Analytical Projects

Analytical Projects
Premium Factor Analysis in Pharmaceutical Industry

      – 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.

Equity Fundamental Analysis for Kimberly Clark Corporation

      – 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

Equity Portfolio Alpha Seeking

      – 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

Mutual Fund Style Analysis for JAMCX

      – 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

Equity Paired Trading Strategy Design

      – 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