- Implementation of Trading Algorithm Betting agianst Beta based on the research paper by Andrea Frazzini and Lasse H.Pedersen. Calculation of Beta is done by Regression on the CAPM equation
- Dataset taken is NIFTY 50 stocks from 2002 to 2019 and implementing the strategy with daily, weekly and monthly rebalancing of the portfolio with a 6 month rolling window
- Performed and analyzed the difference in output on equal weighted and value weighted portfolios
To see the code, you should first see Load_Data before Trade_karo. (market_cap) is the one on value weighted portfolios