All factor data come from the IIMA Indian Fama-French-Momentum dataset (Survivorship-Bias Adjusted series), sourced from faculty.iima.ac.in/iffm . Factors are defined as follows:

• MF (Market Factor) — excess return of the Indian equity market over the risk-free rate RF.
• SMB (Small Minus Big) — return spread between small-cap and large-cap portfolios.
• HML (High Minus Low) — return spread between high and low book-to-market portfolios (value vs growth).
• WML (Winners Minus Losers) — return spread between past winners and past losers (momentum).
• RF — Indian risk-free rate (approximate).

Strategy construction: Raw factor returns (MF, SMB, HML, WML) are excess returns — they represent the profit from a dollar-neutral long-short portfolio and are not directly investable without a market position. The strategy shown here reflects a realistic implementation:
Strategy = RF + MF + tilt × (HML + SMB + WML)
That is: 100% invested in the broad market (capturing RF + MF), plus a tilt% long-short overlay on each of the three factor spreads. A 10% tilt means you go long 10% of NAV in the value/small/momentum basket and short 10% in the opposite.

Annualisation: All statistics are annualised using the selected frequency multiplier (daily ×252, monthly ×12, yearly ×1). Geometric annualised return = (∏(1+r_t))^(f/T) − 1. Annualised volatility = σ_period × √f. Sharpe ratio uses the annualised RF as the benchmark. Max drawdown is the largest peak-to-trough decline of the cumulative return path. Calmar = annualised return / |max drawdown|. Skewness and excess kurtosis are computed on period returns.

Correlation matrix: Pearson correlations of the four excess factor returns (not total returns). Computed on the same date range and frequency as the selected filters. Annualised standard deviations (vols) are shown separately below the matrix.

Portfolios (Size & Value / Momentum): Returns are total returns of long-only sorted portfolios, not excess returns. Cumulative returns are rebased to 100 at the selected start year. Breakpoints are annual (size) or monthly (momentum).