This group project applies advanced investment management techniques to
evaluate asset pricing models, idiosyncratic risk, factor exposures, and
bond valuation. Using CAPM, the Fama-French Five-Factor Model, and yield
curve interpolation methods, this project analyzes both equity and
fixed-income investments to assess return drivers, risk decomposition,
and pricing accuracy.
Key Components
Idiosyncratic Volatility: Decomposition of stock
returns using variance structures to identify how much risk is
diversifiable.
Multi-Factor Modeling: Implementation of the
Fama-French Five-Factor Model, including covariance, correlation,
alpha estimation, and factor load interpretations.
Investment Recommendations: Stock selection based on
five-factor alpha performance and relative risk levels.
Bond Pricing: Use of the GSW and LW term structure
methods to price long-term bonds and compare valuation differences.
Yield Curve Interpretation: Analysis of curve shape
(humps, slopes, sensitivity) and its impact on investment decisions.
Skills Demonstrated
Equity return modeling and risk attribution
Factor-based asset pricing
Excel modeling / quantitative analysis
Bond valuation & yield curve construction
Interpreting multi-factor regression outputs
Reflection
This group project strengthened my ability to analyze return drivers
across different asset classes and apply quantitative models to real
financial data. It also reinforced the importance of understanding how
risk, factor exposure, and term structures affect pricing and portfolio
construction.