SHAPING THE STOCK PORTFOLIO BY THE INVESTMENT RATING METHOD

Abstract

For the last five years capitalization of joint stock companies in Russia nearly doubled while the major indicator of stock market development, i. e. MISEX index – increased more than in 1,5 times. In spite of such favourable conditions for the development of portfolio investment mutual investment funds, whose investment is mainly shares demonstrate low effectiveness. In 2015 the growth in investment funds profitability showed 30,82% (in average), while MISEX index grew by 28,72%. If we take into account that commission rates with purchase and redemption reach 3,5%, while with purchase of exchange investment fund – 1%, then investor profitability, who entrusted his/her money to investment company or just invested it in index will be equal. Thus securities market needs more effective methods and algorithms of shaping the stock portfolio, as investor’s expectations of getting profits could be met only in case of professional choice of investment projects. The article puts forward a new express method of selecting shares to the portfolio called the method of investment rating. This method is based on developing logistic regression. It provides an opportunity to analyze share price of all issuers with the help of the programmed algorithm taking into account not only principle shares’ characteristics (risk and profitability) but the impact of other variables connected with finance and business work of the issuer and his market figures. The authors described economic and mathematic aspect of the process of giving an investment grade and tested the method of investment rating on the Russian securities market.

Keywords

• fundamental analysis
• just share price
• logistic regression
• investment rating
• optimization of the stock portfolio structure