Managing the Investment Portfolio Structure in Response to a Lower CBR Key Rate

DOI

10.2991/iscfec-19.2019.6How to use a DOI?

Keywords

key rate, Central Bank of the Russian Federation, securities, stock market, bonds, investment portfolio.

Abstract

This paper discusses the methods for managing the investment portfolio structure in response to lower inflation and CBR key rate. The reduced attractiveness of fixed-yield instruments primarily results in a gradual increase in investments in the shares of companies offering high dividends and stable growth prospects. The goal hereof is to evaluate the correlation of the key rate dynamics and medium-term changes in the return on shares and bonds, which will enable structuring an optimal investment portfolio. To that end and to accurately substantiate the findings, the research relies on the comparative, correlation-regression, and variance analyses of the MoEx stock indices. The paper presents a structural analysis of sectoral indices as well as a correlation analysis of the key rate and major-issuer shares. We additionally evaluate the effect of the large specific weight of some companies in the structure of Russian stock indices. The analysis presented herein has produced accurate data on the correlation of low inflation, low CBR rate, and increases in most Russian stock indices. The findings enable accurate prediction of the further increase in the value of securities with a high dividend or coupon yield provided the country’s basic macroeconomic parameters are maintained or improved.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - A.V. Koren
AU  - A.A. Pustovarov
PY  - 2019/05
DA  - 2019/05
TI  - Managing the Investment Portfolio Structure in Response to a Lower CBR Key Rate
BT  - Proceedings of the International Science and Technology Conference "FarEastСon" (ISCFEC 2019)
PB  - Atlantis Press
SP  - 24
EP  - 28
SN  - 2352-5428
UR  - https://doi.org/10.2991/iscfec-19.2019.6
DO  - 10.2991/iscfec-19.2019.6
ID  - Koren2019/05
ER  -