Quant Models
Operations-research and stochastic-process models over the ASX universe:
Ledoit–Wolf shrunk covariance, quadratic-programming optimisation, hierarchical
risk parity, Engle–Granger cointegration and Kelly sizing.
Method notes in docs/QUANT_RESEARCH.md. Research simulation — not financial advice.
| Model | Period | Universe | Return | CAGR | Vol | Sharpe | Max DD | Avg turnover |
|---|---|---|---|---|---|---|---|---|
| equal | 2 Aug 2022 → 3 Aug 2026 | 40 | 67.8% | 13.8% | 11.5% | 0.84 | -13.1% | — |
| riskparity | 2 Aug 2022 → 3 Aug 2026 | 40 | 56.2% | 11.8% | 10.5% | 0.74 | -11.1% | — |
| hrp | 2 Aug 2022 → 3 Aug 2026 | 40 | 40.4% | 8.8% | 10.0% | 0.51 | -9.3% | — |
| maxsharpe | 2 Aug 2022 → 3 Aug 2026 | 40 | 40.1% | 8.8% | 13.0% | 0.41 | -17.1% | — |
| minvar | 2 Aug 2022 → 3 Aug 2026 | 40 | 23.5% | 5.4% | 9.3% | 0.19 | -9.2% | — |
All models vs ASX 200 (normalised)
Drawdown — top model (EQUAL)
Click any frontier point or model-portfolio diamond above to inspect its full weight distribution here (hover shows the top holdings inline).
Grey dots: individual stocks (annualised trailing return vs volatility). Amber line: the long-only efficient frontier. Dashed cyan: the capital allocation line from the risk-free rate through the tangency (max-Sharpe) portfolio. Model portfolios are marked — note how far the naive single stocks sit from the frontier: that gap is the mathematical value of diversification. Trailing returns are noisy estimates, so the frontier moves as the data does.
| Ticker | Name | Sector | Score | Dir | Vol z | Squeeze pct | OBV slope | CLV | Range pos |
|---|---|---|---|---|---|---|---|---|---|
| RMC | Resimac Group Limited | Financial Services | 77.8 | ▼ DOWN | 3.0 | 15 | -0.23 | -0.24 | 0.06 |
| ARL | Ardea Resources Limited | Basic Materials | 71.2 | ▼ DOWN | 1.7 | 19 | -0.34 | -0.58 | 0.05 |
| HVN | Harvey Norman Holdings Limited | Consumer Cyclical | 70.2 | ▼ DOWN | 1.4 | 12 | -0.37 | -0.29 | 0.02 |
| BOA | BOA Resources Limited | Basic Materials | 65.7 | ▲ UP | 8.0 | 100 | 0.74 | 0.03 | 1.00 |
| SHA | SHAPE Australia Corporation Limited | Industrials | 64.5 | ▲ UP | 3.6 | 56 | 0.22 | 0.40 | 1.00 |
| ARN | Aldoro Resources Limited | Basic Materials | 61.9 | ▲ UP | 3.1 | 12 | 0.07 | 0.49 | 0.07 |
| DRR | Deterra Royalties Limited | Basic Materials | 59.9 | ▼ DOWN | 2.7 | 26 | -0.12 | -0.17 | 0.32 |
| EL8 | Elevate Uranium Ltd | Energy | 59.8 | ▼ DOWN | 2.2 | 48 | -0.45 | -0.15 | 0.02 |
| ALA | Arovella Therapeutics Limited | Healthcare | 59.2 | ▼ DOWN | 1.9 | 96 | -0.66 | -0.28 | 0.00 |
| LKE | Lake Resources NL | Basic Materials | 58.8 | ▼ DOWN | -0.1 | 1 | -0.19 | -0.57 | 0.07 |
| MKR | Manuka Resources Limited | Basic Materials | 58.8 | ▼ DOWN | 0.3 | 14 | -0.28 | -0.53 | 0.06 |
| CXU | Cauldron Energy Limited | Basic Materials | 58.5 | ▼ DOWN | 2.5 | 78 | -0.59 | -0.31 | 0.36 |
