Investment Portfolio Analysis and Optimization

As part of its advisory activities, MJT can use its portfolio simulation tools and cyclical analogs analysis to profile any stock or ETF portfolio and its constituents and suggest possible optimization solutions both in terms of factor sensitivity and prospective timing.

This bespoke analysis can be done either on a discretionary or regular basis. Suggested investment horizons for implementing such applied analysis ranges from several months to several quarters.

 

PORTFOLIO PROFILING

 

This initial step aims to understand the Factor Sensitivity of your portfolio as well as its potential performance drivers according to various market scenarios.

  • Sensitivity analysis of the portfolio to various factors such as systematic market risk (e.g. the S&P500), the Dollar, yields, the yield curve and the Value to Growth relationship, or any other factors of influence which may apply.  This analysis is based off the screening of Cyclical Analogs where we aim to understand price correlations as well as cyclical analogies between different assets using our cyclical market models.

  • Analysis of each constituent according to the same process and if pertinent these can then be regrouped into specific baskets baring similar profiles.

  • The reactivity and volatility of the portfolio, specific baskets within the portfolio or individual constituents to different cross asset scenarios can then be analyzed. Typically, such scenario can include a disinflationary bust, a period of cyclical retracement, a period of strong Growth when monetary is being normalized or a reflationary environment when monetary policy is kept loose.

Through this portfolio profiling exercise, a client should gain better knowledge of its exposure and performance drivers in respect to different market scenarios as well as asses if the portfolio’s profile fits its investment objectives over the next few months / quarters, and potentially across the business cycle.

 

PORTFOLIO OPTIMIZATION

Based on this portfolio profiling exercise, and according to the client’s objective, MJT can suggest different Optimization solutions. These may either seek to

  • achieve a more balanced and diversified exposure to various factors and market scenarios across the cycle,

  • or aim to dynamically overweight or underweight certain profiles over time according to the most likely nearer term market scenario.

 

For this second, more active strategy, MJT relies on the following tools:

  • Top-down factors positioning according to MJT’s current cross asset scenario,

  • Bottom-up comparisons of various portfolio profiles, baskets or constituents to identify which ones are best positioned in terms of timing,

  • Both approaches are complementary and should confirm each other,

  • To perform this analysis, MJT will rely on its Automated Markets Forecasting tools and cross any analysis manually through its “Decider” platform.

Contact us at support@mjt.ch to discuss pertinence of such an analysis for your portfolio(s) and set up an initial presentation