Research
Bloomberg API Analysis
Utilizing Bloomberg's API to capture portfolio risk and performance
During my internship at Auréus in Amsterdam, I worked on analyzing and optimizing investment portfolios using a combination of Excel and Python alongside the Bloomberg API. My primary focus was to evaluate the risk and performance of a specific portfolio, identifying its strengths and weaknesses. By leveraging advanced tools and methodologies, I contributed to a restructuring of the portfolio to make it more forward-looking and to reduce its beta, aligning it with long-term strategic goals.
Tools Used
Goal
Optimize investment portfolio performance and risk
Methodology
Data Extraction and Processing
Utilized the Bloomberg API within Excel to retrieve live market data on portfolio holdings and benchmark indices the company used. Exported the data to Python for computationally intensive analyses, ensuring efficiency and accuracy beyond Excel's capabilities.
Portfolio Performance Analysis
Calculated key metrics, including beta, to understand the portfolio's sensitivity to market movements. Measured risk-adjusted performance and identified underperforming or overexposed assets.
Optimization and Restructuring
Collaborated with my supervisor to identify areas of improvement based on beta analysis and other risk metrics. Proposed and implemented portfolio adjustments, including diversification strategies and allocation changes, to reduce beta and future-proof the portfolio.
Presentation to Key Stakeholders
Prepared and delivered a detailed presentation to the company's CIO and CFO to explain the rationale behind the portfolio restructuring. Built a comprehensive PowerPoint deck showcasing the analysis, highlighting the portfolio's weaknesses and strengths, and illustrating the benefits of reducing beta. Demonstrated how the proposed changes could improve the portfolio's resilience and alignment with the company's long-term goals.
Results
The portfolio restructuring led to a significant reduction in beta, making it less sensitive to market fluctuations. Additionally, the portfolio projected a combined yield of over 4%, getting closer to the company's benchmark. The changes were well received by the CIO and CFO, who appreciated the forward-looking approach and the potential for long-term growth.