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Terminal Bloomberg : beaucoup n’utilisent que la partie émergée de l’iceberg

Terminal Bloomberg : beaucoup n’utilisent que la partie émergée de l’iceberg

Preuve de l’importance des terminaux de trading Bloomberg : quand ils sont tombés en panne en avril 2015, le marché a été pris de panique, comme en témoignent les réactions suivantes : « La panne de Bloomberg m’a finalement fait comprendre dans quel état peuvent être les adolescents quand Facebook est bloqué », a commenté l’économiste en chef de l’Irlande Philip O’Sullivan. « Nous conduisons à l’aveuglette … et nous nous rabattons sur admin », a pour sa part déclaré Louis Gargour, directeur d’investissements chez LNG Capital.  « Les marchés sont donc surexposés à Bloomberg. Tant de gens sont mariés avec », déplore un trader de Hong Kong.

Cependant, que vous soyez fiancé ou non à votre terminal, vous pouvez très bien ne pas l’utiliser de façon optimale. Il y a forcément une bonne raison pour laquelle les banques paient 20.000 euros par an pour que les professionnels des marchés aient un accès aux terminaux Bloomberg : ce sont des machines extrêmement puissantes qui peuvent sélectionner et trier des  informations dés sur tous les domaines du marché, à condition toutefois de connaître les bons codes.

A toute fins utiles, donc, pour toutes celles et ceux qui n’utiliseraient pas leurs terminaux de façon optimale, l’Institut Bloomberg vient de publier un document de 40 pages de tous les exercices utilisés dans ses formations sur les investissements, les marchés financiers, le fixed income et les dérivés. Vous pouvez y accéder en cliquant ici. Et si vous n’avez pas le temps de tout lire, vous pouvez tester vos connaissances avec les exercices que nous avons sélectionnés ci-dessous (en anglais pour plus de commodité).

Pour les traders actions :

1. ‘Short Interest is the total amount of shares of stock that are sold short and have not been repurchased to close out the position. High levels of short interest indicate that numerous sellers have sold the stock short and are expecting a downturn in the share price. The SI Screen displays monthly short interest information for a selected equity security that trades on the exchanges. Use the SI screen for several stocks of interest to determine whether or not there is a bullish or bearish sentiment regarding the stocks.’

2. ‘The MBTR monitor screen displays institutional equity transactions of 10,000 shares/lots or more (block trades) on exchanges worldwide. Set up the screen to monitor the stocks in an index (e.g., Russell 3000 (RAY) and the minimum volume (e.g., 100,000 or 500,000). Select one of the stocks that is trading on heavy volume and try to determine if there is an explanation for the size of the trade. Screens to consider from the stock’s menu screen: Company News (CN), intraday price graph (GIP), bid and asked spreads and quotes (QR, BQ, and QMC), short interest (SI), dealers’ interest (SIDE), and brokers’ reported volume (IOIA).’

3. ‘Select a stock of interest and examine its historical regression with the S&P 500 over different periods and frequencies using the Beta screen: Stock Ticker and click BETA. In your examination note the stock’s regression parameters, qualifiers, and adjusted beta. Find the stocks β+, β–, and convexity by clicking Beta +/– checkbox on the BETA screen (on the new screen, click the red “Details” tab to find β+, β–, and convexity).’

Pour les gestionnaires de fonds :

1. ‘Evaluate the fund’s performance using PORT. Performance tab, “Total Return,” “Portfolio vs Index” (e.g., INDU), Time = MTD, YTD, and Custom (for Custom, the select time period must match the period history of the portfolio created in PRTU).Performance tab, “Statistical Summary,” “Portfolio vs Index” (e.g., INDU). Using your selected fund’s RV screen, compare the fund with other similar funds in terms of Sharpe, Treynor, and Jensen ranking indexes. On the RV screen, click the custom tab and then type in Sharpe, Treynor, and Jensen to find those indexes.’

