README.md

December 23, 2021 ยท View on GitHub


Multi-Factor Portfolio Construction

A Risk-Based Approach


About The Repository


Repo of the code used while writing my master thesis.

The main objective was to build and backtest a Factor Risk parity Investement strategy.

Strategy applied to SP500 equites (2005-2020)


Annual Returns:

underwater plot


Underwater Plot (Drawdown):

underwater plot

Contents

  1. 1About The Repository
  2. 2Strategy applied to SP500 equites (2005-2020)
  3. 2.1Annual Returns:
  4. 2.2Underwater Plot (Drawdown):