Research
On the Predictability of Industry Returns (JMP)
Extract industry-level indicators from macro, fundamentals, and 13F holdings. Methods: rolling PCA, state-space models.
Holdings-Based Expectations and Revealed Industry Expectations (RIE)
Reverse-engineer investor beliefs from portfolio weights; map to industry signals.
Replication: Koijen & Yogo (2019) Asset Demand System
Robustness analysis for holdings-based demand estimation and aggregation.
Kalman Filter & Factor Models for Industry Signals
DFM and custom state-space models for nowcasting/predicting industry returns.