tngaspar/factor-risk-parity

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

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 (Drawdown):