| Abstract [eng] |
In the final Master's thesis there are defined investment funds, summarized the interaction between the economic cycle’s phases and the financial market, the theoretical aspects of investment portfolio formation and management are defined. During the analysis of the main macroeconomic (leading, coincident, lagging) indicators, the economic cycle phases in 2003–2018 were identified. During the analyzed period, all phases of the economic cycle are distinguished (recovery, boom, downswing, recession). The selection of potential exchange-traded funds which are traded in US stock market are made accordingly to the set criteria. The indicators of selected exchange-traded funds were analyzed and compared. There are formed and optimized investment portfolios from selected exchange-traded funds in US stock market at different stages of the economic cycle. The formation of investment portfolio is based on the Markowitz portfolio formation theory. For each phase of the cycle, 4 investment portfolios are formed - in equal parts, minimizing risk, maximizing return, maximizing created value. The results of the investment portfolio are evaluated after one year of testing. The study found that, based on the past performance it is possible to predict investment portfolio results, an investment portfolio can be created, which, when optimized, can avoid major losses during the economic cycle changes, earn higher returns. Recommendations are made for investment portfolio formation based on the economic cycle phases change. |
