Research reference
Portfolio construction
Follow a score through selection, constraints and actual exposure.
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Build the universe that existed, not the one that survived
Preserve historical eligibility, security identity and delistings so a stock-selection study does not select its sample using future outcomes.
Combine factor scores without hiding missing data
Make directions, scaling, missingness and tie-breaking explicit before a composite score becomes a portfolio.
Weighting rules change the question a portfolio answers
Compare capitalization, equal and constrained weights while distinguishing name count from economic concentration.
Sector neutrality is one constraint, not a risk certificate
Distinguish within-sector ranking from benchmark sector matching, then check the exposures that remain.