Strategies of Investment Portfolio Construction on Financial Markets

Student: Abdullayev Sahib

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

The formation of the investment portfolio is one of the main questions in the modern finance theory, and there is a large block of works in economic literature reffering to the formation of the investment portfolio. Every investor faces the following tasks: formation of investment portfolio, determination of its composition and structure. Therefore, this topic requires a complex analysis. This paper is aimed to study the profitability of momentum strategies in Russian stock market. Momentum investing implies buying stocks whose prices have been rising and selling those that have been falling. The goal of the study is document existence of momentum effect on the Russian stock market. Overall, portfolios are constructed for a period from Jan 2009 to Jan 2018. Our findings provide evidence in favor of momentum effect in Russian stock market. Finally, we conclude a strategy consisting momentum can produce significant positive return, outperforming the market indeх.

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