This projects builds a computationally effecient backtester for a market neutral US Equities portfolio using Barra data for the period 2006-2007.

Alpha factors:

• USFASTD_1DREVRSL : Reversal

• USFASTD_EARNYILD : Earnings Yield

• USFASTD_VALUE : Value

• USFASTD_SENTMT : Sentiment

Focus is on:

• portfolio optimization accounting for transaction costs

• performance attribution to identify the major drivers portfolio's PnL