N1592 Trading Strategies Midterm Assessment Outline
For the purpose of completing this assessment you need to utilise Bloomberg Terminal. Choose 2 out of 4 below tasks for your report.
Please note you need to select only 2 out of 4 tasks and competing 2 tasks in the lab should not take you more than an hour. After completion of the tasks export your results in a PDF format and cut and crop relevant graphs and tables into your report.
TASK 1
Test the Value Strategy utilising relevant Bloomberg functions, including backtesting, for the following time periods - 12/31/2014-12/31/2019 and 12/31/2020 – 12/31/22 using US & UK, and ONE of the following - Chinese (Shanghai Shenzen 300 Index) or Japanese (Nikkei 225), or Scandinavian (OMX Nordic 40) market data. Identify the most relevant filters and explain why they are the most relevant to testing of this strategy. Having formed a potential portfolio using filters and having generated results comment on the difference in returns generated in these two time periods and analyze whether the Value Strategy holds empirically before or during the covid lockdown period.
TASK 2
Choose a stock and using appropriate Bloomberg functions identify whether this stock is consistent with the Fisher’s Growth Strategy and using Bloomberg terminal identify a suitable comparable. Explain why you chose those specific Bloomberg functions and how you utilized data derived through these functions to complete your analysis.
TASK 3
Test Dreman’s Contrarian strategy by looking at low PE strategy’s performance closely around the 2020 covid crisis (make sure the backtesting includes this period). Answer the following questions:
A) Which industry leads the crisis?
B) Which industry in the portfolio contributes the most to the downturn?
TASK 4
Apply Technical Analysis to a real estate stock from the S&P 500 list of constituents and evaluate a range of strategies that can yield best return. What is the best technical analysis strategy at the end of 2008? If you apply that strategy to the next year, in 2009, can that strategy beat the market? Is your finding consistent if you try the same test on another security from the same sector?