Quantitative Investment Strategy and Bloomberg backtesting
Choose from the FT predefined screens: A Warren Buffett screen
Answer the following questions:
A. Briefly describe the investor who inspired the screener that you choose and discuss their investment philosophy (do not simply copy and paste the short description from FT.com; maximum 300 words) (3 marks).
B. Explain each of the criteria and critically evaluate the purpose and rationale behind the setting. (5 marks)
C. Apply the screener to the United State market on Bloomberg.
a. Show the EQS screening criteria in a screenshot (5 mark)
b. Backtest the strategy with annual rebalance, for the past 15 years relative to last year end, equal-weighted and benchmark against S&P 500. Show the screenshot of the Equity Backtesting: Model Builder with the above set up. (5 mark).
c. Critically evaluate the performance of the portfolio. Should at least include the overview of the performance and the number of securities in the portfolio. (10 marks)
d. Suggest any possible change of criteria that may improve the performance of the screen. (5 marks)
