Thanks @Alisa for the comments and the hints.
For the IEP case, it is unexpected and may be a bug in the code or it is delisted before I can sell it at the month begin.
The beta is high because this is a long-only strategy. One way to workaround this (not fixing this) is to hold TLT during the month, which will reduce the beta significantly. But this still dosent change the fact that it is still a long-only strategy. I tried to build a long-short strategy but failed because my factor model dosent make sense currently :)
The correlation to small cap is unexpected because the month-turn effect is supposed to more significant to large cap stocks. This may suggest that I am picking the wrong stocks! The correlation to high growth stocks is expected because I think people tend to buy high growth stocks during the mean-revert process? I need to think about this.
For the 30% drawdown, actually I found an heuristics that based on average turn-over before T-8 and after T-8. That's only long the stock at then month end when its pre-T-8 turn-over is lower than its post-T-8 turn-over - this seems to eliminate the drawdown. I need to further think about the reason behind this also.
For the last point, such a behavior is intended. In fact, we can combine another intra-day strategy to this strategy to generate higher return and hopefully lower beta!