Problem Statement
Our client, a US-based hedge fund, wanted us to analyze the portfolio of stocks and identify the attributes that impact the performance of a portfolio.
JMI Implementation
- JMI team collected the macro-economic data like GDP growth, currency impact, crude oil price and sector trends etc. and analyzed its impact on portfolio companies.
- Conducted fundamental research on portfolio companies to get insights on KPIs and valuation ratios like PE ratios, PB ratios and, EV/EBITDA values.
- Analyzed the technical and pricing attributes like momentum and mean reversion of each stock.
- Analyzed the volatility of each stock based on historical trends.
JMI team Identified that c.13% of portfolio, 13 stocks have shown negative momentum during different time periods over a long time
- Telecom and Logistics sector stocks are underperforming.
- 13 stocks have shown negative momentum at different time period for a long time.
- Identified stocks with ± 2 standard deviation of average mean return.
- Correlated the revenue growth of each company with the industry average and filtered out the companies with ± 1 standard deviation of industry average.
Results
- The JMI team researched on each stock in the portfolio and identified the key economic and fundamental factors that impact the performance of the portfolio.
- JMI identified 19 stocks in portfolio which are underperforming and helped the client in rebalancing the portfolio.