There are various ways to make money in the financial market. All these methods are usually used by professional investors to achieve maximum profit goals while minimizing risks. One of the main tools for achieving these goals for an investor is far from trading or purchasing a block of shares in some highly reliable company in order to receive the greatest income.

The main way for investment professionals to achieve profitability goals and minimize risks is to build a portfolio of securities. In this article, we will try to understand in the most accessible language what a portfolio is, what it is actually needed for, and how to correctly form it in order to get it. To do this, you need to understand the 3 main components of this tool: types, goals and principles of formation. At the end of the article, we will try to understand the basic models of portfolio formation.

The essence of portfolio investment is to improve investment opportunities by imparting to the totality of investment objects those investment qualities that are unattainable from the position of a single object, but are possible only with their combination. The structure of the investment portfolio reflects the determination of the combination of interests of the investor.

In the process of forming an investment portfolio, a new investment quality with specified characteristics is ensured. Thus, the investment portfolio acts as a tool through which the required profitability is achieved with minimal risk and a certain liquidity.

An investment portfolio is understood as a set of investments in investment objects purposefully formed in accordance with a specific investment strategy. Based on this, the main goal of forming an investment portfolio can be formulated as ensuring the implementation of the developed investment policy by selecting the most effective and reliable investments. Depending on the direction of the chosen investment policy and the characteristics of the investment activity, a system of specific goals is determined, which can be:

• maximizing capital growth;
• maximizing income growth;
• minimizing investment risks;
• ensuring the required liquidity of the investment portfolio.

These goals for forming an investment portfolio are largely alternative. Thus, an increase in the market value of capital is associated with a certain decrease in the current income of the investment portfolio. An increase in capital value and an increase in income lead to an increase in the level of investment risks. The task of achieving the required liquidity may prevent the inclusion in the investment portfolio of objects that provide growth in capital value or high income, but are usually characterized by very low liquidity. Due to the alternative nature of the considered goals, the investor, when forming an investment portfolio, determines their priorities or provides for a balance of individual goals based on the direction of the developed investment policy.

The difference in the types of objects in the investment portfolio, investment goals, and other conditions determines the variety of types of investment portfolios, characterized by a certain ratio of income and risk. This is reflected in various classification schemes given in the economic literature.

The classification of investment portfolios by type of investment object is primarily related to the focus and volume of investment activity. For enterprises engaged in production activities, the main type of portfolio being formed is a portfolio of real investment projects, for institutional investors - a portfolio of financial instruments.

This does not exclude the possibility of forming mixed investment portfolios that combine different types of relatively independent portfolios (sub-portfolios), characterized by different types of investment objects and methods of managing them. At the same time, specialized investment portfolios can be formed both by investment objects and by more specific criteria: industry or regional affiliation, investment terms, types of risk, etc.

Thus, the investment portfolio of a firm (company) in a market economy includes, as a rule, not only a portfolio of real investments, but also a portfolio of securities, and can be supplemented by a portfolio of other financial investments (bank deposits, certificates of deposit, etc.).

The bank's investment portfolio may include combinations of the following portfolios: portfolio of investment projects; portfolio of investment loans; securities portfolio; portfolio of shares and shares; real estate portfolio; portfolio of investments in precious metals, collections and other investment objects.

Depending on the priority investment goals, we can distinguish:

• growth portfolio,
• income portfolio,
• conservative portfolio
• portfolio of highly liquid investment objects.

The growth portfolio and the income portfolio are focused primarily on investments that provide, respectively, capital growth or high current income, which is associated with an increased level of risk. A conservative portfolio, on the contrary, is formed by investment objects with a lower level of risk, which are characterized by lower rates of growth in market value or current income. A portfolio of highly liquid investment properties suggests the ability to quickly transform the portfolio into cash without significant loss of value.

These types of portfolios, in turn, include a range of intermediate varieties. For example, a growth portfolio can be divided into: a conservative growth portfolio, an average growth portfolio, and an aggressive growth portfolio.

Based on the degree of compliance with investment goals, balanced and unbalanced portfolios should be distinguished. A balanced portfolio is characterized by a balance of income and risks, corresponding to the qualities specified during its formation. It may include various investment objects: with a rapidly growing market value, highly profitable and other objects, the ratio of which is determined by market conditions. At the same time, the combination of various investments makes it possible to achieve capital growth and high income while reducing overall risks. An unbalanced portfolio can be considered as a portfolio that does not meet the goals set when it was formed.

Since the selection of objects in the investment portfolio is carried out in accordance with the preferences of investors, there is a connection between the type of investor and the type of portfolio. Thus, a conservative investor corresponds to a highly reliable but low-yielding portfolio, a moderate - a diversified portfolio, an aggressive - a highly profitable but risky portfolio.

Analysis of various theories of portfolio investment indicates that the formation of an investment portfolio should be based on certain principles. The main ones include:

• ensuring the implementation of investment policy, resulting from the need to achieve compliance of the goals of forming an investment portfolio with the goals of the developed and adopted investment policy;
• ensuring compliance of the volume and structure of the investment portfolio with the volume and structure of the sources forming it in order to maintain the liquidity and sustainability of the enterprise;
• achieving an optimal balance of profitability, risk and liquidity (based on the specific goals of forming an investment portfolio) to ensure the safety of funds and the financial stability of the enterprise;
• diversification of the investment portfolio, inclusion of various investment objects, including alternative investments to increase reliability and profitability and reduce investment risk;
• ensuring manageability of the investment portfolio, which involves limiting the number and complexity of investments in accordance with the investor’s ability to track the main characteristics of investments (profitability, risk, liquidity, etc.).

The formation of an investment portfolio is carried out after the goals of the investment policy are formulated and the priority goals for the formation of the investment portfolio are determined, taking into account the current conditions of the investment climate and market conditions.

The starting point for the formation of an investment portfolio is an interrelated analysis of the investor’s own capabilities and the investment attractiveness of the external environment in order to determine the acceptable level of risk in the light of the profitability and liquidity of the balance sheet. As a result of this analysis, the main characteristics of the investment portfolio are set (the degree of acceptable risk, the amount of expected income, possible deviations from it, etc.), and the proportions of various types of investments within the entire investment portfolio are optimized, taking into account the volume and structure of investment resources.

An important stage in the formation of an investment portfolio is the selection of specific investment objects for inclusion in the investment portfolio based on an assessment of their investment qualities and the formation of an optimal portfolio.

The general criteria for including various objects in an investment portfolio are the ratio of profitability, risk and liquidity of investments, however, the formation of specific portfolios has its own characteristics.

Unlike portfolios of other investment objects, a portfolio of real investment projects is, as a rule, the most capital-intensive, least liquid, high-risk, and also the most difficult to manage, which determines the high level of requirements for its formation and the selection of investment projects included in it.

A securities portfolio, in comparison with the types of investment portfolios discussed above, is characterized by a number of features. Positives include a higher degree of liquidity and manageability, negatives include the absence in some cases of opportunities to influence the profitability of the portfolio, and increased inflation risks.

The problems of forming a securities portfolio occupy one of the leading places in modern economic theory and practice, which is due to their relevance in a developed market. However, the conditions of the Russian economy do not allow the full application of the general provisions of the theory of portfolio investment and the arsenal of investment strategies formed in the West.

In this regard, when determining the basis for the formation of a stock portfolio, one inevitably has to limit oneself to using only those aspects of portfolio theory that can be, to some extent, adapted to Russian reality, and take into account the specific forms of manifestation of various factors affecting the choice of securities for portfolio investment in Russian economy.

The main factors determining the formation of a stock portfolio include:

• priorities of investment goals, the implementation of which determines the choice of a specific type of investment portfolio;
• degree of diversification of the investment portfolio;
• the need to ensure the required portfolio liquidity;
• level and dynamics of interest rates;
• level of taxation of income on various financial instruments.

In accordance with the purpose of investment, the formation of a portfolio of securities can be carried out on the basis of a different ratio of income and risk characteristic of a particular type of portfolio. Depending on the selected portfolio type, securities with appropriate investment properties are selected.

The conditions of the domestic stock market, characterized by unstable conditions, sharp changes in quotes, a high level of risk, as well as a lack of high-quality securities, determine a small variety of portfolios in comparison with countries with developed market economies and their specificity. Thus, government securities have been the preferred object of portfolio investment for a long time. At the same time, if in developed countries government securities form a conservative portfolio, which is highly reliable but low-yielding, then a portfolio, for example, GKOs that provide high yield, does not correspond to the generally accepted characteristics of a conservative portfolio.

