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Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.

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tngaspar/factor-risk-parity

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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

About

Factor Risk Parity Portfolio Construction algorithm. Built during my Master's. final project. Backtested on the S&P500.

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