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<div id="top"></div> <br /> <div align="center"> <h1 align="center">Multi-Factor Portfolio Construction</h1> <p align="center"> <h3 align="center">A Risk-Based Approach</h3> <br /> </p> </div>

About The Repository

<br /> Repo of the code used while writing my master thesis.

The main objective was to build and backtest a Factor Risk parity Investement strategy. <br /> <br />

Strategy applied to SP500 equites (2005-2020)

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Annual Returns:

<p align="center"> <img src="Plots/FRP_annual_ret.png" alt="underwater plot" width="640" class="center"/> </p> <br />

Underwater Plot (Drawdown):

<p align="center"> <img src="Plots/FRP_underwater.png" alt="underwater plot" width="640" class="center"/> </p>