Securities portfolios built on the principle of diversification involve a combination of a sufficiently large number of securities with multidirectional dynamics of the movement of market value (income). Such diversification may be of an industry or regional nature, and may also be carried out across different issuers. Diversification, designed to reduce investment risks while ensuring maximum profitability, is based on differences in fluctuations in income and market value of securities.

In accordance with modern portfolio theory, the results of simple diversification and diversification by industry, enterprise, region, etc. are essentially identical. Analytical data shows that the presence of 10-15 different securities in a portfolio significantly reduces the risk of investments; a further increase in the number of assets and an increase in the degree of diversification does not play a significant role, ceteris paribus, in reducing investment risk and is inappropriate, since it leads to the effect of excessive diversification.

The effect of excessive diversification is characterized by an excess of the growth rate of costs for its implementation over the growth rate of portfolio profitability, which is associated with an increase in the complexity of high-quality portfolio management with an increase in the number of securities, an increase in the likelihood of acquiring low-quality securities, an increase in costs for the selection of securities, for the purchase of small lots of securities papers and other negative phenomena.

It should be noted that since in real economic practice enterprises operate within the framework of one economic system with its inherent patterns and relationships, when modeling the most risk-free portfolio, one should analyze not only the qualities of individual types of securities, but also the correlation between them. Moreover, in accordance with portfolio theory, the lowest risk is achieved in the case of forming a portfolio of stocks whose price movements demonstrate a negative correlation.

In the conditions of the domestic stock market, the use of the principle of diversification of assets by industry is significantly limited due to the small number of securities of acceptable quality traded on it and their distribution across economic sectors. Thus, shares quoted in the Russian trading system represent only six sectors of the economy, with about 80% of all shares accounting for the oil and gas complex. In this regard, in Russian practice it is difficult to apply another rule for working with a portfolio of securities on developed stock markets, associated with the principle of diversification - reviewing the composition of the portfolio at least once every three to five years.

The specificity of the Russian stock market is also manifested in the fact that it has an internal structural division depending on the liquidity of the shares. In addition to significant differences in liquidity, shares of different echelons are characterized by different trajectories of exchange rates. Thus, there is a fairly high correlation between the prices of shares included in one echelon, and, on the contrary, a significantly lower, and often negative, correlation of shares of different echelons. This creates certain prerequisites for effective, from the standpoint of risk reduction, diversification of a portfolio, the elements of which may include shares of different echelons.

The principle of portfolio diversification, which consists in the formation of groups of shares that differ in the degree of liquidity, differs from generally accepted principles and, to a certain extent, replaces the principle of portfolio diversification by industry characteristic characteristic of developed markets.

In conditions of significant differences in the degree of liquidity, the requirement to ensure the liquidity of a securities portfolio in relation to Russian corporate securities can be achieved to the greatest extent by forming a portfolio of shares that are actively traded in the Russian trading system and on the Moscow Interbank Currency Exchange. In this case, an important condition is the acquisition of these securities at low prices. This is due to the fact that the corporate securities market is characterized by high spreads in the purchase and sale prices of shares even for the most traded securities. The expected income from an increase in the market value of shares can be offset by a high spread when they are sold on the market.

The level of expected income on securities, as is known, is inversely related to the level of the interest rate, which determines the importance of taking into account possible changes in this indicator when forming an investment portfolio. The interest rate is an important component of the current rate of return on financial investments, which sets the economic limit for the acceptability of the securities in question. Therefore, the risk of rising interest rates may necessitate adjustments to the stock portfolio.

One of the factors influencing the formation of an investment portfolio is the level of taxation of income on individual financial instruments. If there is a single tax rate for income from shares, then tax benefits can be established for state and municipal securities. The presence of such tax benefits can create sufficient motivation for the inclusion of relevant financial instruments in the portfolio being formed, the formation of such types of stock portfolios as a portfolio of tax-exempt securities, a portfolio of state and municipal securities.

A portfolio of securities formed taking into account all the factors considered is subject to a cumulative assessment based on the criteria of profitability, risk and liquidity, which should show whether its main characteristics correspond to the given type of portfolio. If it is necessary to strengthen the target orientation of the portfolio according to certain criteria, certain adjustments are made to it.

Investments in securities are always accompanied by the need to solve a dilemma: invest money in a stock with high income and high risk, or be content with lower income, but also lower risk.

The choice of option depends on the nature of the investor, the amount of investment and its share in the investor’s total capital.

For our further discussions it is necessary to introduce a very important concept - the principle of market equilibrium. This principle is based on the fact that the securities market is a well-balanced system. This means that under normal market conditions, sellers of securities and their buyers constantly and actively interact and, as a result, the gap between bid and offer prices is very small. Stock market operators quickly come to recognize their equilibrium values. This situation is ensured by the fact that all securities traded on the market are available for sale at any time and, in addition, the administration of stock exchanges provides a number of administrative measures aimed at reducing the gap in supply and demand prices.

Based on the principle of market equilibrium, we can draw conclusions: profitability R m corresponds to the lowest possible degree of risk Om; maximum possible profit corresponding to the risk Om, is achieved with a portfolio structure identical to the structure of market turnover.

Because of this, the main task of the investor becomes the maximum reproduction of the market structure in his portfolio with its periodic adjustments.

The most important element of the stock market is guaranteed fixed income securities, such as government bonds. The absence of risk on these securities entails a minimum level of profitability. Because of this, guaranteed securities are the main regulator of profits and risks.

Let us assume that the value of the yield on guaranteed securities is expressed by the quantity Z. In this case, any investment portfolio containing securities with varying degrees of risk will give a higher profit than investments in guaranteed securities of similar volume. Therefore, we can conclude that replacing any securities with more profitable ones increases the risk of the portfolio.

From the foregoing follows a relationship known as the capital line, which connects performance indicators and the degree of risk of the portfolio, i.e.

Rp And O p (R p≤ R mWed; O p≤ Om):

R p = Z + ((R mWed - Z)/O m). O p, (5.1)

Where Rp - profitability (efficiency) of the stock portfolio; Z - guaranteed interest paid on government securities;
Rmcp- average market return of shares for the period k; ABOUTm - standard deviation of market securities; O r- standard deviation of shares of the securities portfolio.

At Rp = Rmcp And O p =Om expression (5.1) takes the form:

R mcp = Z + ((R pcp - Z)/O p). Om (5.2)

To further analyze the portfolio structure, we use perhaps the most important indicator of the securities market - the beta coefficient (B), calculated using the formula:

B = (∑ (R i - R icp)× (R m - R mcp)) / k: O m (5.3)

Beta measures changes in individual stock returns relative to changes in market returns. Securities with a B above one are characterized as aggressive and are riskier than the market as a whole. Securities with IN Fewer units are considered more secure and remain less risky than the market as a whole. Additionally, the beta coefficient can be positive or negative. If it is positive, then the effectiveness of the securities for which it is calculated IN, will be similar to the dynamics of market efficiency; with negative B, the efficiency of this security will decrease.

Beta is also used to determine the expected rate of return. The stock pricing model assumes that the expected rate of return on a particular security is equal to the risk-free return ( Z) plus B (risk indicator) multiplied by the basic risk premium ( Rmcp - Z).

As an indicator Rmcp Usually the value calculated according to some well-known market index is taken (in Russia the AK&M index is used for shares of industrial enterprises).

This model is described by the following formula:

R icp = Z + (R mcp - Z). B i (5.4)

In order for the return on a security to match the risk, the price of the common stock must decline. Due to this, the rate of return will increase until it becomes sufficient to compensate for the risk taken by the investor. In an equilibrium market, prices for all common shares are set at a level at which the rate of return on each share balances the investor's risk associated with owning this security. In this case, in accordance with the levels of risk and rate of return, all shares are placed on the direct securities market.

This type of portfolio is focused on obtaining high current income - interest and dividend payments. The income portfolio is composed mainly of income stocks, characterized by moderate growth in market value and high dividends, bonds and other securities, the investment property of which is high current payments. The objects of portfolio investment are highly reliable stock market instruments with a high ratio of consistently paid interest and market value.

A regular income portfolio is formed from highly reliable securities and brings an average income with a minimum

A portfolio of income securities consists of high-yield corporate bonds, securities that generate high income with an average level of risk.

