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Bloomberg - Idea Generation and Portfolio

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35 views10 pages

Bloomberg - Idea Generation and Portfolio

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supermartin786
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Equity Idea Generation & Portfolio Functions

MA <GO> N <GO> SPX <INDEX> GRR


Displays current and historical The front page for all news GRR ranks returns of all
merger and acquisition (M&A) options. industry groups in a selected
details for public & private BBSA <GO> index during a specific time.
transactions. (click on mergers A search for analyst research Substitute the index symbol SPX
and Acquisition Search) including recommendations, with any index you wish to
LEAG<GO> rating changes. dissect.
List underwriter/legal adviser WEI <GO> PRTY <GO>
ranking. Compare regional indices Displays a list of portfolios that
ECDR <GO> againts one another and you have created and shared
Monitor initial public offerings determine current and historical portfolios.
and secondary equity offerings levels. PFST <GO>
to analyze how to raise capital WPE <GO> Update, create, or delete a
and gauge market receptiveness. Displays price/earning ratios and portfolio.
ECO <GO> dividend yields of benchmark PLST <GO>
Display, customize and manage equity indices from around the Display a list of your portfolios.
multiple economic calendars by word. RVP <GO>
region/country/event on a MOST <GO> Perform a customized peer group
historical, current or upcoming Displays the day’s most active analysis to benchmark the
basis. stocks by volume, the leading company’s performance against
ECST<GO> advancer and decliners by industry. After choosing the
Display current and historical percentage or net/gain loss, and portfolio or equity or index, type
economic statistics for selected stocks with the most value RVP at the cursor and hit <GO>
nations. traded. QSRC <GO> or EQS <GO>
BBEA <GO> MOV <GO> Screen for equity based on
Displays a menu for earning Analyze stocks that drive variety of criteria.
analysis related news. Find movement of a selected index to Shortcut mnemonic for
earnings surprises and trends determine which stocks are accessing main page of a
from selected countries. under or over-performing security directly
GGR <GO> compared to the index. MSFT US<EQUITY><GO>
Select country to get treasury EMI <GO> EMI <GO>
rates for the country. Right click Monitor current market Input SPY US Equity for ETF.
and select HP, change period to information in global equity Adjust perio, date range and
quarterly and select a date range. markets. export data to excel to calculate
Export to excel and use to Total Return.
calculate Total return.
Step 1 – Create a stock screen

Type “EQS” <GO> into the command screen to bring up the stock screener. You will use this screener to screen for
stocks to put into your portfolio for every period.

Step 2 - Enter in your screening criteria

 Trading Status: “Active” – This can be left as is, the backtester will automatically only choose stocks that
were active at the time of the backtest thus avoiding any look ahead or survivorship bias.
 Country of Domicile: “United States” – This is the where your stocks are publicly listed. Choosing “United
States” will include stocks on every exchange in the US on your screen. You may choose to include Canada
as well into your backtest.
 Price: >5 – You may play around with this but it is a good idea to exclude penny stocks in your analysis due
to their volatility and low volume.
 Volume: >100,000 – Also another measure to exclude low volume stocks.
 Market Cap: >5,000,000 – Recommended to exclude small cap stocks that may skew results
 After you have entered in these basic criteria, you may now start to develop your strategy by searching
from any of the 2000 criteria offered by Bloomberg.
For this tutorial, we will test a simple strategy by selecting the 20 stocks with the lowest P/E ratio for each
quarter. Once you have completed your screener, be sure to save it by going to Actions>Save As.
Step 3 - Initialize the Backtest

Once you have saved your screener, click on the grey “Backtest” button on the top right corner of the screen. This
will take you directly to the EQBT function in Bloomberg with the screener you just created. You will now get to
choose the analytical parameters and select the analysis period for your backtest.
For this example, under parameters, we will select equal weighting in our portfolio and we will also set the
S&P500 as our benchmark for analysis.

Under analysis period, we will select a portfolio that is rebalanced quarterly, starting 10 years from the most
recent completed quarter (Sept 30 marks the end of the last quarter in this case).
Once you are finished adjusting your parameters, click “Run” at the bottom right corner of the screen and choose
a name for your backtest.

You will now be notified that your backtest is processing and you will receive a message when the backtest is
complete (usually takes 2-5 minutes).
Step 4 - Analysis

Once the backtest is complete, you will receive the results in your message inbox. From our analysis, we can see
that our strategy provided a return of over 900% whereas the S&P500 only provided a return of 107%. You will
be able to see which stocks were selected for each quarter and the return of each individual stock in your
portfolio.
Be wary of obscure stocks that show unrealistic returns like seen below (2000% in a quarter). If this happens in
your backtest, try modifying your screening criteria in order to exclude such stocks. In this case setting a
minimum constraint on the market cap would have eliminated it since this stock is only about $3.8m.
Step 5 - PORT Analysis

Once you have looked over the basic statistics of your strategy, you can do a further analysis by clicking on the
red button on the top labeled “Analyze in PORT”. This will let you extract more detailed information about the
stocks that have been selected in your portfolio.

Make sure to set *your portfolio name* vs “None” or “SPY Equity”. This is because we don't have access to the
information directly from the S&P500 so we have to take it out or use a proxy such as the “SPY” exchange traded
fund.

You will find an abundance of relevant information to your stocks under the “Characteristics” Tab. In the drop
drown menu where it says “GICS Sectors”, you can set it to show by “Strategy” which will give you one list of all
your stocks instead of sorting them by sectors.
To add columns to your chart, click on the little gear icon on the top right corner of the screen and then click “add
columns”. This will let you customize the view. You can then export this information into excel by clicking
Actions>Export to Excel. You can do this for every quarter by changing the date on the top right quarter of the
screen.

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