Task: Betting Against Beta × Momentum Corner Portfolio
Task: Betting Against Beta × Momentum Corner Portfolio: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). A systematic equity researcher is auditing whether the intersection of two well-known anomalies — Frazzini–Pedersen Betting Against Beta and Jegadeesh–Titman…
The task
A systematic equity researcher is auditing whether the intersection of two well-known anomalies — Frazzini–Pedersen Betting Against Beta and Jegadeesh–Titman 12-1 momentum — delivers an attractive monthly net-of-fee return series. The plan: a dependent double sort each month-end (beta first), hold the bottom-beta ×…
Part of codeslord/skilltrainbench-public.