• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Kristina Dudukina
Efficiency Evaluation of Investment Strategies
Financial Engineering
(Master’s programme)
2018
It is known that money has its value, which varies over time and depends on many parameters, for instance, interest rates on the market or the exchange rate. Most people desire to preserve the accumulated capital or to increase investment, for many of them it becomes one of the main aspirings in their lives. The development of financial systems, the emergence of securities and the creation of stock exchanges led to an attempt to develop an algorithm that will achieve this goal. Today, there are many different approaches and strategies for effective investment in financial markets. However, a universal method has not yet been found. This search is continued within the framework of this research.

In it, a study of the strategy called "10 dogs of the Dow” is conducted. The research covers the modifications of the strategy as well as the development and the testing of the author's version of the algorithm projected on the Russian market and some of the developing countries, comparable to Russia on the level of economics (Brazil, India, China). Such is done via retrospective analysis of market quotations 2006-2016. Positive results were obtained, followed up by a conclusion that the said strategy is fruitful in the considered markets, even with account transaction costs and amendments to the level of risk in mind. Optimal portfolios for local markets were also formulated. The author's version showed an effective result in the markets of Russia and China and negative in Indian. Evaluation of the results in the Brazilian market is ambiguous and has a dual interpretation.

In general, the strategy of "10 dogs of the Dow" and its modifications are recognised as effective and allows to get a supermarket yield of 2.5-4.5% depending on the market and the investment period.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses