In this project we construct a Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a Target Beta and evaluate its sensitivity to variation of Beta and its sensitivity to the length of the estimation for covariance matrix and the expected returns under different market scenario. Several comparisons are drawn between different target betas as well as different term structures.
-
Notifications
You must be signed in to change notification settings - Fork 2
A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation of Beta and its sensitivity to the length of the estimation for covariance matrix and the expected returns under different market scenarios.
License
theo-dim/Global-Macro-Strategies
Folders and files
Name | Name | Last commit message | Last commit date | |
---|---|---|---|---|
Repository files navigation
About
A Long/Short Global Macro Strategy based on French Fama 3-Factor Model with a target beta term. We evaluate its sensitivity to variation of Beta and its sensitivity to the length of the estimation for covariance matrix and the expected returns under different market scenarios.
Resources
License
Stars
Watchers
Forks
Releases
No releases published
Packages 0
No packages published