Assessment of portfolio investment effectiveness during the covid-19 pandemic – multivariate fundamental approach1

Abstract

Making long-term investment decisions is possible using the portfolio approach. In this respect, there are classical (e.g., Markowitz model) and non-classical (e.g., fundamental model) approaches. The key element in the construction of models is not only the measurement of risk and rate of return, but also the method of selecting assets (companies) to the portfolio. The method of selecting assets often determines the direction of the investor's investment strategy. The portfolio construction and asset selection processes remain an open question. The aim of the study is to assess the effectiveness of portfolio investment using the concept of fundamental strength. The results of the study indicate that the fundamental approach, depending on the portfolio construction procedure used, gives different effects, but allows for risk diversification in times of crisis