I'm researching an equity multi factor model.
It contains three factors, say A, B & C. The factors are weighted as such,
60% 40% (70% A + 30% B) + C
I am running a back test on this model. When running the model I constrain the risk factors (momentum, beta & size etc) to have a limited exposure. So ideally most of the return should be explained by my model. Looking at the exposures of my factors A, B & C in the last 12 months the exposure of B is much larger than A. I am trying to understand why this might be but not sure where to start?