Open Access Article SciPap-878
Decision-Making of the Investment Portfolio Applying Intermarket Analysis
by Diana Cibulskienė 1,* and Martynas Brazauskas 2

1 Faculty of Social Sciences, Humanities and Art, Siauliai University, Vilnius str. 88, Šiauliai 76285, Lithuania

2 Faculty of Social Sciences, Humanities and Art, Siauliai University, Vilnius str. 88, Šiauliai 76285, Lithuania

* Authors to whom correspondence should be addressed.

Abstract: The paper deals with the application possibilities of the intermarket analysis for the investment portfolio formation. The aim of this paper is to analyze how to adapt various financial market relations in order to assess the attraction of the different asset classes and taking into account it to form the investment portfolio. In the paper three different investment portfolio construction strategies have been analyzed. The first investment portfolio is formed from the decreasing financial markets, the second - from the rising financial markets, and the third portfolio includes all the financial markets. The study results showed that investing in equal proportions into stocks, bonds and commodities is more effective solution than investing in the market or in the reverse market. Including the currency into the basic portfolio has reduced the risk, but due to the declined returns the efficiency also decreased. The study results showed that the ‘permanent portfolio’ formation of the three asset classes is sufficiently effective in order to reduce investment portfolio risk and to achieve a reasonable return.

Keywords: Intermarket Analysis, Financial Markets, Stocks, Bonds, Commodities, Currencies

JEL classification:   G11 - Portfolio Choice • Investment Decisions,   G15 - International Financial Markets

SciPap 2017, 25(2), 878

Received: 21 September 2016 / Accepted: 20 March 2017 / Published: 2 June 2017