THE EVALUATION OF FUNDAMENTAL METHODS EFFECTIVENESS ON THE RUSSIAN STOCK MARKET

Resumo

Objective: The purpose of the study is a comparative analysis of various fundamental analysis indicators and indicators based on expected levels of return and risk usage. The aim also lies in identifying the most promising of them in the current state of the modern Russian stock market. Methods: To achieve this goal, 13 portfolios are formed and analyzed based on the application of various indicators. Both the effectiveness of individual indicators and the methods of their application are compared; index and average levels of profitability are added as an additional basis for comparison. For the purposes of the study, historical data from 2015 to mid-2021 is considered; portfolios are formed as of the first trading day of each year, starting from 2017. Results: Based on the results of the study, recommendations for traders on the use of the considered indicators were formed. Conclusion: The novelty of the study is the obtained results of comparing the effectiveness of individual groups of indicators used in compiling a portfolio in the modern state of the Russian stock market.