Research Area
Equity risk-model diagnostics, factor-structure analysis and covariance forecasting tools for Australian stock portfolios.
Principal-component analysis of Australian equity returns, including diagnostics on the number of statistical factors and the stability of latent factor structure across rolling five-year windows.
Evaluation of economic, style and statistical factors using factor-mimicking portfolios, return diagnostics and benchmark comparisons against randomly formed portfolios.
Correlation diagnostics showing where factor-mimicking portfolio returns overlap, where exposures are distinct and where apparent factor families may be capturing similar underlying risks.
Diagnostics comparing industry returns with factor returns to identify the extent to which factor returns overlap with industry returns and where factor signals add information beyond industry risk.
Nested cross-sectional regressions estimating the incremental explanatory power of industries, observable attributes and statistical factors for Australian stock returns.
Tests of alternative covariance models, including factor-based covariance forecasts, residual covariance structure, shrinkage methods and realised-risk comparison over forward horizons.
Covariance-forecasting results are currently being prepared for publication.