Riemannian Covariance Estimation and Regime Detection for Portfolio Management: Benchmark Results

OmniSciences Technical Report TR-2026-004 We present benchmark results for Riemannian geometric methods applied to portfolio covariance estimation, conditioning, and regime detection. Key results (615+ tests, 5 independent Monte Carlo universes): 63% of Euclidean sample covariance estimates fail positive-definiteness at realistic sample sizes — Riemannian: 0% failure (p<0.0001) Geodesic shrinkage produces dramatically better-conditioned estimates Regime detection via geodesic distance detects correlation structure shifts Honest disclosure: Portfolio performance metrics (Sharpe, drawdown) are NOT statistically significant across universes Patent-pending (U.S. Provisional Application No. 64/007,419).

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Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-03-24
DOI
https://doi.org/10.5281/zenodo.19192343
Primary Topic
Statistical Methods and Inference
Type
article
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article

Riemannian Covariance Estimation and Regime Detection for Portfolio Management: Benchmark Results

Sloan Austermann
Zenodo (CERN European Organization for Nuclear Research)
Statistical Methods and Inference
article

Riemannian Covariance Estimation and Regime Detection for Portfolio Management: Benchmark Results

Sloan Austermann
article en

Abstract

OmniSciences Technical Report TR-2026-004 We present benchmark results for Riemannian geometric methods applied to portfolio covariance estimation, conditioning, and regime detection. Key results (615+ tests, 5 independent Monte Carlo universes): 63% of Euclidean sample covariance estimates fail positive-definiteness at realistic sample sizes — Riemannian: 0% failure (p<0.0001) Geodesic shrinkage produces dramatically better-conditioned estimates Regime detection via geodesic distance detects correlation structure shifts Honest disclosure: Portfolio performance metrics (Sharpe, drawdown) are NOT statistically significant across universes Patent-pending (U.S. Provisional Application No. 64/007,419).

Zenodo (CERN European Organization for Nuclear Research)
XRSciences (United States) (US)
Openalex Percentile: Top 17%
Statistical Methods and Inference
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