Portfolio of growth and income

The formation of this type of portfolio is carried out in order to avoid possible losses on the stock market, both from a drop in market value and from low dividend or interest payments. One part of the financial assets included in this portfolio brings the owner an increase in capital value, and the other - income. The loss of one part can be compensated by the increase of another. Let us characterize the types of this type of portfolio.

Dual-use portfolio This portfolio includes securities that bring its owner high income with the growth of invested capital. In this case we are talking about securities of dual-use investment funds. They issue their own shares of two types, the first bring high income, the second - capital gains. The investment characteristics of the portfolio are determined by the significant content of these securities in the portfolio.

A balanced portfolio involves balancing not only income, but also the risk that accompanies transactions with securities, and therefore, in a certain proportion, consists of securities with a rapidly growing market value and high-yield securities. The portfolio may also include high-risk securities. As a rule, this portfolio includes ordinary and preferred shares, as well as bonds. Depending on market conditions, the majority of funds are invested in certain stock instruments included in a given portfolio.

Taking into account the current state of the economy of Kazakhstan and the degree of development of its stock market, the specific goals of portfolio investment of enterprises may be:

preservation and increase of capital in relation to securities with increasing market value;

acquisition of securities that, according to the terms of circulation, can replace cash (bills);

access to scarce products, property and non-property rights;

speculative play on exchange rate fluctuations in conditions of stock market instability;

insurance against risks by purchasing government bonds with guaranteed income, etc.

FINANCIAL ANALYSIS OF SECURITIES CHARACTERISTICS

2.1 Management and evaluation of the securities portfolio

Financial analysis is carried out at the second stage of the securities portfolio management process and represents the preparation of data necessary for the work of the portfolio manager.

Conducting financial analysis is associated with the need to determine the specific characteristics of securities and identify those securities that appear to investors to be incorrectly valued in the present.

When determining the main characteristics, the main factors influencing the securities are considered and their susceptibility to this influence is established. Such a factor may be, for example, the size of tax payments, which are not the same for securities of interest to the investor.

The level of inflation has a significant impact on investment decisions, and as the period increases, the income on shares changes. The manager must also consider the relationship between profits, dividends and investments.

Identification of mispriced securities is usually carried out using fundamental analysis methods and involves searching for and detecting situations where estimates of a company's future earnings and dividends either differ significantly from generally accepted wisdom, are more accurate, or have not yet been reflected in the market price of the securities.

As part of fundamental analysis, the identification of incorrectly priced securities can be carried out on the basis of determining their intrinsic (true) value.

The procedure for analyzing intrinsic value is similar to the net present value method and is based on an assessment of the capitalization of income. If we apply the income capitalization method to the valuation of bonds, then its essence will be to compare two values ​​of the yield to maturity indicator:

the existing profitability and the required one (i.e. the value that is, in the manager’s opinion, correct). Bond intrinsic value (V) can be calculated using the formula:

C t - estimated cash flow (payments to the investor) by year;

y* - required yield to maturity;

n is the remaining circulation period.

Since the purchase price of a bond is its market rate (R), then for the manager the net present value (NPV) equals the difference between the bond price (V) and purchase price:

(2)

If a bond has a positive NPV, it is undervalued. Negative indicates that the bond is overvalued. Finally, an NPV of zero is considered to be an accurate valuation of the bond.

The income capitalization method can also be applied to stock valuations. Internal (true) cost of capital (V) will be calculated as the sum of the present values ​​of expected receipts and payments:

C t – expected receipt (or payment) associated with capital at time t;

k – discount rate for cash flows of a given risk level.

Since the cash flow is expected in the future, its value is adjusted using a discount rate that takes into account not only the change in the value of money over time, but also the risk factor.

In the above equation, the discount rate is assumed to be constant throughout the entire investment period (to infinity).

For convenience of calculations, the current time is assumed to be zero. If the cost of acquiring an asset at a point in time t=0 make up P, then its net present value (NPV) equal to the difference between the intrinsic value of the asset and the acquisition costs:

(4)

Calculating NPV makes it possible to make a decision on purchasing an asset (share). A stock is considered acceptable and considered undervalued if its NPV>0. A stock is considered unacceptable and considered overvalued if its NPV<0.

A stock is undervalued if V>P and overvalued if V

Since the financial proceeds associated with an investment in common stock are dividends that the owner of the stock expects to receive in the future, the stock wall method of capitalization of income is called the dividend discounting model. To determine the intrinsic value of shares (V), the following equation is used:

D t - expected payments on the stock in time period t.

Additional difficulties in calculations arise due to the need to predict an endless stream of dividend payments, since the circulation time of ordinary shares is not limited. This problem can be solved and calculations can be made taking into account some assumptions regarding dividend growth in the future.

The first assumption is that the dividend remains unchanged. This is the simplest case where the dividend growth rate is zero - the zero growth model. The intrinsic value of the stock (V) in this case is determined by the formula:

D 0 – fixed dividends.

The zero-growth model is also used to determine the intrinsic value of preferred shares, since most preferred shares pay regular, fixed dividends.

The second assumption is related to changing dividends, which grow from period to period in the same proportion, i.e. with the same growth rate. The constant growth model assumes that dividends per share paid in the previous year (D 0 ), will grow in this proportion (g) so that next year payments are expected in the amount: D 1 =D 0 (1+g), in a year in the amount: D 2 =D 1 (1+g), etc.

Then the intrinsic value of the stock will be:

(7)

The third assumption is described using a variable growth model. The main feature of this model is the time period in the future (T), after which dividends are expected to grow at a constant rate (g).

In this case, it is necessary to make a forecast of dividends before the period T based on an individual forecast for the amount of dividends for each period, and also calculate the occurrence of the moment T. After the moment comes T Dividends will grow as follows:

(8)

The intrinsic value of shares in this model will be determined as the sum of the present value of dividends paid up to and including period T1, and the present value of all dividend payments after period T2,

The formula for calculating the intrinsic value of shares (V) will take the following form:

(10)

The intrinsic value of the shares determined in this way (V) is compared with its current market rate (R). If a stock is undervalued, then its intrinsic value is higher than the current exchange rate (V> P), and such shares are recommended to buy. If the current exchange rate exceeds the internal value (V< P) the stock is considered overvalued, which serves as a signal to sell it.

Based on a thorough study of individual types and groups of securities, identifying possible cases of their undervaluation by the market, the manager determines specific securities for investment and the amount of funds invested in them.

The investor will choose his optimal portfolio from a variety of portfolios, each of which:

Provides the maximum expected return for a certain level of risk;

Provides minimal risk for a certain expected return.

After a certain time, the initially formed portfolio can no longer be considered by the manager as optimal, the best for the investor due to a change in his attitude to risk and profitability, as well as investment preferences or a change in the manager’s forecasts. In this case, the manager must reconsider the portfolio. First, he must determine what the new optimal portfolio will be; secondly, identify those types of securities in the existing portfolio that need to be sold, and the types of securities that should be bought in return; thirdly, restructure the existing portfolio.

Portfolio revision is associated with certain additional costs, for example, brokerage commissions, losses from changes in securities prices, the difference between purchase and sale prices, etc. For a revision to be effective, the benefits of portfolio revision must exceed the costs, provide an increase in expected return, and a decrease in the standard deviation of the portfolio.

The manager's main goal is to select securities that, taking into account the additional costs associated with revision, will maximize the risk and return of the portfolio. To reduce costs, many managers resort to a repricing strategy not for individual securities, but for entire asset classes using the swap market.

Swaps, in their purest form, are contracts between two parties that exchange cash flows over a specified period of time. The swaps market is not regulated by the government. Dynamism, the emergence of new types and types of swaps and

the lack of guarantees of the reliability of partners are its main characteristics. The parties involved in the swap themselves bear the risk of the partner's reliability and therefore must pay special attention to his creditworthiness in order to reduce the risk of non-payment under the contract. Often, a swap dealer is a bank that arranges swaps for its clients, acting as a party to the contract.

The most common are equity and interest rate swaps.

In an equity swap, one party agrees to pay the other a sum of money that depends on changes in the agreed-upon stock index. The second party, in turn, agrees to pay the first a fixed amount of funds based on the current interest rate. Both streams of payments under the contract must be made during a specific period and require the payment of a certain rate of interest on the face value specified in the contract (the interest rate is floating for one party and fixed for the other). Essentially, with a swap, the first party sells shares and buys bonds, and the second party sells bonds and buys shares. Both parties effectively renegotiate their portfolios with minimal additional costs, which are determined only by the amount of commission paid to the bank for arranging the swap.

