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ПРИМЕНЕНИЕ МЕТОДОВ ТЕХНИЧЕСКОГО АНАЛИЗА ДЛЯ УЛУЧШЕНИЯ РИСК ПОКАЗАТЕЛЯ ПОРТФЕЛЯ ОБЛИГАЦИЙ
According to research of investment companies PIMCO and Vanguard, in order to increase profitability relative to the benchmark, portfolio managers in 76% of cases use active-passive strategies, which often turn out to be more effective than the passive ones by means of deterioration of portfolio quality - credit profile and volatility. The purpose of this work is to propose a bond portfolio management method, that will increase the portfolio yield relative to the benchmark and the return per unit of risk relative to an active-passive strategy based on structural shifts. The hypothesis is that a timing strategy based on two optimized moving averages can ensure the achievement of the set goal. On the considered five-year period of time, the proposed active-passive strategy surpassed the result of the reference portfolio, improved the return per unit of risk (return to historical volatility) relative to the active-passive strategy and retained the credit profile of the portfolio, thus achieving the set goal. These results prove that active timing strategies can be a better alternative to pick-based approaches, such as improved indexing strategies, which are widespread and can provide comparable performance at lower risks, which can be taken into consideration and used by portfolio managers.