The Betting Against Beta Stocks strategy longs the lowest beta decile of a stock universe and shorts the highest beta decile. Rebalancing occurs on the first trading day of each month.
The approach aims to exploit the anomaly that low-beta stocks tend to outperform on a risk-adjusted basis. It assumes access to a benchmark security for beta calculations.
Entry Criteria: Monthly selection of low/high beta stocks.
Long/Short: Both directions.
Exit Criteria: Positions are adjusted at the next rebalance.
Stops: No explicit stop logic.
Default Values:
WindowDays = 252
Deciles = 10
CandleType = TimeSpan.FromDays(1).TimeFrame()
MinTradeUsd = 100
[*]Filters:
Category: Statistical
Direction: Both
Indicators: Beta
Stops: No
Complexity: Intermediate
Timeframe: Daily
Seasonality: No
Neural Networks: No
Divergence: No
Risk Level: Medium