In an interest rate swap, one party agrees to make a stream of payments to the other party based on a representative interest rate (London Interbank Offered Rate (LIBOR) is popular). The second party to the agreement will make a stream of fixed payments to the first party, which is based on the level of interest rates at the time the contract is signed. Both streams of payments must be made within a specific period and are determined as a percentage of the face value of the contract. For one side the interest rate is floating, for the other side it is fixed. With an interest rate swap, the first party is essentially selling short-term fixed income securities. As a result, both parties effectively and with minimal additional costs review their portfolios.

Typically, the effectiveness of portfolio management is assessed over a certain time interval (one year, two years, etc.), within which periods (months, quarters) are distinguished. This ensures a sufficiently representative sample for statistical assessments.

To assess the effectiveness of portfolio management, it is necessary to measure the profitability and level of its risk.

Determining profitability is not difficult if throughout the entire period of ownership and management of the portfolio it remained unchanged, i.e. there were no additional investments or withdrawals. In this case, the profitability is determined based on the market value of the portfolio at the beginning and at the end of the period under review:

K – portfolio return;

V 1 is the final value of the portfolio;

V 0 – initial value of the portfolio.

The market value of a portfolio is calculated as the sum of the market values ​​of the securities included in the portfolio at a given point in time.

If the portfolio changed during the analyzed period, it is important at what point in time changes were made to it (i.e., funds were invested or withdrawn).

If additional investments (or, conversely, withdrawals of funds) were made immediately before the end of the analyzed period, then the final value of the portfolio should be adjusted when calculating profitability. It must be reduced by the amount of the additional deposited amount or increased by the amount of withdrawn funds.

Determining the annual return of a portfolio can be done in two ways. You can use the usual summation of quarterly returns. However, a more accurate value of the annual return will be the rate calculated using the compound interest formula, since it takes into account the value of one ruble at the end of the year, provided that it was invested at the beginning of the year, and assumes the possibility of reinvestment as the ruble itself. So and any profit received on it at the beginning of each new quarter:

To assess the effectiveness of portfolio management, it is also necessary to assess the level of its risk for the selected time interval. Typically, two types of risk are measured: market risk, measured by beta, and total risk, measured by standard deviation. The correct choice of the analyzed

risk is of great importance. If the investor's portfolio under evaluation is his only investment, then the most appropriate measure of risk is total risk, as measured by standard deviation. If the investor has several financial assets, then the correct assessment of the market risk of the portfolio, measured by the beta coefficient, and its impact on the overall level of risk will be correct.

To assess the total risk of a portfolio for a selected time interval, the formula is used:

(13)

k pt – portfolio return for period t;

ak p - average portfolio return;

T – the number of periods into which the time interval is divided.

The average portfolio return is determined by the formula:

A risk-based measure of portfolio management performance is constructed to show how effective it is compared to a benchmark portfolio and a set of other portfolios.

A measure of effective portfolio management, based on the principle of risk accounting, is the difference between the average portfolio return (αК р) and the return of the reference portfolio (αК b р). This difference is called differentiated profitability:

A positive value for α p of a portfolio means that its average return, taking into account risk, exceeded the return of the reference portfolio, which means that management was highly effective. A negative value indicates ineffective portfolio management, since its average return was lower than the return of the reference portfolio.

A benchmark portfolio is a portfolio that typically consists of a combination of stocks that serve as the basis for a market index and risk-free securities. Each specific combination of assets is chosen so that the risk of the reference portfolio is equal to the risk of the investor. So, for example, an investor's portfolio with a beta of 0.8 is compared to a benchmark portfolio that is 80% stocks in a selected market index and 20% risk-free stocks.

Active and passive portfolio management

There are two tactics for managing a securities portfolio: passive and active.

The debate between proponents of active and passive management has been going on for more than two decades without any visible results. At stake are billions of dollars in management fees, professional reputations and even, some argue, the efficient functioning of capital markets.

Passive management involves purchasing securities for a long term. The investor selects a certain indicator as a goal and forms a portfolio, the change in profitability of which corresponds to the dynamics of this indicator. After purchasing a portfolio of securities, additional transactions with them (with the exception of reinvestment of income and some adjustment of the portfolio to achieve exact compliance with the selected indicator) are rarely made. Because the target is (although not always) a broadly diversified market index, passive management is sometimes called indexing, and passive portfolios are called index funds.

Active management involves systematic efforts to achieve results that exceed a selected target. There is a wide variety of approaches to active management. Any active management involves searching for mispriced securities or groups of securities. Accurately identifying and successfully buying or selling such mispriced securities offers the potential for an active investor to achieve better results than a passive investor.

Passive management is a relatively new direction in the investment business. Until the mid-1960s. the axiom was the rule about

that investors should strive to find mispriced stocks. Some investment strategies had certain features of a passive strategy, such as buying reliable blue chips over the long term. However, even such strategies were based on the desire to obtain a better result in comparison with some, often not clearly defined, market goal. For practical purposes, the concepts of broad diversification and passive management were not used.

Attitudes changed in 1960, when Markowitz's concept of portfolio selection became generally known, the efficient market hypothesis was introduced, an emphasis was placed on the "market portfolio" based on the capital asset pricing model, and various academic studies suggested the futility of active management. Many investors, especially large institutional ones, have begun to question the wisdom of actively managing their assets. The first national stock index fund appeared in 1971. By the end of the decade, about $100 million.

was invested in index funds. Today in national

and international stock and bond index funds have hundreds of billions of dollars invested. Even individual investors have started to prefer index funds. Passively managed portfolios have emerged as one of the fastest-growing investment products offered by a wide variety of mutual funds.

Proponents of active management argue that capital markets are not efficient when justifying the search for mispriced securities. Their opinions may differ only in the extent to which they assess the inefficiency of markets. For example, technical analysts assume that predictive and emotional investors determine market conditions. This creates numerous income opportunities for creative and disciplined investors. In contrast, managers who use predominantly quantitative tools

investment analysis often reveals narrower and less obvious income opportunities. However, active managers believe that mispricing can always be exploited. As evidence, they often point to the outstanding performance of particularly successful managers and various studies that talk about market inefficiencies.

Some proponents of active management bring a moral dimension to the active versus passive management debate. They argue that investors ultimately have a responsibility to seek out mispriced securities because their actions lead to more efficient allocation of capital. Moreover, some advocates ironically argue that passive management implies untalented and mediocre performance.

Proponents of passive management do not deny that there are opportunities to generate additional returns or that some managers have produced impressive results. They argue, however, that capital markets are efficient enough to allow consistently superior returns only to individuals who have inside information. They argue that examples of past success are more likely to be the result of luck rather than skill. If 1000 people toss a coin 10 times, there is a chance that one of them will always land heads up. In the investment industry, such a person would be called a brilliant financial manager.

Proponents of passive management also argue that the expected returns under active management are actually lower than those obtained under passive management. The fees charged by active managers tend to be much higher than those charged by passive managers (the difference on average ranges from 0.30 to 1.00% of the value of assets under management). In addition, passive portfolio management typically incurs low transaction costs, whereas active management transaction costs can be quite high, depending on the volume of transactions. It is precisely because of the difference in the level of expenses that it is argued that passive managers get better results compared to active ones or, in other words, that passive management gives higher results than average.

The debate between proponents of active and passive management will never be completely resolved. The random “noise” inherent in the performance of securities obscures the skill of active managers. As a result, subjective aspects dominate the dispute, and therefore neither side can convince the other of the correctness of its point of view.

Despite the rapid growth of assets managed by passive managers, the majority of national and international portfolios of stocks and bonds are managed using active methods.

management. Many large institutional investors, such as pension funds, have chosen the middle ground, using both passive and active managers. In general, such a strategy can be seen as a rational response to the unresolved debate about active and passive management. Obviously, all assets cannot be managed passively - who, in this case, will maintain securities prices at the level of their “true” value? At the same time, investors with above-average qualifications and abilities are still in a clear minority among those offering their services to investors.

The problem of choosing an investment portfolio

To form an investment portfolio, the main thing is to determine the investor’s investment goal. According to modern portfolio theory, an investor's goals are reflected in his attitude toward risk and expected return. One of the widely used methods for determining such goals is the construction of indifference curves that characterize investor preferences. This curve on the criterion plane consists of estimates of equivalent portfolios. The choice between portfolios whose valuations lie on such a curve is indifferent to the investor. At the same time, comparisons of portfolios whose valuations lie on different curves indicate that any portfolio with a valuation on one curve is preferable to a portfolio with a valuation on another curve.

