Efficiency Evaluation of Investment Strategies

Annotation to the Master’s thesis of Andreeva Tatiana on a topic: «Efficiency Evaluation of Investment Strategies» The thesis is about the studying of efficiency evaluation of investment strategies on the basis of the US market. The relevance of the research topic is there has been shifting from active investing to passive for a long time that can cause financial instability. The most important thing is to form such an active strategy that would be able to outperform a passive one. The object of the thesis research are investment strategies. The subject of the thesis research is efficiency of investment strategies. The objective of this paper is to form an active portfolio strategy of value stocks and to manage the portfolio. In order to achieve the objective, undervalued companies with growth potential be found, three investment strategies be worked out and portfolios be rebalanced. Buy-and-hold and «naive» portfolio strategies and a strategy based on the highest Sharpe ratio were built and tested, and the results were presented in the paper. The strategy based on the highest Sharpe ratio have received positive results and outperformed the passive strategy as a specific benchmark. The practical importance of the paper demonstrates the potential of the active portfolio strategy, helps to expand knowledge and apply it in the realm of evaluation of investment strategies.