Basket-Trading Strategy Effectiveness Analysis on Russian Stock Market

The basket trading strategy is one of the most notable type of statistical arbitrage strategies. Nevertheless, there are few global market researches devoted to it, while on the Russian market is still not presented at all, due to strategy implementation complexity. This paper examines the effectiveness of the basket trading strategy use on the Russian stock market, determining its effectiveness through the expected trading profitability for baskets composed of Russian companies shares, along with paying attention to the risk measures. Baskets composed of four and five shares are examined in this research. Examined strategies include standard and optimized for historical data variations. This paper results conclude the effectiveness of the basket trading use composed of four securities. The average profitability for four securities baskets was able to exceed the benchmark in two periods of three while taking into account only active baskets. Baskets made up of five papers have fewer opportunities for trading because of which it is impossible to draw an unambiguous conclusion for them.