- use python 2.7
- attribution analysis of excess returns
- portfolio construction
- You can contribute to the project by reporting bugs, suggesting enhancements, exchanging portfolio management experiences or
you can make a donation to this project:
*
- CAGR(annualized return): approx. 25%
- MDD: approx. -12%
- Sharpe Ratio: >1.5-1.8
** returns should be higher/lower since some days are missing from the data
| DATE | MSCI World | Port_01 | Port_02 |
|---|---|---|---|
| TOTAL RETURN | 3.16% | 6.60% | 5.75% |
| EXCESS RETURN | n/a | 3.44% | 2.59% |
| # OF HOLDINGS | 1,632 | <100 | <100 |
| 20190320 | 0% | 1.29% | 1.29% |
| 20190321 | 0.75% | 0.90% | 0.90% |
| 20190325 | -1.56% | -1.98% | -1.05% |
| 20190326 | -0.37% | -0.07% | 0.10% |
| 20190327 | 0.75% | 0.09% | 0.53% |
| 20190329 | 0.06% | 0.02% | 0.06% |
| 20190401 | 0.60% | 0.62% | 0.76% |
| 20190409 | 1.14% | 1.38% | 0.63% |
| 20190415 | 0.55% | 0.57% | 0.43% |
| 20190416 | 0.08% | 0.22% | 0.32% |
| 20190417 | 0.09% | 0.03% | -0.35% |
| 20190423 | 0.06% | 0.75% | 0.23% |
| 20190429 | 0.39% | 1.05% | 0.58% |
| 20190503 | -0.41% | -0.41% | -0.27% |
| 20190513 | 0.33% | 0.11% | 0.61% |
| 20190516 | 0.55% | 2.03% | 1.01% |
B41211 B4129 B41225 B41221 B41222 B41216 B4123
A455 D2111 4 A11612 A319620 B2 B1 B11416 A31313 A132614 H4 A334 A01410 A665 B1148 A67 A115 A6516 F2 G15157 G1515712
- Compound Return 2009-2017 / Index High Dividend Growth
| YEAR | TOP TEN | TOPIX | ALPHA | WINNER |
|---|---|---|---|---|
| 2009-2010 | n/a | n/a | n/a | n/a |
| 2010-2011 | -6.17% | -9.83% | 3.66% | Top Ten |
| 2011-2012 | 15.03% | 1.37% | 13.66% | Top Ten |
| 2012-2013 | 17.46% | 23.66% | -6.20% | TOPIX |
| 2013-2014 | 15.67% | 2.58% | -6.91% | TOPIX |
| 2014-2015 | 37.19% | 30.54% | 6.65% | Top Ten |
| 2015-2016 | -3.68% | -10.07% | 6.39% | Top Ten |
| 2016-2017 | 33.39% | 18.80% | 14.59% | Top Ten |
| 2017-2018 | 34.93% | 15.33% | 19.60% | Top Ten |
| 2010-2015 | 86.71% | 74.09% | 12.62% | Top Ten |
| 2011-2016 | 91.88% | 73.38% | 18.50% | Top Ten |
| 2012-2017 | 117.73% | 95.86% | 21.87% | Top Ten |
| 2009-2017 | 212.92% | 103.61% | 109.31% | Top Ten |
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Conducted fundamental investment analysis of the Japanese and South Korean markets and the utilities and renewable energy sectors. Conducted bottom-up research and successfully uncovered an undervalued utilities stock, suggesting an overweight to the benchmark. The electricity stock rebounded by over 391% in 2 months (initiated on Jan 16, 2019). Keywords: chapter 11, chapter 7, list of fires history.
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Presented Japanese economic and market views to external and internal clients and made profitable buy and sell calls for the Nikkei 225 in 2018 and 2019. Gave a 'Sell' rating before a market correction (-21%) in Oct. 2018 and met the target price within 1% in 2019.
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Derived comprehensive analysis of selected stocks from emerging markets. Raised the target price from THB59.7 to THB76 (52 Week High THB77.8).
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Covered the utilities sector and initiated a target price of USD140 with a 'Buy' investment rating, outperforming the low-volatility benchmark by over 3%.
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Generated thematic strategy research on equity investment, attribution analysis, and backtesting.
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Reviewed investment returns, risks, activities, and other investment-related issues in a timely and comprehensive manner.
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Created a portfolio attribution analysis module using Python and automated abnormal stock volatility calculations using VBA.
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