Analysis of the return on an investment portfolio when choosing a strategy of maximum diversification

This paper is devoted to the analysis of the application of investment strategies in the stock market. The object of this work is strategies for forming an investment portfolio. The subject of this article is the strategy of maximum diversification of the investment portfolio. The purpose of the article is to analyze the profitability of an investment portfolio formed on the basis of a strategy of maximum diversification and compare the profitability after applying this strategy in comparison with other major investment strategies. The research methodology of this article is based on economic and mathematical modeling using the Python programming language. The analysis was carried out based on the statistical data of the daily quotations of 21 issuers of the Moscow Stock Exchange for the period from 02/10/2022 to 01/23/2026. The results of the analysis showed that the dynamics of portfolio values with an equally weighted equity investment strategy for almost the entire duration of the studied horizon show the best results compared to other strategies, including the strategy of maximum diversification. The scientific novelty of the research lies in the application of the methodology of maximum portfolio diversification for the analysis of investment strategies in stocks on the stock market of the Moscow Stock Exchange. The main result of this article showed that an equally weighted investment strategy can potentially show the maximum level of profitability in the stock market when implementing long-term strategies, however, portfolio rebalancing and expanded diversification (including not only stocks but also other instruments in the investment portfolio) can affect the final effect of profitability investment strategy. The prospects for researching this topic are related to the inclusion of various asset classes (currencies, precious metals, ETFs (exchange-traded funds), bonds) in the strategy of maximum diversification. The practical significance of the work lies in the possibility of using the findings to form optimal investment strategies.