i'm following the "Computational Investing 1" course at Coursera.org, I was affascinated by the Beta arbitrage of CAPM
It shows, that if I found Betas and weights, I could make profit in Bearish and bullish markets. Strategy: SHORT for the Higher Beta, and LONG for Lower beta.
Is that really works? What are the bad scenarios? What he didn't say?
Do you know some code in R or Python, that calculate Betas? Someone has already applied this theory?