Monthly BARRA factor exposures loaded. Stocks with all-NA factors excluded. Canada-class shares (gvkey suffix c/C) removed.
Factor exposures are standardised cross-sectionally each month: subtract mean, divide by std. Prevents scale bias in PCA.
PCA fitted on a trailing 120-month window. Components applied to current month's universe. Sign-flip alignment ensures continuity across windows.
Stocks sorted by PC score into 10 portfolios. Returns are T+1 forward (no look-ahead). Active = Decile − Universe mean. L/S = D1 − D10.
Annualised statistics for the long-short portfolio (top decile minus bottom decile, equal-weighted). Returns not adjusted for transaction costs.
| PC | Ann Return | Ann Vol | Sharpe | Max DD | Hit Rate | Months |
|---|---|---|---|---|---|---|
| PC1 | -6.54% | 19.45% | -0.336 | -144.6% | 46.0% | 248 |
| PC2 | 0.29% | 19.44% | 0.015 | -93.54% | 54.4% | 248 |
| PC3 | 0.55% | 16.07% | 0.034 | -72.87% | 51.6% | 248 |
| PC4 | 0.44% | 11.17% | 0.04 | -43.92% | 51.6% | 248 |
| PC5 | 4.29% | 14.89% | 0.288 | -44.02% | 50.8% | 248 |
Cumulative sum of monthly long-short returns. Click legend entries to toggle individual PCs.
Loadings are computed on a 120-month trailing window and updated monthly (walk-forward).