Benchmarking study of prospective preferability of various investment patterns
https://doi.org/10.38050/01300105202024
Abstract
The article offers the evaluation of investment performance in stock markets, money markets, product markets and others. The comparison is based on the «Return-Risk» Model grounded on the fundamental principles of H. Markowitz’s portfolio analysis. The quantitative comparison is conducted on return-risk ratio as well as return-risk variability intervals. In the formed group of leaders, the return-risk ratio was minimal (0,12) for the money market, and maximal (0,43) for the US stock market. The patterns in focus were grouped as follows:
- High risk aversion: US branch analysis, currency index models, currency index models (sell) and intercontinental branch analysis.
- Medium risk aversion: US stock market, world stick indexes, precious metals market and exchange goods as a whole.
- Low risk aversion: Russia’s stock market.
The practical evaluation of «Return-Risk» Models received for various investment patterns proved their practical validity. The empirical estimators of investment horizons computed for various groups of investment tools are of practical use.
About the Authors
D. A. Gertsekovich
Irkutsk State University
Russian Federation
Russian Federation
Irkutsk
J. S. Caetano
Irkutsk State University
Russian Federation
Russian Federation
Irkutsk
O. S. Zmanovskaya
Irkutsk State University
Russian Federation
Russian Federation
Irkutsk
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Review
For citations:
Gertsekovich D.A., Caetano J.S., Zmanovskaya O.S. Benchmarking study of prospective preferability of various investment patterns. Moscow University Economics Bulletin. 2020;(2):62-77. (In Russ.) https://doi.org/10.38050/01300105202024
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