Economies and financial markets move up and down all the time. A better understanding of how they move up and down contributes to better investment decisions. In one view of the world, these fluctuations are driven by cyclicality.
Equipped with a new long-term dataset and a frequency domain tool kit, this, our seventh presentation analyzes how cyclicality relates to asset class risk and return and investigates two types of cycles:
(1) The business cycle and
(2) the financial cycle, building on the seminal ideas of Hyman Minsky.
Cyclicality was a key driver of financial markets in the past remains the same for today and will continue to be so in the future. Therefore, we are happy to share some of our learnings on cyclicality with you.
At Ortec Finance we have been building and applying Economic Scenario Generator (ESG) models for decades, aimed at enabling people all over the world to manage the complexity of investment decision making. Over the years we have done a lot of R&D around this topic, and shared the results through various conference presentations. Although some cases are more than a decade old, the content of these “scenario modeling evergreens” is still very relevant today.
To date we have shared the following six presentations:
2. A Zero Phase Shift Band Pass Filter
3. Asset Classes and Business Cycles
4. Estimating Liquidity Risk Premia
6. PE Ratios and Expected Returns
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