Evaluation of the Effectivness of Momentum Stragegies in the Russian Equity Market

The paper tests the effectiveness of momentum strategies in the Russian stock market in the period from 2019 to 2023, a period when the share of private investors in the market has significantly increased. The unprecedented growth in the number of retail investors and the allocation of market share from institutional investors to private investors in the Russian stock market may generate market inefficiencies and ensure the emergence and/or increase in the number of market anomalies, one of which is the momentum effect. In turn, market inefficiency creates the possibility of abnormal returns using, for example, momentum investment strategies. By testing strategies with different designs, it was found that the highest and statically significant returns for the period from 2019 to 2023 inclusive are found for strategies with designs 1/3 and 3/3 even after taking into account transaction costs. The worst result was shown by the strategy with design 6/1 - negative return and no statistically significant excess of return over the return of the index.