Real performance and downside risk of static multi-asset portfolios across U.S. business-cycle phases, 1930–2025
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Dátum
2026
Autori
Názov časopisu
ISSN časopisu
Názov zväzku
Vydavateľ
Belianum. Vydavateľstvo Univerzity Mateja Bela v Banskej Bystrici
ISBN
ISSN
2989-3186
Abstrakt
This paper examines the real performance and downside risk of thirteen static multi-asset portfolios across U.S. business-cycle phases from 1930 to 2025. Using 1,149 monthly observations, it analyses equities, U.S. government bonds, gold, silver, real estate investment trusts, and selected portfolio combinations. Recession and expansion periods are identified using the NBER chronology, while nominal cumulative performance is expressed in real terms using the Fisher equation. The analysis compares average monthly returns, volatility, cumulative performance, maximum drawdown, the frequency of positive and negative months, and correlations among assets and strategies. Equity-oriented strategies generally deliver stronger long-run performance but exhibit higher volatility and deeper drawdowns, particularly during recessions. Strategies with larger allocations to government bonds and gold tend to be more resilient in adverse economic conditions. The findings indicate that static diversification can mitigate downside risk, although its effectiveness depends on business-cycle conditions and portfolio composition.
Popis
In: Acta aerarii publici : vedecký časopis Ekonomickej fakulty Univerzity Mateja Bela v Banskej Bystrici. Banská Bystrica : Vydavateľstvo Univerzity Mateja Bela - Belianum, 2026. ISSN 1336-8818. Roč. 23, č. 2 (2026), s. 28-41.
Kľúčové slová
hospodárske cykly, business cycles, existence of business cycles, diverzifikácia, diversification
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CC BY-ND Creative Commons Attribution-NoDerivatives 4.0 International
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess