Factor Lab

PHASE 7

Cross-sectional factors, quintile portfolios and information coefficients.

Planned capabilities

›Synthetic universe of 100 tickers over five years with an embedded factor structure, or your own CSV panel.
›Momentum, low volatility, size, value and quality factors with winsorising and cross-sectional z-scores.
›Optional sector neutralisation when a sector column is present.
›Monthly rebalanced quintile portfolios and a long-short top-minus-bottom book.
›Quintile fan chart, long-short equity curve, information coefficient series with mean IC and t-stat.
›Factor correlation matrix, turnover by factor and a weighted multi-factor composite builder.

Data readiness

datasets available in the workspace.

Status

This module is scaffolded and wired into the workspace. It will be built out in phase 7, using the shared math library and the datasets you generate or upload.