal of this work is to analyze and evaluate the influence of economic cycle on portfolio construction and profitability. To accomplish the goal of this work, these tasks need to be done: • Analyze structure of economic cycle and its dynamics; • Discern prime economic indicators, use them in forecasting economic activity; • Research which sector stocks are most profitable in different economic phases; • Assess alternative investment options for increasing portfolio diversification and stability; • Design a hypothetical portfolio, that beats the market and is resistant to economic cycle; • Test the hypothetical portfolio with new data; • Analyze portfolio results, assess the chosen strategy; The result of this work is a model of portfolio that beats the market in returns, standard deviation, Sharpe ratio and is resistant to economic cycles. The work is made out of three main parts: theoretical, analytical and results part. There are 50 pictures (diagrams, models), 5 tables with facts, analytical and testing data and also 9 additions –83 pages in total. |
