Построение портфелей акций с помощью метода DEA на российском фондовом рынке в условиях повышенной волатильности

Вестник Московского университета. Серия 6: Экономика. 2025. Т. 60. № 3. С. 40–62.

Rechmedina S., Haniev A., Suhih V.

Periods of high market volatility put investors in a situation where conventional decision- making methods are less reliable. To improve returns, market participants need to understand which factors play a big role in portfolio formation. This article analyzes the determinants of Russian stock returns during the Covid-19 and the rise in geopolitical tension in 2022. The objective of the study is to identify common determinants of returns on individual stocks in an environment of increased volatility in order to formulate recommendations for investors on capital allocation. The study is carried out in the last two periods of increased volatility in the Russian stock market using quote data and fundamental financial indicators of company valuation. It was found that return on assets (ROA) and stock return for the previous calendar year have a significant positive impact on securities returns during both periods of market uncertainty. Based on these indicators, the Data Envelopment Analysis (DEA) method was used to form an assessment of company's performance and build stock portfolios. Portfolios of the best DEA-ranking companies significantly outperformed portfolios of the worst and the benchmark. The portfolio of the best stocks outperformed the portfolio of the worst DEA-ranking stocks by 12.50% during the Covid-19 pandemic and by 31.45% during the 2022 geopolitical tension. The findings have high practical value for investors, as they allow capital to be allocated to more promising stocks during the periods of market stress.

Keywords: российский фондовый рынок, акции, portfolio, портфель, Russian stock market, stocks, Data envelopment analysis (DEA), Data envelopment analysis (DEA)