An indifference curve can be represented as a two-dimensional graph in which risk is plotted along the x-axis, the measure of which is

standard deviation (σ р), and on the y-axis – risk reward, the measure of which is the expected return (r р).

The figure shows three indifference curves, each of which represents all possible combinations of investor assessments of the risk and return of portfolios.

Figure 1 Standard Deviation

Indifference curves have two important properties. First: all portfolios lying on the same indifference curve are equivalent. Portfolios I1, I2, I3 will be equivalent for the investor, despite the fact that they have different expected returns and standard deviations. At the same time, portfolio I3 has a greater risk than portfolio I1, and from the point of view of this parameter it is worse, but portfolio I3 benefits due to a higher expected return than portfolio I1.

The second property of indifference curves: any portfolio lying on the curve located above is more attractive to the investor compared to a portfolio lying on the curve located below. Portfolio I2, which lies on a curve above the curve of portfolio I1, has a higher return, which compensates for its greater risk, but at the same time less risk than portfolio I3, which compensates for the lower expected return, so portfolio I2 is preferable for the investor compared with portfolios I1 and I3. Due to the described properties, indifference curves never intersect.

Based on the investor's attitude to risk and return and their assessments, the investor can have an infinite number of indifference curves. These curves pass through each point of the criterion plane, completely filling it. The nature of the location of the curves means the interchangeability of profitability and risk individually for the investor. Steep indifference curves indicate a more cautious investor than flat curves.

In the first case, the investor is willing to accept a small increase in risk only with compensation in the form of a significant increase in profitability. In the second case, the investor is willing to accept a significant increase in risk for the sake of a small increase in profitability.

When choosing a portfolio based on indifference curves, the manager proceeds from two assumptions: non-saturation and risk avoidance. It is assumed that the investor always prefers to increase his level of wealth. However, if an investor needs to choose between portfolios with the same level of expected return, but different levels of risk, then he will choose the portfolio with less risk.

So, the main parameters when managing a portfolio that a manager needs to determine are the expected return and risk. When forming a portfolio, the manager cannot accurately determine the future dynamics of its profitability and risk, so he bases his choice on expected values. These values ​​are estimated based on statistical reports for previous periods of time. The manager can adjust the received assessments according to his ideas about the development of the future environment.

Since the portfolio formed by an investor consists of a set of different securities, its return and risk will depend on the return and risk of each individual security. In addition, the expected return of a portfolio depends on the amount of initial capital invested in specific securities.

The expected return of a portfolio can be calculated in two ways. The first method is based on values ​​at the end of the period and involves calculating the expected price of the portfolio at the end of the period and the level of return:

r p – expected portfolio return;

W 0 - initial value of the portfolio;

W1 is the expected value of the portfolio at the end of the period.

The second method is based on the use of the expected return of securities and involves calculating the expected return of the portfolio as the weighted average of the expected returns of the securities included in the portfolio. Relative market rates of portfolio securities are used as weights:

x i is the share of the initial portfolio value invested in the i security;

r i – expected return of the i security;

N – number of securities in the portfolio.

An investor who wants the highest possible return should have a portfolio consisting of a single security that has the highest expected return. However, the manager will advise the investor to diversify his portfolio, i.e. include several securities in it, thereby reducing risk.

The investment risk of a portfolio is defined as the variability of returns, which is measured by the standard deviation (dispersion) of the distribution of portfolio returns.

The expected risk of a portfolio is a combination of standard deviations (variances) of the securities included in it. However, unlike expected returns, portfolio risk is not necessarily a weighted average of the standard deviations (dispersions) of security returns. The fact is that different securities may react differently to changes in market conditions. As a result, the standard deviations (dispersions) of the returns of various securities in some cases will cancel each other out, which will lead to a decrease in portfolio risk. Portfolio risk depends on the direction and extent to which the

the profitability of the securities included in it when market conditions change.

To determine the relationship and direction of security returns, the conversion indicator and the correlation coefficient are used.

(18)

σ xy – covariance of returns of securities X and Y;

r xi is the rate of return on security X in period i;

r y i – expected rate of return on security Y in period i;

N – number of observations (periods) of securities returns.

3. WAYS TO SOLUTION THE FINANCIAL AND STOCK MARKET IN THE REPUBLIC OF KAZAKHSTAN

At the present stage of development of Kazakhstan as a new independent state focusing on market relations, the main direction of economic reforms is the development and implementation of state investment policy aimed at ensuring high rates of economic growth and increasing economic efficiency. In the current conditions, in order to ensure structural transformations of the economy on the basis of the government’s action program to deepen reforms and in conditions of limited domestic sources of financing, attracting foreign capital to the economy of the republic is of utmost importance.

Attracting and effectively using foreign investment in the economy of the Republic of Kazakhstan is the basis, one of the areas of mutually beneficial economic cooperation between countries. With the help of foreign investments, it is possible to really improve the deformed production structure of the economy of Kazakhstan, create new high-tech industries, modernize fixed assets and technically re-equip many enterprises, train specialists and workers, introduce advanced achievements in management, marketing and know-how, fill the domestic market with high-quality domestically produced goods with a simultaneous increase in export volumes to foreign countries.

Attracting foreign investment into the economy of Kazakhstan is an objectively necessary process. The world experience of many countries shows that the influx of foreign capital and government regulation of its use have a positive impact on the economy. Investments contribute to the establishment and strengthening of private entrepreneurship in countries with medium and low levels of economic development, mobilize capital for the implementation of serious projects, the creation of mixed companies, and loan capital markets. The strategy and tactics for overcoming the crisis depend on how successfully the economy of Kazakhstan will integrate into world economic relations.

In Kazakhstan, as in other post-communist states of Eastern Europe and the former USSR, which are in the process of forming market relations, the matter is not only the lack of domestic savings for rapid modernization of the economy. The investment climate is a criterion for the maturity of market reforms, the world community's trust in the stability of property rights, and in the situation in a given country as a whole. In 1996, leading rating agencies announced the assignment of credit ratings to Kazakhstan. In the fall of 1996, in order to enter the international financial market, as a result of credit rating presentations by three leading international agencies, Kazakhstan was assigned ratings at the BB level for the first time. Among the CIS and Baltic countries, Kazakhstan is the second state after Russia to receive an international credit rating. Argentina, Mexico, the Philippines, Turkey, Pakistan and Brazil are at approximately the same level. It is necessary to take into account that, unlike all these countries that have a mature and well-functioning state system, Kazakhstan in the international arena is essentially a new independent state, about which many creditors and investors still do not have a clear and precise idea. Therefore, the first debut of Kazakhstani euronotes at the end of 1996 on the international financial capital markets of the USA, Europe and Asia can be considered a great success.

Although Kazakhstan is characterized by an abundance of natural resources and a strategic location, according to many foreign investors, the investment climate of the Republic of Kazakhstan is promising, but still unstable. Instability is accompanied by the predominance of a number of negative factors that impede the influx of foreign investment into the republic. The presence of these factors is due to the negative internal policy of the Government of the Republic of Kazakhstan towards foreign investments. As a result of a survey of interested foreign investors, five main barriers to the influx of foreign investment into Kazakhstan were identified:

1) bureaucracy;

2) financial risk;

3) tax and financial regime of Kazakhstan;

4) legal infrastructure/pace of change in the field of law;

5) exchange control.

Two of the five factors, not being purely economic, have a significant impact on the influx of investment into the republic. And although factors such as the tax and financial regime and currency control in Kazakhstan are recognized as one of the liberal ones in the CIS countries, they also do not contribute to the influx of foreign investment. Financial risk involves inflation and currency fluctuations.

It is important to note that what is important to a foreign investor is not preferential tax conditions, but their stable, predictable and cost-effective state for both the state and the investor. There is no doubt that all these factors are related to the overall economic strategy of the government, so solving these problems requires an integrated approach. We need a clear guideline, an action program to attract foreign investment, and on the basis of this program it is necessary to create levers for managing, attracting and stimulating external investment. This opinion is shared by many economists.

It seems that a consistently pursued course towards property privatization and denationalization will play a significant role in attracting foreign investment. A market mechanism for regulating foreign economic activity is being created that is adequate to modern international requirements. Complex, bureaucratic, with a predominance of administrative methods, it is gradually being replaced by a simple and understandable one for foreign partners, with a clear distribution of functions.

