Scholarly record

THE USE OF CALENDAR ANOMALIES OF THE RUSSIAN STOCK MARKET TO INCREASE THE PROFITABILITY OF THE INVESTMENT PORTFOLIO

G. Singatullina, B.Yakupov

Abstract

The article analyzes the monthly growth of the MOEX Russia Index from 2005 to 2018. The average values of the index growth for each month over 13 years were found. The decline dynamics of the MOEX Russia Index on average during the study period in the spring months were revealed, in contrast to growth in other months of the year. Two identical investment portfolios were compared from 2005 to 2018, the first of which remained open during the entire period, the second was closed in the spring months of the year, i.e. was opened 9 months a year. The profitability of the second portfolio, ceteris paribus, exceeded the results of the first portfolio by an average of 4.6% over 13 years. Conclusions about the feasibility of taking into account the factor of calendar anomalies while investing in the Russian stock market are made. The research results can be used in practice by institutional investors, private long-term investors who adhere to conservative investment strategies, complementing the fundamental and technical analyzes. However, the disclosed information may be useful for speculative investors who trade for short periods of time. Based on a detailed analysis of specific stocks that are most susceptible to a fall in the spring months, you can open the corresponding short positions.

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