Key reports and artifacts for the PCA factor workstream — walk-forward backtests, loadings analysis, and portfolio construction using BARRA factor exposures (1998–2026).
PCA Walk-Forward Backtest — Live Reports
Six experiment configurations tested across three return types and two factor sets.
Each report includes Plotly charts (cumulative returns, decile bars, L/S equity curves),
factor loadings heatmaps comparing latest vs 2-years-ago, auto-commentary, and a
positions browser showing top/bottom 20 stocks per PC per month.
ExBeta + Industry Return
ExBeta Return
Total Return
14 factors (no LTREVRSL)
15 factors (with LTREVRSL)
Open ExBeta Report →