factor-construction

What problem does it solve?

This rule set prevents look-ahead bias (LAB) when forming cross-sectional factors. LAB means using information beyond the portfolio formation date — it silently inflates factor returns and invalidates results. It provides a structured audit to ensure signals are truly point-in-time.

Core Features & Use Cases

• Audit & safeguards: A comprehensive LAB audit checklist to verify timing, universe, breakpoints, and rebalancing are anchored to formation dates.
• Protocol for monthly and annual rebalancing: Clear templates for lead-returns, date-dating, and forward-return conventions to avoid leakage.
• Compatibility with common factor frameworks: Guidelines for constructing long-short portfolios, delisting handling, and post-construction diagnostics.

Quick Start

Apply the factor-construction rules to your monthly or annual cross-sectional sorting workflows to ensure signals are time-stamped and returns are properly forward-dated.