Investable Backtesting — Multi-Market Factor Portfolios with Cost-Aware Execution

Weekly top-10 beta-ranked investable factor portfolios (SMB, HML, WML, RMW) across US, UK, IN, JP, and CN markets. Raw-beta selection, equal-weight top-10 construction, t+1 execution, and a flat placeholder cost in basis points per turnover with no impact or slippage model. The preview is currently stalled: the most recent rebalance across the ready markets falls in March and April 2026. Active return decomposition, tracking error, information ratio, and full attribution per portfolio.

What's backtested

• Single-factor portfolios: SMB-long, HML-long, WML-long, RMW-long
• Inverse-factor portfolios where evidence supports (e.g., CMA short-aggressive)
• Multi-factor combinations with publication-gate filtering
• Benchmark comparison: portfolio vs the market-cap-weighted index per market, and — on the attribution view — against a factor-matched control basket built from the same factor legs

Performance metrics

Institutional active-return metrics including information ratio, tracking error, Sortino ratio, max drawdown, and Calmar ratio. Academic-aligned metrics for factor robustness (Newey-West HAC t-stats, spanning alpha, monotonicity tests). See information ratio methodology and factor attribution.

Honest caveats

PIT market-cap gate is not yet enforced on this preview (its disclosure reports NOT_APPLIED_V1) — survivorship bias is possible on backtest start dates. Cost model is flat-bps, not impact-aware. All factors are research-grade by default; production promotion requires gate passes. See FF-style backtesting methodology.

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