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Active Management of Exchange-Traded Funds Investment Portfolio

Student: Kovalenok Vladimir

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Financial Engineering (Master)

Final Grade: 9

Year of Graduation: 2018

The dissertation research is devoted to the study of institutional experience in asset management. Much attention is paid to approbation of the fundamental trading concept of investment portfolio formation based on the sectoral rotation model, which in theory allows to lower the standard deviation of yield curve in comparison with benchmark SPDR S&P500 ETF. The practice of using technical analysis is also implemented in the work using the example of a simple moving average indicator with matched standard deviation measure. Analyzing the historical performance and risk metrics of the sectoral rotation model and financial instrument SPDR S&P500 ETF, the author proposes a hybrid trading approach to actively manage the portfolio of foreign exchange-traded funds. Key words: asset management, investment portfolio, sectoral rotation model, foreign exchange-traded funds, standard deviation.

Full text (added May 24, 2018)

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