Greetings,

Imagine I have the following factors and would like to weight them unequally (number in () indicates weight):

• EPS_Growth_3M (10%)
  
• Mean_Reversion_1M (20%)
  
• Price_Momentum_12M (20%)
  
• Price_To_Forward_Earnings (15%)
  
• ForwardPEvsSector (15%)
  
• ForwardPEvsIndustry (20%)

I've written/borrowed the following code in research:

# Market Cap  
class Market_Cap(CustomFactor):  
    ...


# Forward Price to Earnings Ratio (MORNINGSTAR)  
class Price_To_Forward_Earnings(CustomFactor):  
    ...


# 3-month EPS Growth  
class EPS_Growth_3M(CustomFactor):  
    ...


# 12-month Price Rate of Change  
class Price_Momentum_12M(CustomFactor):  
    ...


# 1-month Mean Reversion  
class Mean_Reversion_1M(CustomFactor):  
    ...  


def filter_universe():  
     ...


pipe = Pipeline(  
    columns={  
        'Price_To_Forward_Earnings': Price_To_Forward_Earnings(),  
        'EPS_Growth_3M': EPS_Growth_3M(),  
        'Price_Momentum_12M': Price_Momentum_12M(),  
        'Mean_Reversion_1M': Mean_Reversion_1M(),  
        'morningstar_industry_group_code': asset_classification.morningstar_industry_group_code.latest,  
        'morningstar_sector_code': asset_classification.morningstar_sector_code.latest  
    },  
    screen=filter_universe()  
)


results = run_pipeline(pipe, '2014-01-01', '2014-06-30')  
results = results.fillna(value=0.0)

sector_forward_pe = results.groupby(['morningstar_sector_code'])['Price_To_Forward_Earnings'].mean()  
results['sector_forward_pe'] = results['morningstar_sector_code'].map(sector_forward_pe)

industry_forward_pe = results.groupby(['morningstar_industry_group_code'])['Price_To_Forward_Earnings'].mean()  
results['industry_forward_pd'] = results['morningstar_industry_group_code'].map(industry_forward_pe)

results['ForwardPEvsSector'] = results['Price_To_Forward_Earnings']/results['sector_forward_pe']  
results['ForwardPEvsIndustry'] = results['Price_To_Forward_Earnings']/results['industry_forward_pd']

At which point (and how) do I weight the various factors? I can't just apply the weights to the raw values (can I?). Do I rank them first then weight the rank before combining?

Comments, resources or other posts are gratefully appreciated.