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simplifiedstrategy

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SchoenTom / BettingAgainstBetaRussel3000

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This BAB replication uses today’s Russell-3000 universe applied back in time, creating survivorship bias and missing delistings. Betas, returns and factors rely on Yahoo data with no fees, liquidity filters or funding-constraints. Results are educational, not a precise Frazzini-Pedersen replication.

python strategy bachelor-thesis bab qunatitative-finance bettingagainstbeta simplifiedstrategy
  • Updated Dec 26, 2025
  • Python

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