Assessment of the prospects for using exchange-traded funds to preserve the financial savings of the population
Abstract
The article is devoted to the selection of exchange-traded funds for their subsequent inclusion in the investment portfolio. The authors have developed an algorithm for conducting a comparative analysis of the behavior of an exchange-traded fund with the selected anchor indicator. An anchor can be any commodity or index that has a time series of prices and demonstrates the desired behavior for the investor. The article considers monetary gold and the CRB commodity futures price index as anchors. The behavior of the exchangetraded fund and the anchor is compared by analyzing the phase portrait of the relational series, constructed as the ratio of the concerted price series of the selected fund and the anchor. The authors also developed rules for decisionmaking, on the basis of which it is possible to draw a conclusion about the suitability or unsuitability of an exchange-traded fund for possible investments. The risks associated with each exchange-traded fund can be assessed indirectly through the relationship of its behavior with the selected anchor. The task of forming a portfolio based on the selected exchange-traded funds is solved separately and is not the subject of conducted study. The presented approach of investment analysis allows one to make a choice of the investment object and can be used by private and institutional investors.
About the Authors
V. V. Vodyanova
Russian Presidential Academy of National Economy and Public Administration under the President of the Russian Federation (RANEPA); National Institute for Development; Research Institute “Innovative Financial Instruments and Technologies”
Russian Federation
Russian Federation
Vera V. Vodyanova, Dr. of Sci. (Economics), associate professor
bld. 82–84, Vernadskii Avenue, Moscow, Russia, 119571;
bld. 32, Nakhimovskii Avenue, Moscow, Russia, 117218;
bld. 36, Stremyannyi Lane, Moscow, Russia, 117997
K. M. Minasyan
Federal Treasury Department for Moscow
Russian Federation
Russian Federation
Karina M. Minasyan, master of finance
bld. 3/1, 3 Roshinskaya Street, Moscow, Russia, 115191
D. A. Nosov
PJSC “VTB Bank”
Russian Federation
Russian Federation
Dmitry A. Nosov, master of finance
bld. 35 Myasnitskaya str., Moscow, Russia, 101000
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Review
For citations:
Vodyanova V.V., Minasyan K.M., Nosov D.A. Assessment of the prospects for using exchange-traded funds to preserve the financial savings of the population. Science and art of management. 2021;(1):29-47. (In Russ.)
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