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.
- 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.FromDays(1).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