The article discusses how to build the best investment portfolio on the Russian stock market using a nonparametric method called Classification and Regression Tree (CART). By analyzing stocks in the MMVB index, the researchers identified key factors affecting stock returns, such as momentum, bid-ask spread, and oil prices. They found that the Russian stock market shows signs of being speculative. The optimal portfolio is defined as one with a set risk level that achieves returns equal to or higher than the market portfolio with the same risk level.