Portfolio Management Strategies in the Russian Stock Market

There are two most commonly suggested portfolio management strategies. They are momentum and contrarian strategies. Sometimes these strategies are effective and generate more than average profit on the stock market, but it depends on stock markets and investment periods. In this paper, the author analyses how can the momentum strategy be used and generate stable positive stock return in the Russian stock market in different periods. To do that, the author of this paper analyses scientific literature, which devoted to active investment strategies. The most common way to test the effectiveness of strategies is to construct winner and loser portfolios, which show their applicability to particular stock market. To create these portfolios there is need to define stocks, which would be included in these portfolios. There are a lot of different securities, which are traded on the Moscow stock exchange, so it is important to choose the most liquid ones. For this purpose the author chooses RTS index as the best alternative. The analysis show that the momentum strategy is ineffective in the Russian stock market. This fact was confirmed in five investment periods equal to 3, 6, 9, 12, 18 month. This paper contributes to the study of active portfolio management strategies and confirms their ineffectiveness in the Russian stock market. What is more, this research will be useful both for individual investors and for financial institutions.