| ELT | Elementos Limited | Basic Materials | 58.3 | ▲ UP | 1.9 | 91 | 0.41 | 0.92 | 0.85 |
| EVO | Embark Early Education Limited | Consumer Defensive | 57.6 | ▼ DOWN | -0.5 | 1 | -0.85 | 0.13 | 0.10 |
| POL | Polymetals Resources Ltd | Basic Materials | 57.5 | ▼ DOWN | -0.5 | 12 | -0.48 | -0.33 | 0.14 |
| WWI | West Wits Mining Limited | Basic Materials | 57.4 | ▼ DOWN | -0.1 | 4 | -0.20 | -0.44 | 0.03 |
| REH | Reece Limited | Industrials | 57.2 | ▲ UP | -0.3 | 0 | 0.42 | 0.09 | 0.89 |
| CMW | Cromwell Property Group | Real Estate | 57.0 | ▼ DOWN | 2.0 | 79 | -0.30 | -0.38 | 0.00 |
| CEN | Contact Energy Limited | Utilities | 56.7 | ▼ DOWN | -0.3 | 7 | -0.24 | -0.40 | 0.00 |
| ARB | ARB Corporation Limited | Consumer Cyclical | 56.7 | ▼ DOWN | 0.1 | 11 | -0.33 | -0.35 | 0.03 |
| PLT | Plenti Group Limited | Financial Services | 56.3 | ▼ DOWN | -0.4 | 5 | -0.22 | -0.43 | 0.08 |
| FRI | Finbar Group Limited | Real Estate | 56.1 | ▼ DOWN | -0.5 | 11 | -0.33 | -0.39 | 0.06 |
| CYC | Cyclopharm Limited | Healthcare | 56.0 | ▼ DOWN | -0.5 | 28 | -0.80 | -0.78 | 0.00 |
| WHI | Whitefield Income Limited | Financial Services | 55.9 | ▼ DOWN | -0.2 | 15 | -0.51 | -0.17 | 0.00 |
| QML | QMines Limited | Basic Materials | 55.8 | ▲ UP | 3.7 | 70 | 0.27 | -0.22 | 0.89 |
Signal map — volume anomaly vs squeeze
Components: abnormal 5-day volume (z vs trailing 60d), Bollinger-bandwidth squeeze percentile (low = coiled), OBV slope + close-location agreement (accumulation vs distribution footprint), and position in the 1-year range. Event-study check: across 12 evaluated names, days scoring ≥60 were 3.67× more likely than the base rate to precede a 2σ five-day move.
These are statistical anomaly flags on public price/volume data. They often precede material announcements, but they are not evidence of insider trading and cannot identify it.
| Ticker | Name | HRP % | MinVar % | RiskPar % | MaxSharpe % |
|---|---|---|---|---|---|
| TCL | Transurban Group | 8.65 | 10.00 | 0.00 | 7.99 |
| TLS | Telstra Group Limited | 6.87 | 10.00 | 0.00 | 0.00 |
| COL | Coles Group Limited | 5.75 | 7.93 | 0.00 | 10.00 |
| SOL | WHSP Holdings Limited | 4.83 | 2.04 | 0.00 | 2.08 |
| SIG | Sigma Healthcare Limited | 4.76 | 7.35 | 7.15 | 0.75 |
| ORG | Origin Energy Limited | 4.61 | 4.49 | 0.00 | 0.00 |
| QBE | QBE Insurance Group Limited | 3.70 | 0.00 | 0.00 | 6.31 |
| SUN | Suncorp Group Limited | 3.67 | 2.37 | 0.00 | 0.00 |
| FPH | Fisher & Paykel Healthcare Corporation Limited | 3.62 | 0.00 | 6.44 | 0.00 |
| CPU | Computershare Limited | 3.48 | 2.18 | 0.00 | 0.67 |
| SCG | Scentre Group | 3.34 | 2.11 | 0.00 | 0.00 |
| AMC | Amcor plc | 2.98 | 2.83 | 6.84 | 0.00 |
| RMD | ResMed Inc. | 2.86 | 3.63 | 7.13 | 0.00 |
| NWSLV | News Corporation | 2.85 | 6.60 | 0.00 | 0.00 |
