Forecast Model of Relative Growth of Probability of Industries

Nowadays passive investment strategies are gaining popularity around the world, so the topic of the research paper is very relevant. The research paper investigates the model of the forecast of profitability of the US economy on the data of the S&P500 index from January 2008 to November 2017. The objectives of the study were to determine the passive portfolio investment, its advantages over active, identification of factors affecting the profitability of sectors of the US economy, forecasting the profitability of sectors of the US economy on the basis of the S&P500 index and the use of the model of forecasting results for the preparation of its investment portfolio from the sectors of the US economy. As a result of the described model, several portfolios were obtained when investing in the S&P500 industry indices for the month, quarter and year, the yield of which was higher than the yield of investment in the s&P500 index. In addition, the paper identifies the factors that are most often selected by LASSO method as affecting the profitability of each sector of the US economy.