Cross-Sectional Factor Backtester
Cumulative return by decilelog scale, equal weight, gross
![cumulative return by decile]()
Rolling 36-month mean ICshaded: NBER recessions
![rolling IC]()
Net Sharpe vs one-way costbp, charged on every dollar traded
IC by horizonmonths ahead
Attributionlong–short on Mkt-RF, HML, UMD, RMW
Net Sharpe under other choicesbase = equal weight, 1-month hold, sector neutral, 10 bp
Validation against published factorscorrelation of monthly long–short returns
Where the data is thin% of index members with no usable price; December of each year, the last month with a forward return for the current one
What did not workfull log in reports/what_did_not_work.md