Rotertag
Nuovo Utente
- Registrato
- 8/1/20
- Messaggi
- 509
- Punti reazioni
- 27
Vorrei iniziare una discussione riguardo l'asset allocation "migliore" da utilizzare in base al ciclo economico in cui ci troviamo. Ci sono molti paper sull'argomento, tutti molto interessanti, ma vorrei potermi confrontare con qualcuno riguardo questo argomento.
La mia idea è quella di creare un portafoglio bilanciato (azioni, bond ig, bond hy, materie prime, oro, cash) per poi andare a sovrapesare/sottopesare alcune asset class in base al ciclo in cui ci troviamo (non voglio dunque avere un approccio lazy, ma nemmeno andare ad escludere totalmente un'asset class o puntare su una sola di esse). Il problema principale è come capire in quale ciclo ci troviamo: uno sbaglio riguardo l'asset allocation potrebbe annullare completamente i nostri profitti oppure tagliare le ali al nostro portafoglio nel breve termine.
Qualcuno di voi sta seguendo un approccio di questo tipo? Ha dei consigli da dare o vuole fare delle riflessioni?
Vi lascio dunque tutti i documenti che ho trovato su questo argomento, spero li troviate interessanti tanto quanto li ho trovati interessanti io
https://osam.com/pdfs/whitepapers/_...ycle-AFactorInvestorsPerspective_May-2016.pdf
https://osam.com/pdfs/whitepapers/_...ycle-AFactorInvestorsPerspective_May-2016.pdf
https://institutional.fidelity.com/app/proxy/content?literatureURL=/953042.PDF
https://www.martincapital.com/wp-co.../MCA-Business-Cycles-Presentation-2017-08.pdf
https://www.ssga.com/library-conten...spdr-asset-performance-and-business-cycle.pdf
https://poseidon01.ssrn.com/deliver...65116092023001091106087017&EXT=pdf&INDEX=TRUE
https://www.pringturner.com/wp-cont...rner-Approach-to-Business-Cycle-Investing.pdf
https://am.jpmorgan.com/hk/en/asset...m-apac-assetclassreturnsacrosseconomiccycles/
https://static.fmgsuite.com/media/d...ents/db4b654a-e963-4d31-91f8-4a7240eb92c7.pdf
https://seekingalpha.com/article/4241983-business-cycle-simple-portfolios-stage
https://www.mutualfundobserver.com/2019/12/business-cycle-portfolio-strategy/
https://journals.vgtu.lt/index.php/BTP/article/view/8542/7425
https://www.cfainstitute.org/-/media/documents/book/rf-publication/2016/rf-v2016-n4-1-pdf.ashx
https://www.econstor.eu/bitstream/10419/213426/1/1688563164.pdf
https://investmentsandwealth.org/ge...7c/IWM20JulAug-RegimeBasedAssetAllocation.pdf
https://poseidon01.ssrn.com/deliver...25065025090024105124028081&EXT=pdf&INDEX=TRUE
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2205.en.pdf
https://www.nber.org/system/files/working_papers/w24875/w24875.pdf
https://files.stlouisfed.org/files/htdocs/publications/review/05/07/Hamilton.pdf
https://static.seekingalpha.com/uploads/sa_presentations/193/48193/original.pdf
https://arxiv.org/pdf/1912.07163.pdf
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2316~4effe6153e.en.pdf
https://www.nb.com/en/global/late-cycle-investing/survive-thrive
https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1125.pdf
https://www.morganstanley.com/im/pu...vestment-insights/ii_globalmacrowhynow_us.pdf
https://www.econstor.eu/bitstream/10419/112712/1/82933341X.pdf
Inoltre, vi lascio qualche sito utile:
https://www.blackrock.com/institutions/en-us/insights/charts/capital-market-assumptions#assumptions
https://am.jpmorgan.com/mx/en/asset-management/adv/insights/asset-class-views/
https://institutional.fidelity.com/app/item/RD_13569_40890/business-cycle-update.html
https://conference-board.org/data/bci.cfm?
La mia idea è quella di creare un portafoglio bilanciato (azioni, bond ig, bond hy, materie prime, oro, cash) per poi andare a sovrapesare/sottopesare alcune asset class in base al ciclo in cui ci troviamo (non voglio dunque avere un approccio lazy, ma nemmeno andare ad escludere totalmente un'asset class o puntare su una sola di esse). Il problema principale è come capire in quale ciclo ci troviamo: uno sbaglio riguardo l'asset allocation potrebbe annullare completamente i nostri profitti oppure tagliare le ali al nostro portafoglio nel breve termine.
Qualcuno di voi sta seguendo un approccio di questo tipo? Ha dei consigli da dare o vuole fare delle riflessioni?
Vi lascio dunque tutti i documenti che ho trovato su questo argomento, spero li troviate interessanti tanto quanto li ho trovati interessanti io
https://osam.com/pdfs/whitepapers/_...ycle-AFactorInvestorsPerspective_May-2016.pdf
https://osam.com/pdfs/whitepapers/_...ycle-AFactorInvestorsPerspective_May-2016.pdf
https://institutional.fidelity.com/app/proxy/content?literatureURL=/953042.PDF
https://www.martincapital.com/wp-co.../MCA-Business-Cycles-Presentation-2017-08.pdf
https://www.ssga.com/library-conten...spdr-asset-performance-and-business-cycle.pdf
https://poseidon01.ssrn.com/deliver...65116092023001091106087017&EXT=pdf&INDEX=TRUE
https://www.pringturner.com/wp-cont...rner-Approach-to-Business-Cycle-Investing.pdf
https://am.jpmorgan.com/hk/en/asset...m-apac-assetclassreturnsacrosseconomiccycles/
https://static.fmgsuite.com/media/d...ents/db4b654a-e963-4d31-91f8-4a7240eb92c7.pdf
https://seekingalpha.com/article/4241983-business-cycle-simple-portfolios-stage
https://www.mutualfundobserver.com/2019/12/business-cycle-portfolio-strategy/
https://journals.vgtu.lt/index.php/BTP/article/view/8542/7425
https://www.cfainstitute.org/-/media/documents/book/rf-publication/2016/rf-v2016-n4-1-pdf.ashx
https://www.econstor.eu/bitstream/10419/213426/1/1688563164.pdf
https://investmentsandwealth.org/ge...7c/IWM20JulAug-RegimeBasedAssetAllocation.pdf
https://poseidon01.ssrn.com/deliver...25065025090024105124028081&EXT=pdf&INDEX=TRUE
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2205.en.pdf
https://www.nber.org/system/files/working_papers/w24875/w24875.pdf
https://files.stlouisfed.org/files/htdocs/publications/review/05/07/Hamilton.pdf
https://static.seekingalpha.com/uploads/sa_presentations/193/48193/original.pdf
https://arxiv.org/pdf/1912.07163.pdf
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2316~4effe6153e.en.pdf
https://www.nb.com/en/global/late-cycle-investing/survive-thrive
https://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1125.pdf
https://www.morganstanley.com/im/pu...vestment-insights/ii_globalmacrowhynow_us.pdf
https://www.econstor.eu/bitstream/10419/112712/1/82933341X.pdf
Inoltre, vi lascio qualche sito utile:
https://www.blackrock.com/institutions/en-us/insights/charts/capital-market-assumptions#assumptions
https://am.jpmorgan.com/mx/en/asset-management/adv/insights/asset-class-views/
https://institutional.fidelity.com/app/item/RD_13569_40890/business-cycle-update.html
https://conference-board.org/data/bci.cfm?