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 – 20/01/2017 to 20/01/2021 and 20/01/2021 to 20/01/2025 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. After forming portfolios using filters and generating results, comment on the differences in returns across these two time periods. Analyze whether the Value Strategy performed empirically better during the first Trump presidency or the Biden presidency.

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 stock. 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 performance of domestic companies closely around the Brexit Referendum result (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?

C) Comment whether the findings derived provide empirical evidence of the Contrarian approach?

TASK 4

Apply the relevant steps in the Bloomberg Terminal to test whether Portfolio Diversification theory holds empirically in the U.S. market over the past 10 years (25/02/2015–25/02/2025). Comment on the relevant characteristics and influencing factors.