Zurich, Sep 2010 - Portfolio Cycle Charts

"Portfolio Cycle Charts" are a new approach to characterize economic conditions by rolling portfolios. This report from Rmetrics offers views on the dynamics of the feasible set of a portfolio. The report helps everybody to watch dynamic changes and instabilities of a set of assets.

The reports may also help, even if not guaranteed, to detect during early stages indications that severe changes and instabilities may occur in the near future. The aspects which are considered by the  "Portfolio Cycle Charts" are (i) shape pictograms of the feasible set, (ii) time series analysis of the geometric shape factors including area, center of mass, excentricity and orientation. and (iii) cycle analysis of shape factors.

Rolling analysys of the shape pictograms of the feasible set:
The graph shows the rolling shapes over time of the feasible set of a typical portfolio. As we can see, the shape of the feasible set clearly depends on the economic conditions.

 

 

Rolling analysys of the shape efactors as time series:
The graph shows the area, the center of mass. the orientation, and the excentricity of the shape of the the portfolio over time.

 

Cycle Analysis:
The third chart shows the orientation of the fesaible set. From crisis to crisis we observe a periodic structure. In each cycle directly after a crisis the orientation angle remeins constant, then it goes down, and finally starts to grow very rapidly.

 

 

 

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(c) Rmetrics association, 2010