Эффективность инвестиционных стратегий в России и Индии
Investment strategies based on portfolio formation from high dividend stocks are well known in developed markets from the end of the last century. This paper focuses on implementation the most famous Dogs of the Dow and Small Dogs of the Dow strategies in such emerging markets as Russian and Indian
This paper is dedicated to the investigation of the strategies related to the high-dividend portfolio investment. The aim of this research is to increase the high-dividend portfolio efficiency by adding some filters and optimization weights of the assets in the portfolio. In order to achieve this goal, the authors complement the classical version of the «Dogs of the Dow» strategy with financial indicators ROA and P/E with equal and optimized weights of the assets in each portfolio. Two additional parameters are also used in the process of testing: the number of stocks and the month of the annual portfolio rebalancing. Thus, the obtained models have high-quality advantages in comparison with the traditional concept of high-dividend investing, eliminating its inherent disadvantages and providing higher rates of return.
In this article the authors consider different strategies related to the high-dividend portfolio investing. The paper provides the examination of the theoretical aspects, methodology and the evolution of the formation of high-dividend models. The author studies the range of classic high-dividend portfolios, including a traditional version of the «Dogs of the Dow» strategy, and test it on the Russian stock market (2006-2016). The obtained results confirm the efficiency of this direction of investment. In order to increase the level of returns of high-dividend investing, the authors add into the model two filters on the financial performance P/E and ROA. As shown by calculations, the new model allows to achieve significantly higher results in comparison with the classical version. The following research demonstrates an advantage of the new model in comparison with the returns of the overall market (index strategy “buy and hold”) and in comparison with investing in mutual funds and deposits. The obtained results are meaningful and confirmed by the analysis of the risk and return coefficients, suggesting the possibility of their practical application. The modified model is also able to complement the theoretical concept of high-dividend investment and to eliminate the basic shortcomings inherent in the classical model.
The paper examines the structure, governance, and balance sheets of state-controlled banks in Russia, which accounted for over 55 percent of the total assets in the country's banking system in early 2012. The author offers a credible estimate of the size of the country's state banking sector by including banks that are indirectly owned by public organizations. Contrary to some predictions based on the theoretical literature on economic transition, he explains the relatively high profitability and efficiency of Russian state-controlled banks by pointing to their competitive position in such functions as acquisition and disposal of assets on behalf of the government. Also suggested in the paper is a different way of looking at market concentration in Russia (by consolidating the market shares of core state-controlled banks), which produces a picture of a more concentrated market than officially reported. Lastly, one of the author's interesting conclusions is that China provides a better benchmark than the formerly centrally planned economies of Central and Eastern Europe by which to assess the viability of state ownership of banks in Russia and to evaluate the country's banking sector.
The paper examines the principles for the supervision of financial conglomerates proposed by BCBS in the consultative document published in December 2011. Moreover, the article proposes a number of suggestions worked out by the authors within the HSE research team.