Beta serves as a critical measure in portfolio optimization, capturing systematic risk
and underpinning numerous asset-pricing frameworks. The present study examines
the performance of beta-based portfolios of NSE 500 firms over 27 years using technical
trading strategies – Simple Moving Average (SMA) and Exponential Moving
Average (EMA) – across short-to-long-time horizon windows. Portfolios are constructed
based on beta deciles to examine the relationship between systematic risk exposure
and trading-rule effectiveness. The study incorporates transaction costs, emphasizing
how trading frequency across five window lengths (5, 10, 20, 50, and 100 days) affects
net returns and multiple risk-adjusted performance metrics. The findings indicate that
technical trading strategies are more effective than the buy-and-hold (BH) strategy for
beta portfolios. The SMA and EMA strategies demonstrate substantial positive alphas
before transaction-cost adjustments. Mid-beta portfolios consistently show high returns
and statistically significant alphas (ranging from 7% to 14% for SMA and EMA),
confirming that technical strategies are most effective in beta portfolios with moderate
systematic risk exposure. Further, transaction costs erode much of the excess
returns generated by shorter-lag strategies. Despite this, selected mid-beta portfolios
continue to generate net positive alpha (ranging between 6% to 11% for 20 and 50-
day SMA/EMA) at longer windows, highlighting their resilience and practicality in
real-world scenarios. These findings are further validated using various risk-adjusted
performance metrics.