Year of Graduation
Investment Portfolio Management Strategies
Financial Markets and Financial Institutions
In this paper, we consider fundamental strategies and momentum-strategies based on the example of the Russian stock market in the period from 2005 to 2016. Portfolios based on these strategies were evaluated in terms of the yielded excess returns relative to the market portfolio - the MICEX index. Also, the analysis of the obtained super-returns was made from the position of inherent risk. The author examined the modifications used in the analysis of strategies by sectoral normalization in terms of the level of capitalization of the constructed portfolios, the division of shares by the size of the issuer. Further, a temporary comparison was made of the super-returns brought by portfolios at different periods: pre-crisis and post-crisis. The author investigated the abnormal profitability of these strategies using the asset pricing model (CAPM) and the model model of Fama and French. In the course of the study, the hypotheses were confirmed that the fundamental and momentum strategies could yield super-returns while maintaining the level of risk at a sufficiently low level relative to the market. Investing in a combined strategy based on fundamental and momentum has demonstrated its attractiveness. The abnormal level of obtained returns was not explained only within the limits of premiums for risk and size of companies, which may be a field for further research.