But, despite all the transformations carried out by the government of the republic, the rich natural resources of Kazakhstan remain the basis for broad and comprehensive investment cooperation. According to the conclusions of UNESCO experts, the land of Kazakhstan, if used wisely, can feed more than 1 billion people (2). Universal literacy of the population and at the same time the relative cheapness of labor, political stability, and the absence of interethnic conflicts are real socio-economic advantages of Kazakhstan, which is striving for broad investment cooperation with foreign partners.

It should not be overlooked that when creating a favorable investment climate, one should take into account not only internal, but also external factors that can influence it, the general state of the world capital market and the fact that foreign investors, expanding the scope of their activities, prefer to deal with countries with stable political situation and similar socio-economic conditions. Therefore, Kazakhstan needs to create especially favorable conditions for them at the first stages of attracting foreign investment.

Kazakhstan strives to create a favorable social, financial, economic, and legal regime for the activities of foreign investors and an investment climate that meets their interests, to simultaneously solve its problems and achieve its goals. In this regard, the Government of the Republic of Kazakhstan took a significant step: the Law “On Foreign Investments” was developed and put into effect in December 1994, which determined the legal regime of foreign investments in Kazakhstan, established the forms of implementation and objects of investment of foreign investments in the Republic of Kazakhstan . And in July 1997, a new law was adopted with significant additions and changes.

The legal regime provides guarantees for foreign investors, the main ones of which are:

1) national treatment, i.e. foreign investors have the right to enjoy conditions no less favorable than domestic investors;

2) government guarantees on behalf of the republic;

3) guarantees against changes in legislation and the political situation;

4) guarantees against expropriation, etc.

Also, the Government of the Republic of Kazakhstan developed and put into effect other laws and regulations governing investment activities in the republic. From the point of view of politicians and economists of the republic, with the participation of foreign capital the following tasks can be solved:

– increase the efficiency of export potential, overcome its raw material orientation and develop import-substituting industries;

– strengthen the country’s export expansion and strengthen its position in foreign markets;

– increase the scientific and technical level of production with the help of new equipment and technologies, management methods and sales of products;

– increase tax revenues to the state budget;

Promote the development of backward and depressed areas and create new jobs in the national economy;

Use modern production and management experience through training and retraining of personnel;

Achieve economic independence of Kazakhstan.

Thus, foreign investment acts as an objectively necessary process for Kazakhstan, because it helps curb the crisis and, at the same time, financial stabilization of the economy, solves strategic and tactical problems of a macroeconomic nature, such as the fight against inflation, structural adjustment, and eradication of the technological and managerial backwardness of the economy. That is, all these factors prove the importance of attracting and using external capital investments.

The most important factor hindering the influx of portfolio investment into the republic is the fact that Kazakhstan does not have a normally functioning securities market - the real basis for attracting such investments into this area. Despite the successful debut of Kazakhstani Eurobonds on the world capital market (their issue took place in December 1996 G. in Amsterdam) and the opinions of experts that Kazakhstan has taken its first successful step in developing integration into the international securities market, the domestic stock market of the republic is not sufficiently developed. It operates at a relatively low level and is not yet recognized on the global stock market. Legislation regulating this area of ​​the economy is in its infancy and is unstable. The remaining factors directly follow from the previous one: uncertainty, “opacity” of the republic’s securities market, huge risks associated with them - all this deters foreign investors from investing money in Kazakhstan’s securities.

And yet, portfolio investments were attracted in Kazakhstan, and they were attracted mainly through the participation of foreign capital in privatization on individual projects, which covered 143 objects of the national economy, but by mid-1994 only 4 were actually privatized with the participation of foreign capital, including Almaty Tobacco Factory, acquired by Philip Morris, Almaty and Karaganda Margarine Factories, Shymkent Confectionery Factory. In 1994, portfolio investments amounted to US$25 million. In subsequent years, the number of Kazakhstan enterprises acquired by foreign investors increased, and accordingly, the influx of portfolio investments into the republic increased, as evidenced by data from the National Statistical Agency of the Republic of Kazakhstan for 1995-1996. – 37.2 million and 205 million dollars, respectively (3).

Thus, taking into account the above information, the following forms of external borrowing prevail in Kazakhstan at the present time:

– loans and borrowings from international financial institutions and donor countries;

Direct foreign investments. Kazakhstan uses all these sources to cover the budget deficit, balance of payments deficit, finance systemic economic transformation programs, finance the social sector and as capital investments in the real sector of the economy.

Currently, within the framework of official development assistance, Kazakhstan is developing financial cooperation with a number of international financial and economic organizations (IFEO), such as the IMF, IBRD, ADB, EBRD, IDB and the governments of donor countries - Japan, USA, Germany and etc.

IBRD loans are mainly aimed at financing critical imports, the development of urban transport, technical assistance to the oil industry, financial services and social needs. Funds allocated by ADB are used to support stabilization programs, structural reforms and the development of agricultural production. Loans provided by Austria and Sweden in addition to IBRD loans were used to cover the balance of payments deficit

countries. Loans provided by the EBRD are used primarily to finance development projects for small and medium-sized enterprises.

Along with the IFEO loans, Kazakhstan received a loan from the Japan Export-Import Bank, which is also the most preferential - the real level of the discounted rate of Japanese loans is about 10%.

Thus, the total volume of receipts of multilateral and bilateral official credit resources to Kazakhstan, provided under government guarantees as of 01/01/96, according to the State Statistics Committee, amounted to 1.298 million US dollars (4).

As for investment policy for the future, during the meeting of the Donor Consultative Group for Kazakhstan, held in September 1996. in Tokyo, a forecast was made that for the period 1996-1998. Kazakhstan will receive borrowed funds in the amount of $1.350 million. These funds will be used to finance priority sectors of the economy of the Republic of Kazakhstan in accordance with the developed State Investment Program and Technical Assistance Program for 1996-1998.

For Kazakhstan, the most expedient and painless, from the point of view of the impact on inflation and external debt, is to attract foreign direct investment, since direct investment, being attracted under the borrowers’ own guarantees, reduces the state’s financial obligations to borrow funds for structuring the economy.

It is advisable to note that the strategic position of Kazakhstan in the Asian region, rich mineral deposits, significant potential of the agro-industrial complex, as well as the high educational level of the workforce predetermined the significant role of foreign direct investment in the overall flow of external financial resources. Despite the underdeveloped infrastructure of the Kazakh economy and the absence of many elements of the market system that provide the climate necessary for investment, already in the first years of independence (1991-1993) $1.2 billion was invested in Kazakhstan in the form of foreign direct investment.

The benefits of attracting direct investment are obvious. For example, according to the State Statistics Committee of the Republic of Kazakhstan, as of January 1, 1997, the volume of foreign direct investment in the economy of Kazakhstan amounted to $3.45 billion. (86,5% to the forecast of experts), of which: in the oil production and processing industry - $1.94 billion, non-ferrous metallurgy - $0.32 billion, ferrous metallurgy - $0.16 billion, in the gas industry - $0.16 billion, food industry - $0.16 billion. Non-residents from non-CIS countries were involved in almost all direct investment operations. And according to the assessment results, the leader in the volume of direct investment is the United States - their share is 51.2% of the total volume of foreign direct investment, 2nd place is occupied by South Korea - 12.40%, 3rd – Great Britain with the indicator 6.7%, then further in descending order: Türkiye (6.6%), France (5.2o), Japan (2.9%), Italy (2.3%), as well as Canada, Czech Republic, Norway, Holland and other countries.

The influx of foreign direct investment into Kazakhstan is carried out through the creation of joint ventures, subsidiaries, privatization of state-owned enterprises with the participation of foreign capital, transfer of large industrial enterprises to foreign firms and investment in the banking sector.

The main form of attracting direct investment into the republic is joint ventures (JVs), to a lesser extent - co 100% foreign capital – subsidiaries. According to the National Statistical Agency of the Republic of Kazakhstan, as of January 1, 1997, 995 joint ventures with foreign firms were registered in Kazakhstan. The largest number of them were organized jointly with Turkey, Russia, China, Germany, the USA, Italy, South Korea, the UK and other countries. Small and mass privatization programs and economic transformations contributed to the emergence of such large enterprises with foreign participation as JSC Tobacco K, created in 1993. featuring "Philip Morris". In 1993, the Tengizchevroil joint venture was created with the participation of Chevron Overseas Co. (USA) and Tengizmunaigas. Due to investments in these two enterprises, the level of foreign direct investment in 1993 amounted to more than 1.2 billion dollars.

