Assessment of the Effectiveness of Investment Strategies

Student: Zenin Pavel

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2017

Assessment of the effectiveness of investment strategies takes first place when long-term investors choose the best investment policy and portfolio management. This Masters dissertation consists of: an introduction, three chapters, a conclusion, a bibliography of sources, and annexes. The Master's dissertation first chapter deals with theoretical basics of effective portfolio construction, and the coefficients to evaluate strategy effectiveness. The second chapter of the Master's dissertation contains effective portfolios, managed with active and passive portfolio management strategies. The Master's dissertation third chapter covers alternative method for evaluating the effectiveness of investment strategies, analysis of efficiency coefficients and recommendations for portfolio management. Besides, theoretical part of effective portfolio were studied, optimal parameters were found, 1536 strategies and 16896 graphs were analyzed, 14 programs were written (2 – back testing programs, 2 – indicators, 1 – new coefficient calculation, 9 – reports collectors). The Master's dissertation 123 pages, including 25 tables, 44 figures and 2 annexes.

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