In development · 2026 — ongoing
Point-in-Time Multi-Factor Equity Portfolio
A transparent long-short U.S. equity backtest designed around point-in-time fundamentals, realistic implementation constraints, and defensible validation.
Factor InvestingBacktestingPortfolio ConstructionPython
Can a factor portfolio retain useful signal after neutralization, trading costs, liquidity constraints, and out-of-sample testing?
APPROACH
01
Combining market prices with lagged SEC fundamentals to prevent look-ahead bias.
02
Testing value, momentum, quality, and low-volatility signals against SPY and Fama–French benchmarks.
03
Adding sector and beta neutrality, liquidity filters, position caps, slippage, borrow costs, and turnover attribution.
04
Planning walk-forward validation, regime analysis, and a transparent research dashboard.