Betting Against Beta

The Betting Against Beta strategy goes long on the lowest-beta assets and short on the highest-beta ones. Betas are calculated against a benchmark over a rolling window and the portfolio is rebalanced on the first trading day of each month.

Details

• Entry Criteria: rank universe by beta relative to the benchmark; long lowest decile, short highest decile.
• Long/Short: Both directions.
• Exit Criteria: Positions adjusted at the next monthly rebalance.
• Stops: No explicit stop logic.
• Default Values:
  • WindowDays = 252
  • Deciles = 10
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • MinTradeUsd = 100
• Filters:
  • Category: Factor
  • Direction: Both
  • Indicators: Statistical
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Daily
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium