To contrast my VALUE Factor Composite, I've created this Growth Factor Composite, hoping it will be somewhat uncorrelated with my Value one. The Growth factors are based on FactSet Fundamentals and Estimates datasets, as well as a bit of price momentum, so it does naturally have some exposure to the Momentum Risk factor.
It uses the default slippage/commission model, and re-balances right at the close, trying to simulate getting filled at the close auction price (when there's highest volume and no spread, e.g. using MOC orders). I used Thomas' odd/even quarters cross-validation NB when developing --> testing --> accepting/rejecting factor, with the intent to try to avoid overfitting (still, I'm sure there's some training creep in there). I'm also wary of the 'illusion' of the 'three Sharpe Ratio' strategy as discussed in this AQR paper.
Please let me know what you think. I'm hoping to do a QUALITY Factors Composite next.