ANALYSIS OF INVESTORS’ STRATEGIES USING BACKTESTING AND DEA MODEL

ANALYSIS OF INVESTORS’ STRATEGIES USING BACKTESTING AND DEA MODEL

D. Nasretdinova, D. Milovidova, K. Michailova

Полный текст:

Аннотация

Статья анализирует эффективность правил, на которых основаны стратегии профессионалов в сфере инвестиций. Мы провели бэктест 30 стратегий за 20 лет, используя месячные данные американского фондового рынка и DEA-модель, оценили их сравнительные характеристики. Хотя стратегии и варьируются исторически, 11 стратегий превзошли эталонный индекс в долгосрочном периоде. Наиболее эффективными стратегиями, согласно DEA, являются стратегии Грэхема, Льяна, Цвейга и Сигеля.

Ключ. слова

DEA model, backtesting, strategy, benchmark, return, risk, DEA-score,

Об авторах

D. Nasretdinova

Financial University
Россия

D. Milovidova

Financial University
Россия

K. Michailova

Financial University
Россия

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Дополнительные файлы

Для цитирования: ., ., . . Review of Business and Economics Studies. 2015;3(2):21-32.

For citation: Nasretdinova D., Milovidova D., Michailova K. ANALYSIS OF INVESTORS’ STRATEGIES USING BACKTESTING AND DEA MODEL. Review of Business and Economics Studies. 2015;3(2):21-32. (In Russ.)

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ISSN 2308-944Х (Print)

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