Bloomberg Exercises

Chapter 1. Introduction – Experts and Evidence

Chapter 2. Warren Buffett – The Greatest Investor?

Chapter 3. Philip Fisher – Growth Investor

• The case for small cap investment

Chapter 4. David Dreman – The Master Contrarian?

Chapter 5. Harry Markowitz – The Father of Portfolio Theory

Chapter 6. Behavioural Finance – Some Useful Insights

Chapter 7. Technical Analysis

Chapter 8. Quants and Alternative Investments

Appendix I. Introduction to BLOOMBERG PROFESSIONAL®

Appendix II. Methods of Valuation

About the Companion Website

Index

Objective: Study the case for small-cap investment using the UK market as an example

• Compare the return and volatility of the two major indexes in the UK market: FTSE100 {UKX}, FTSE Small Cap {SMX Index} using the functions comparative return {COMP} and graph volatility {GV}. Note that for SMX there is no implied volatility so we only study 30d historical volatility. Use the last 5 years as the time frame of your study. What do you conclude from your analysis?

• How can you construct a long-short strategy with these two indexes to take advantage of what you find? Use the Spread Analysis {HS} to demonstrate your strategy return.

Extensions:

• Identify ETFs that can be used for your strategy and redo the analyses using those securities.

• Check if your conclusion is similar if you only use the other 5 year data right before the beginning of the above main analysis (e.g., if you did your main analysis between Jan 2017- Dec 2021, then try studying Jan 2012- Dec2016).

• Is this size effect consistent in different markets? Pick another market of your choice and redo the analysis.