Year of Graduation
Investment Strategies Construction Based on the Fundamental Analysis
Due to high volatility of the world stock markets, profitable investment strategy investigation appears to be the crucial topic. The chief aim of this work is to construct the best available investment strategy, which could be practically used in the conditions of the European stock markets. The purposes of this work are to carry out the analysis of various approaches to constructing investment portfolios, to estimate European public companies features by means of possible fundamental analysis tools, to create and to test investment strategies on historical data of 2010-2013, then to estimate their efficiency and to draw a conclusions. As a result, 4 strategies, based on a combination of "value shares" and "dividend shares", were created and approved. Strategies were tested to find out, whether they are efficient or not by the comparison of constituted investment portfolios profitability with an annual increment of the stock index – FTSE-100. For each formed portfolio the t-test statistics were counted with the purpose to test the hypothesis of receiving an award over a benchmark impossibility. The t-test values suggest, that the hypothesis was rejected for all 4 portfolios in 2010, 2012 and 2013. While in 2011 the hypothesis wasn't rejected. The counted values of VaR, Sharpe and Sortino ratios, testify, that the strategy based on "dividend shares" without using any additional filters, appeared to be the least risky. The strategy based on the combination of the "Dogs of the Dow" and Greenblatt’s "magic formula" was the most effective strategy on the ratio "risk – profitability" in the conditions of investing in European developed and emerging markets.