REAL PERFORMANCE AND DOWNSIDE RISK OF STATIC MULTI-ASSET PORTFOLIOS ACROSS U.S. BUSINESS-CYCLE PHASES, 1930–2025
Reálna výkonnosť a riziko poklesu statických multiaktívových portfólií vo fázach hospodárskeho cyklu USA, 1930–2025
Published: 27.08.2026
https://doi.org/10.24040/aap.2026.23.2.28-41
Abstract: 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.
Keywords: business cycle; real returns; multi-asset portfolios; downside risk; diversification
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How to cite:
JURÍK, P. and MEŠŤAN, M. Assessment of the impact of effective tax rates on capital in the agricultural sector. Acta aerarii publici. Online. vol. 23 (2026), issue 2, pp. 28 – 41. Available from: https://doi.org/10.24040/aap.2026.23.2.27-41 [accessed YYYY-MM-DD].