Beating Benchmarks By Bundling Bouncy Baskets (Presentation Slides)

36 Pages Posted: 17 Sep 2020

See all articles by Ravi Kashyap

Ravi Kashyap

Gain Knowledge Group; City University of Hong Kong (CityU) - Department of Economics & Finance

Date Written: August 5, 2020

Abstract

We consider in detail an investment strategy, titled “The Bounce Basket”, designed for someone to express a bullish view on the market by allowing them to take long positions on securities that would benefit the most from a rally in the markets. This investment concept combines macroeconomic views with characteristics of individual securities to beat the market returns. The central idea of this theme is to identity securities from a regional perspective that are heavily shorted and yet are fundamentally sound with at least a minimum buy rating from a consensus of stock analysts covering the securities. We discuss the components of creating such a strategy including the mechanics of constructing the portfolio. Using simulations, in which securities lending data is modeled as geometric brownian motions, we provide a few flavors of creating a ranking of securities to identity the ones that are heaving shorted.

Keywords: Trading Strategy, Investment Hypothesis, Bull, Market Rebound, Risk Management, Volatility

JEL Classification: G11, D81, C63

Suggested Citation

Kashyap, Ravi, Beating Benchmarks By Bundling Bouncy Baskets (Presentation Slides) (August 5, 2020). Available at SSRN: https://ssrn.com/abstract=3667433 or http://dx.doi.org/10.2139/ssrn.3667433

Ravi Kashyap (Contact Author)

Gain Knowledge Group ( email )

1 Austin Road West
Kowloon
Hong Kong

HOME PAGE: http://www.gainknowledge.com

City University of Hong Kong (CityU) - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong

HOME PAGE: http://www.cb.cityu.edu.hk/research/student/rkashyap3/

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