Evaluation of the Investment Strategy Global Macro

<p><strong>Yamschikov A.A.</strong></p><p><strong>Graduation thesis: &ldquo;Evaluation of the Investment Strategy Global Macro&rdquo;, scientific director Kurochkin S.V.</strong></p><p>Balance and diversification are the basis of any effective long-term investment strategy. The aim of this work was to build an investment strategy that would significantly improve the characteristics of the investment portfolio, such as profitability, risk and return, adjusted for risk (Sharpe ratio). Most portfolios are not diversified enough in terms of risk, as the risk of the entire portfolio is highly concentrated in risky assets. Therefore, well-balanced and diversified portfolio in terms of risk can bring a better return on risk to the investor. To realize this goal was chosen macroeconomic approach and the concept of risk parity. This approach and concept have been studied and described in this paper. In the practical part of the work were built several global portfolios with risk parity. The results showed that the use of a global strategy with risk parity can significantly improve the performance of the portfolio, such as risk, return and the Sharpe ratio .</p>