What's the market beta? What's the average turnover/holding period? How are transaction costs modelled? What features explain most of the variance? How are the

What's the market beta? What's the average turnover/holding period? How are transaction costs modelled? What features explain most of the variance? How are they related to known factors? What's the beta hedged performance? These are all things I'd want to know before deploying something like this. (Perhaps some mentioned in the post, might have missed them.) To first order, I'd forget about fat tails and similar popular concerns. They matter, but not as much as structurally understanding what this model is up to. Perhaps one feature is explicitly selling tails? That might answer it already.