In addition to foreign direct investment and the creation of joint ventures, there are other forms of influx of foreign capital into the Republic of Kazakhstan, including through the creation of joint and foreign banks. Currently, such banks are registered with the National State Bank of the Republic of Kazakhstan. In particular, these are ABN AMROVANK, TEXAKAVANK, ALFABANK and others.

As is known, the main task of the state investment policy of our country is to create a favorable environment for expanding extra-budgetary sources of financing capital investments and attracting private domestic and foreign investments based on further improvement of the regulatory framework and state support for effective investment projects.

This is also stated in the recently published book of the President of the Republic of Kazakhstan K.A. Nazarbayev “Kazakhstan - 2030”, in which he, in particular, notes: “The focus of our primary attention continues to be the appropriate protection of foreign investments and the possibility of repatriating profits. There are several sectors of the economy - natural resource development, infrastructure, communications and information - that are of enduring importance for our country.The development of these sectors will have an impact not only on economic growth, but also on the social sphere, as well as on the integration of Kazakhstan into the international community These are capital-intensive industries, the development of which requires both foreign capital and strict strategic control of the state.

Our position as a major interregional transport center requires the establishment of a more liberal regime for foreign investment. This will enable us to attract the necessary influx of finance and knowledge, develop our capabilities and regular trade exchanges with foreign countries. An open and liberal investment policy with clear, effective and strictly enforced laws, implemented by an impartial administration, is the most powerful incentive to attract foreign investment. The development of such a policy should be one of our main tasks, since it is difficult to imagine how Kazakhstan can achieve rapid economic growth and modernization without foreign capital, technology and experience.

In order for our investment climate to become more favorable, and for Kazakhstan to become a leader in the volume and quality of foreign investment attracted, we need political will and real actions. It is also necessary to demonstrate the highest skill in using the tools necessary to attract as many of the world's largest investors as possible" (5).

Therefore, foreign investment is considered as a universal means of solving all problems associated with overcoming the investment crisis, and should play the role of a fairly strong catalyst in the investment process. However, while possessing certain attractive features - rich natural resources, the presence of a sufficiently qualified workforce, high scientific and technical potential, Kazakhstan has not yet passed the stage of resource conservation, and especially energy conservation. For this reason, domestic market prices exceed world prices. In this regard, the government of the republic is taking measures to focus investments on solving resource conservation problems. The implementation of this policy is provided for in the “Development Strategy of Kazakhstan until 2030”, where in the paragraph “The most important tasks facing local authorities in 1998 and until 2030” the priority goals include “creating a favorable investment climate, including in the energy sector" (6). It will make it possible to reduce the resource intensity of the economy and the traditional predominance of raw materials and fuel and energy industries, which will make it possible to switch investments in favor of manufacturing and final industries, and the development of high and labor-saving technologies.

Thus, we made an attempt to define and identify the main goal of the policy of attracting foreign investment - overcoming economic backwardness, ensuring a high quality of life for the country’s population based on the use of foreign capital in modernization and structural transformations of the national economy. Achieving this strategic goal will ensure the solution of the following tasks:

– development of export potential;

Development of import-substituting industries;

– increase in tax revenues;

– creation of new jobs, etc.

To stimulate the influx of foreign investments and financial control over their use, it is necessary to improve the effectiveness of the mechanism of state regulation of the process of attracting external assistance, including the organizational structure of foreign investment management and a wide arsenal of legal and economic means used by specialists of this structure; improve the risk insurance and reinsurance system; establish high-quality and timely information support for foreign investors; implement a number of other measures, but the main thing is that the investment policy of the Republic of Kazakhstan should be flexible, pragmatic and consistent with current internal and external economic realities.

CONCLUSION

Until recently, banks, based on foreign experience, when forming an investment portfolio, collected it in the following ratio: in the total amount of securities, about 70 percent are government securities, about 25 percent are municipal securities and about 5 percent are other securities. Thus, the stock of liquid assets is approximately 1/3 of the portfolio, and investments for profit - 2/3. As a rule, this portfolio structure is typical for a large bank, while small banks have 90 percent or more of government and municipal securities in their portfolio.

Theoretically, a portfolio can consist of securities of one type, and also change its structure by replacing some securities with others. However, each security individually cannot achieve this result.

It is believed that the ability to make portfolio investments indicates the maturity of the market, and this, in our opinion, is absolutely fair. Back in 1994 in Russia, the controversy regarding portfolio investment methods was purely theoretical, although even then there were banks and financial companies that took client funds into trust management. However, only a few of them approached portfolio investment as a complex financial object with subtle specifics and subject to the corresponding theory.

Practice shows that today two types of clients are interested in portfolio investment. The first includes those who are faced with an acute problem of placing temporarily available funds (large and inert state corporations that grew out of former ministries, various funds created under ministries, and other similar structures, as well as clients from those regions where the market is not able to absorb large funds). The second type includes those who, having sensed this need for “money bags” and in dire need of working capital, put forward the idea of ​​a portfolio as a “bait” (not very large banks, financial companies and small brokerage houses).

Many clients are not fully aware of what an asset portfolio is, and in the process of communicating with them it often turns out that at this stage they need simpler forms of cooperation. And the level of market development in different regions is different - in many regions the process of forming a class of professional market participants and qualified investors is still far from complete. However, the strengthening of client demand for services for the formation of an investment portfolio has recently been obvious. This suggests that the issue is ripe.

Of course, the range of issues related to portfolio investment is extremely wide. The main thing that needs to be emphasized is that the future belongs to portfolio management, but its capabilities must be used in the current conditions.

LIST OF REFERENCES USED

Alexander G., Sharp W., Bailey J. - INVESTMENTS: Trans. from English – M.: INFRA-M, 2011

Galanov V.A., Basova A.I. Securities market: Textbook / Edited - 2nd edition, revised and supplemented - M.: Finance and Statistics, 2011

Gutman L.J., Jonk M.D. Fundamentals of investing. Per. from English – M: Delo 2010

Gryaznov A.G. , Korneev R.V., Galanov V.A. - M. Exchange activities /Ed.: Finance and Statistics, 2007

Evstigneev V.R. Portfolio investments in Kazakhstan: choosing a strategy. – M.: Editorial URSS, 2010

Kovalev V.V. Introduction to financial management. – M.: Finance and Statistics, 2011 – 768 pp.

Kuznetsov M.V., Ovchinnikov A.S. Technical analysis of the securities market. – M.: INFRA-M, 2013

Stoyanova E.S. Financial management: theory and practice: Textbook / According to the dr. – 5th edition, revised. and additional – M.: Publishing house “Perspective”, 2011

Shokhin E.I. Financial management: Textbook/Ed. prof. – M: Publishing House FBK-PRESS, 2012

An investment portfolio is understood as a set of investments in investment objects purposefully formed in accordance with a specific investment strategy. The essence of portfolio investment is to improve investment opportunities by imparting to the totality of investment objects those qualities that are unattainable from the position of a single object, but are possible only with their combination.

An investment portfolio acts as a tool that allows you to achieve the required profitability with minimal risk and a certain liquidity. The main goal of forming an investment portfolio can be formulated as follows: it is to ensure the implementation of the developed investment policy by selecting the most effective and reliable investments.

Depending on the direction of the chosen investment policy and the characteristics of the investment activity, a system of specific goals is determined, which can be:

Maximizing capital growth;

Maximizing revenue growth;

Minimizing investment risks;

Ensuring the required liquidity of the investment portfolio.

These goals for forming an investment portfolio are alternative. Thus, an increase in the market value of capital is associated with a certain decrease in the current income of the investment portfolio. An increase in capital value and an increase in income lead to an increase in the level of investment risks. The task of achieving the required liquidity may prevent the inclusion in the investment portfolio of objects that provide growth in capital value or high income, but are usually characterized by very low liquidity. Due to the alternative nature of the considered goals, the investor, when forming an investment portfolio, determines priorities or provides for a balance of individual goals, based on the direction of the developed investment policy. The difference in the types of objects in the investment portfolio, investment goals, and other conditions determines the variety of types of investment portfolios, characterized by a certain ratio of income and risk. This is reflected in the classification of investment portfolios.

The classification of investment portfolios by type of investment object is associated, first of all, with the focus and volume of investment activity. For enterprises engaged in production activities, the main type of portfolio being formed is a portfolio of real investment projects, for institutional investors - a portfolio of financial instruments.