| WES | Wesfarmers Limited | 2.57 | 0.00 | 0.00 | 0.00 |
| WOW | Woolworths Group Limited | 2.43 | 4.09 | 0.00 | 10.00 |
| IAG | Insurance Australia Group Limited | 2.35 | 2.55 | 0.00 | 0.00 |
| NAB | National Australia Bank Limited | 2.32 | 2.91 | 0.00 | 0.00 |
| FMG | Fortescue Ltd | 2.15 | 4.92 | 5.95 | 0.00 |
| BXB | Brambles Limited | 2.13 | 0.00 | 0.00 | 0.00 |
| WDS | Woodside Energy Group Ltd | 2.06 | 6.38 | 0.00 | 10.00 |
| ALL | Aristocrat Leisure Limited | 2.04 | 0.93 | 0.00 | 0.00 |
| STO | Santos Limited | 2.00 | 0.74 | 0.00 | 0.00 |
| CBA | Commonwealth Bank of Australia | 1.67 | 3.20 | 0.00 | 0.00 |
| NWS | News Corporation | 1.56 | 4.52 | 7.20 | 0.00 |
| SGH | SGH Limited | 1.48 | 0.00 | 5.98 | 0.00 |
| ANZ | ANZ Group Holdings Limited | 1.38 | 1.30 | 0.00 | 10.00 |
| WBC | Westpac Banking Corporation | 1.36 | 0.00 | 0.00 | 1.62 |
| CSL | CSL Limited | 1.36 | 0.00 | 0.00 | 0.00 |
| MQG | Macquarie Group Limited | 1.33 | 1.03 | 6.12 | 7.91 |
| REA | REA Group Limited | 1.07 | 0.54 | 6.14 | 0.00 |
| BHP | BHP Group Limited | 1.05 | 1.92 | 5.62 | 10.00 |
| RIO | Rio Tinto Group | 1.03 | 3.00 | 5.94 | 10.00 |
| GMG | Goodman Group | 0.96 | 0.00 | 5.86 | 0.00 |
| JHX | James Hardie Industries plc | 0.93 | 0.16 | 5.01 | 0.00 |
| S32 | South32 Limited | 0.86 | 0.00 | 0.00 | 8.56 |
| NST | Northern Star Resources Limited | 0.61 | 0.09 | 4.56 | 0.00 |
| NEM | Newmont Corporation | 0.55 | 0.20 | 4.79 | 0.00 |
| EVN | Evolution Mining Limited | 0.41 | 0.00 | 4.45 | 4.12 |
| XYZ | Block, Inc. | 0.37 | 0.00 | 4.80 | 0.00 |
| Model | Exp. return | Volatility | Effective names | Max risk contrib. |
|---|---|---|---|---|
| hrp | 4.3% | 8.8% | 26.5 | 7.1% |
| minvar | 6.2% | 7.9% | 17.7 | 8.9% |
| maxsharpe | 28.6% | 12.1% | 11.6 | 18.5% |
| riskparity | 7.1% | 16.4% | 16.6 | 9.6% |
Expected returns are trailing-year estimates — treat MaxSharpe with the most scepticism (it inherits all their noise); HRP and MinVar depend only on the covariance structure.
| Pair | β | ADF t | ½-life | z | Signal |
|---|---|---|---|---|---|
|
GMD/CMM
Basic Materials
|
1.28 | -4.65 | 12d | -0.5 | WATCH |
|
RMS/NST
Basic Materials
|
1.27 | -4.12 | 20d | 0.6 | WATCH |
|
RRL/GMD
Basic Materials
|
0.98 | -4.07 | 25d | -0.1 | FLAT / EXIT |
|
GMD/EVN
Basic Materials
|
1.07 | -3.77 | 20d | -0.1 | FLAT / EXIT |
|
GPT/CHC
Real Estate
|
0.30 | -3.41 | 21d | -0.5 | WATCH |
Spread z-score — GMD/CMM (2y)
same sector, ρ≥0.6, EG-ADF<−3.34 (5%), half-life 5–60d. Spread = log A − β·log B; enter at |z| ≥ 2 (bands shown), exit near 0.
Merton–Kelly f* = (μ−r)/σ² using the realised CAGR (51.8%) and volatility (33.9%) of the latest momentum backtest (momentum top20 5y cap≥100M). Full Kelly is famously aggressive — estimation error compounds — which is why half-Kelly is shown. The paper fund runs unlevered (1.0×) regardless.