Australia Equity Model over Different Horizons (AUES/L) - Research Notes

Nov 1, 2008

This report introduces the Multiple-Horizon Australia Equity Model, available in two versions, shortterm (AUE3S) and long-term (AUE3L). This model has been constructed explicitly to meet the needs of near-term (several-month) and long-term (annual) investors. Both versions employ daily returns data and account for serial correlations in aggregating daily factor returns to longer horizons. Daily data provide denser and more detailed intra-horizon volatility information than monthly returns data. Both versions of the new model make more responsive forecasts than AUE3, the model being replaced.