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Analysis Of Investors’ Strategies Using Backtesting And Dea Model

Author

Listed:
  • D. Nasretdinova

    (Financial University)

  • D. Milovidova

    (Financial University)

  • K. Michailova

    (Financial University)

Abstract

This paper analyzes the efficiency of the rules described by famous "investment gurus". We backtested 30 strategies over the period of 20 years using monthly data from USA stock market and scored their comparative characteristics using DEA model. Although strategies vary in historical performance, 11 strategies managed to beat benchmarks over the long term. Most efficient strategies according to DEA appear to be Graham, Lian, Zweig, Siegel strategies. Статья анализирует эффективность правил, на которых основаны стратегии профессионалов в сфере инвестиций. Мы провели бэктест 30 стратегий за 20 лет, используя месячные данные американского фондового рынка и DEA-модель, оценили их сравнительные характеристики. Хотя стратегии и варьируются исторически, 11 стратегий превзошли эталонный индекс в долгосрочном периоде. Наиболее эффективными стратегиями, согласно DEA, являются стратегии Грэхема, Льяна, Цвейга и Сигеля.

Suggested Citation

  • D. Nasretdinova & D. Milovidova & K. Michailova, 2015. "Analysis Of Investors’ Strategies Using Backtesting And Dea Model," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(2), pages 21-32.
    • Handle: RePEc:scn:00rbes:y:2015:i:2:p:21-32
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