– Researched the major factors affecting premium in an M&A process int eh Pharmaceutical industry.
– Utilizing Excel VBA to construct Time-series regression for the data analysis
– Researched the major factors influencing premium in the M&A process using Excel.
– Conducted Altman Z Analysis
– Analyzed historical operation performance in GAAP standard and conduct adjusted financial analysis in non-GAAP basis
– Based on financial statements, conducted ROE and Financial Position analysis
– Conducted a 3-year forecast on Kimberly-Clark Corporation
– Calculated cap-weighted active forward return and sector-based price-to-book ratio z-score, natural log cap z-score for each security
– Run cross-sectional regressions of 1000 securities in 60 months’ period to calculate sector premium Lambda for factors like Beta, sector-based P/B z-scores, and natural log cap z-score
– Counted the number of significant P-values of each months’ regression by positive or negative effects on return factors have a higher positive return significance will be potential Alpha
– Conducted sensitivity regression of Lambda against JAMCX fund’s active return and used regression R square as the indication of unsystematic risk-taking
– Obtained fund’s MTE benchmark using Excel Solver by minimizing its volatility difference against presumptive benchmark indexes
– Compared fund’s average active return and information ratio with those indexes in order to determine the fund benchmark
– Applied time-series analysis to test the fund style’s consistency
– Determined pairs of stocks that have high correlation and fundamental Similarity
– Using 20 days moving average, volatility, and price-relativity to construct a pair trade signal
– Conducted a pair trade profit and loss table to analyze the performance of the trade using Excel
– Increased the return of the trade by optimizing the trade signal threshold
– Optimized the return by adding fund allocation strategies