This does not exclude the possibility of the formation of mixed forms that combine different types of relatively independent portfolios, characterized by different types of investment objects and methods of managing them. At the same time, specialized investment portfolios can be formed both by investment objects and by specific criteria: industry or regional affiliation, investment terms, types of risk, and others.

Depending on the priority investment goals, we can distinguish:

Growth Portfolio;

Income Portfolio;

Conservative portfolio;

Portfolio of highly liquid investment properties.

The growth portfolio is formed from shares of companies, exchange rate

the cost of which is rising. The growth rate of market value is determined by the types of portfolios:

1) an aggressive growth portfolio aims to maximize capital growth. It includes shares of young, fast-growing companies. Investments in this type of portfolio are quite risky, but at the same time they can bring the highest income;

2) the conservative growth portfolio is the least risky among the portfolios of this group. Consists mainly of shares of large, well-known companies, characterized by low but stable growth rates in market value. Aimed at preserving capital;

3) a portfolio of average growth includes, along with reliable securities, risky ones; provides average capital growth and a moderate degree of investment risk.

The income portfolio is focused on obtaining high current income - interest and dividend payments. It is composed of stocks with moderate growth in market value and high dividends, bonds and other securities with high current payments. Types of portfolios included in this group:

The regular income portfolio consists of highly reliable securities and brings average income with a minimum level of risk;

A portfolio of income securities is formed from high-yield corporate bonds and securities that generate high income with an average level of risk.

Based on the degree of compliance with investment goals, balanced and unbalanced portfolios should be distinguished. A balanced portfolio is characterized by a balanced

the level of income and risks corresponding to the qualities specified during its formation. It may include various investment objects: with a rapidly growing market value, highly profitable and other objects, the ratio of which is determined by market conditions. At the same time, the combination of various investments makes it possible to achieve capital growth and high income while reducing overall risks. An unbalanced portfolio can be considered as a portfolio that does not meet the goals set when it was formed.

Since the selection of objects in the investment portfolio is carried out in accordance with the preferences of investors, there is a connection between the type of investor and the type of portfolio. Thus, a conservative investor corresponds to a highly reliable (but low-yield) portfolio, a moderate - a diversified portfolio, an aggressive - a high-yield (but risky) portfolio.

45. Concept and goals of forming an investment portfolio

Investment portfolio is a purposefully formed set of real and financial investment objects intended for carrying out investment activities in accordance with the developed investment strategy of the enterprise. Based on this main goal of forming an investment portfolio can be formulated as ensuring the implementation of the developed investment policy by selecting the most effective and reliable investments. Depending on the direction of the chosen investment policy and the characteristics of the investment activity, a system of specific goals is determined, which can be:

– maximizing capital growth;

– maximizing income growth;

– minimizing investment risks;

– ensuring the required liquidity of the investment portfolio.

Taking into account priority goals when forming an investment portfolio is the basis for determining the appropriate regulatory indicators that serve as a criterion for selecting investments for the investment portfolio and its evaluation. Depending on the adopted priorities, the investor can set as such a criterion the limit values ​​of capital value growth, income, the level of acceptable investment risks, and liquidity. At the same time, the investment portfolio can combine objects with different investment qualities, which makes it possible to obtain sufficient total income when consolidating the risk of individual investment objects.

46. ​​Types of investment portfolios

By type of investment activity there are:

– portfolio of real investments;

– portfolio of financial investments in securities (portfolio investments);

– portfolio of other financial investments (bank deposits, certificates of deposit, etc.);

– portfolio of investments in working capital.

According to investment goals (investment strategy), enterprises are distinguished:

– growth portfolio (formed by investment objects that ensure the achievement of high rates of capital growth; the level of risk is correspondingly high);

– income portfolio (formed by investment objects that provide high growth rates of income on invested capital);

– conservative portfolio (formed by low-risk investments that provide a correspondingly lower growth rate of income and capital than the growth and income portfolio).

According to the degree of achievement of their goals (investment strategy), enterprises are distinguished:

– a balanced portfolio (fully consistent with the investment goal (strategy) of the enterprise;

– an unbalanced portfolio that does not correspond to the investment goal (strategy) of the enterprise.

47. Principles of forming an investment portfolio

The investment portfolio of an enterprise is generally formed on the basis of the following principles:

– ensuring the implementation of the investment strategy. The formation of an investment portfolio must correspond to the investment strategy of the enterprise, ensuring the continuity of long-term and medium-term planning of the enterprise’s investment activities;

– ensuring the portfolio matches investment resources, i.e., the list of selected investment objects should be limited by the possibilities of providing them with resources;

– optimization of the ratio of profitability and liquidity, which means compliance with the proportions between income and risk determined by the enterprise’s investment strategy;

– optimization of the ratio of profitability and risk– this is compliance with the proportions between income and liquidity determined by the enterprise’s investment strategy;

– ensuring portfolio management– compliance of investment objects with human resources and the possibility of prompt reinvestment of funds.

48. Stages of forming an investment portfolio

The formation of an investment portfolio is carried out after the goals of the investment policy are formulated and the priority goals for the formation of the investment portfolio are determined, taking into account the current conditions of the investment climate and market conditions.

1. The starting point for the formation of an investment portfolio is an interrelated analysis of the investor’s own capabilities and the investment attractiveness of the external environment in order to determine the acceptable level of risk in the light of the profitability and liquidity of the balance sheet.

2. As a result of the analysis, the main characteristics of the investment portfolio are set (the degree of acceptable risk, the amount of expected income, possible deviations from it, etc.), and the proportions of various types of investments within the entire investment portfolio are optimized, taking into account the volume and structure of investment resources.

3. An important stage in the formation of an investment portfolio is the selection of specific investment objects for inclusion in the investment portfolio based on an assessment of their investment qualities and the formation of an optimal portfolio.

49. Factors taken into account when forming an investment portfolio

Factors allowing for preliminary selection of investment projects:

– priorities in the policy of implementing structural restructuring of the regional economy;

– the state of the industry environment, characterized by the stage of the cycle in which the industry is located, the structure and competitiveness of the industry, legislation and regulatory framework;

– compliance of the investment project with the company’s business strategy;

– degree of development of the investment project;

– concentration of funds on a limited number of objects;

– relatively fast payback period for investments;

– availability of production base and infrastructure for the implementation of the investment project;

– the amount of investment required to implement the project;

– form of investment;

– structure of sources of financing of the investment project, share of own and borrowed funds in the implementation of the project.

Factors determining the formation of a stock portfolio:

– priorities of investment goals, the implementation of which determines the choice of a specific type of investment portfolio;

– degree of diversification of the investment portfolio;

– the need to ensure the required portfolio liquidity;

– level and dynamics of the interest rate;

– level of taxation of income on various financial instruments.

50. Investment portfolio assessment based on risk criteria

The assessment of the investment portfolio according to the risk criterion is carried out taking into account risk coefficients and the volume of investments in the relevant types of investments. First, specific risk indicator values ​​are calculated for each type of investment. The total risk of an enterprise's investment portfolio is defined as the ratio of the amounts of investments in various areas, weighted taking into account risk, and the total amount of investments according to the formula:

where R is the total risk;

Ii, – investment in the i-th direction;

Ri – risk indicator in the i-th direction;

I – total investment volume.

This formula is used in the case when the dynamics of the profitability of various investments in the enterprise’s investment portfolio are mutually independent or slightly dependent. By selecting alternative investments that are inversely correlated, the overall portfolio risk can be reduced.

The total risk of an investment portfolio largely depends on the level of risk of the securities portfolio, since the latter, unlike a portfolio of real investment projects, is characterized by increased risk, extending not only to income, but also to the entire invested capital. With an increase in the number of diverse securities in the portfolio, the risk level of the securities portfolio can be reduced, but not lower than the level of systematic risk. This provision is valid for the case of independence of securities in the portfolio; if the securities in the portfolio are interdependent, then two options are possible. In the case of a direct correlation, as the number of securities in the portfolio increases, the level of risk does not change, since the profitability of all securities falls or rises with the same probability. In the case of an inverse correlation, the least risky portfolio of securities can be formed by determining the optimal shares of securities of different types in it.

When assessing the investment portfolio of banks from the point of view of liquidity and interest rate risk, you can use the risk level indicator proposed in the previous section, which is calculated as the ratio between investment assets and sources of financing, weighted by volume and maturity