Cross-Sectional PCA Factor Dashboard

Key reports and artifacts for the PCA factor workstream.

• PCA Walk-Forward Backtest – 2025-10 (PDF)
  • Adaptive monthly PCA; daily Z-score factors; sign check month-to-month.
  • Trained on factor exposures only; signals lagged one month.
  • New: rolling 5-year loadings refreshed each month (vs prior expanding window).
  • Details in PDF; backup on Drive.
• PCA Report – 2024-06-01 (PDF) Full PCA research report: factor prep, PCA loadings/variance, cross-sectional regressions, PC-sorted portfolios, and performance metrics.