ANALYSIS OF INVESTORS’ STRATEGIES USING BACKTESTING AND DEA MODEL
Abstract
This paper analyzes the efficiency of the rules described by famous "investment gurus". We backtested 30 strategies over the period of 20 years using monthly data from USA stock market and scored their comparative characteristics using DEA model. Although strategies vary in historical performance, 11 strategies managed to beat benchmarks over the long term. Most efficient strategies according to DEA appear to be Graham, Lian, Zweig, Siegel strategies.
About the Authors
D. Nasretdinova
Financial University
Russian Federation
Russian Federation
D. Milovidova
Financial University
Russian Federation
Russian Federation
K. Michailova
Financial University
Russian Federation
Russian Federation
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Review
For citations:
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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