Søren Nielsen looks at the shape of optimal allocation under recovery, boom, dampening and recession and, finally, he assesses what considerations in respect of portfolio allocation the current market trends give rise to.
Søren Nielsens bases his survey on American data over a 78-year period, which leads him to conclude that there has been a clear correlation between return and risk. Shares - especially small cap shares - have yielded by far the highest return, but the fluctuations in returns have been much higher than has been the case with bonds and money market instruments.
Read the article 'Historical portfolios and optimal allocation' in Focus no. 77 on the website of the Copenhagen Stock Exchange www.cse.dk and see the webcast presentation in Danish.