2. ‘The performances of funds by type (e.g., mutual, hedge funds, ETFs, and unit investment trust) can be found on Bloomberg’s Fund Heat Map screen, FMAP. Use the screen to identify the top performers based on total return for several types: FMAP , click “Fund Type” in “View By” dropdown.’

3. ‘Create your own fund of funds portfolio: a. Using the FMAP screen, select funds with different styles: FMAP ; View by = Objective; Region = United States; Analyze by = Last 3-Year Total Return. b. Create a portfolio of your funds in PRTU and analyze the portfolio using PORT. c. Create a basket of your portfolio returns and make it an index in CIXB. As an index, use HRA to determine its regression relation with the S&P 500. d. Examine each fund’s alpha, beta, and R2 using The CORR Screen:: Enter CORR ; click “Create New” tab; select data time period; in the “Matrix Securities” unclick “Symmetric Matrix” button, import portfolio from “Add from Source” tab and click update; in Column Securities Box, add stock index (e.g., S&P 500) by typing index ticker and index moniker (e.g., SPX ) and then click the “Next” tab; name your CORR Screen. On your portfolio’s CORR screen select the data time period for analysis and then use the Calculation tab to find each stocks R2 , alphas, and betas. e. Use the Markowitz Excel Program to determine the best efficient portfolio.’

Pour les risk managers (et les gestionnaires de fonds) : 

1. ‘Evaluate your portfolio’s past performance relative to an index (e.g., DJA, INDU) using the PORT screen over different times periods: Performance tab, “Total Return,” “Portfolio vs Index” (e.g., INDU), Time = MTD, YTD, and Custom (for Custom, the select time period must match the period history of the portfolio created in PRTU).’

2. ‘Use the MRA screen to run a multiple regression of the returns of a stock or index of interest. For your explanatory variables consider the S&P 500 (SPX ) and long-term Treasury yields (USGG30YR ): MRA ; select a set for inputting information; on the set screen select dependent and independent variables; save the set by typing 1 and hitting and select the time period and frequency (daily, weekly, etc.) by hitting 2 . For an example, see Bloomberg box: “MRA: Bloomberg’s Multiple Regression Screen.”’

3. ‘Select a stock of interest and compare its historical volatility for different periods (30-day, 60-day, etc.) using the HVT screen.’

Pour les professionnels de l’analyse fondamentale et technique :

1. ‘Conduct a relative analysis of your portfolio companies by customizing an RV screen showing the stocks’ DDM values, market prices, and economic value added (EVA). Bring up the RV screen for one of the stock’s in your group; on the RV screen, pull the other stocks from the Comp source dropdown (portfolio, index, or EQS search); customize the screen creating columns for DDM value, EVA, and price..’

2.  ‘On the GP screen, use the “Annotate” button on the grey toolbar at the top of the price chart to bring up the annotations palette. On the palette, select regression from the pointer box (top right corner of the palette), span the regression pointer over the time period of interest and then click to create the regression band. Create several regression bands and study their beginning and ending prices and regression slope. To obtain information in a band area, move your curser to band line to bring up an information box with price and regression information.’

3. ‘Technical analysis can be applied to study trends and breakouts for other exchanges, indexes, currencies, commodity prices, and portfolios. Select an index representing foreign stocks or an exchange rate and construct a moving average band for a time period of interest. For a moving-average envelope for a loaded index or currency, type GPO MAENV. See if there are reversal and confirmation signals.’

Pour les traders obligations et taux :

1. ‘Select an intermediate-term to long-term speculative-grade corporate bond. Using the bond’s GY or GP screen, examine its price, yield to maturity, yield to next call (if applicable) and spread over its benchmark over the past year. Click the “Event” checkbox and set the event settings to see if the spikes in spreads can be explained by certain events.’

2. ‘Use the FWCV screen to determine forward rates one, two, and three years forward. Given your projected one-year forward rates determine your one-year expected total return for different maturity investments using the IYC9 screens and inputting your forward rates.’

3. ‘Use the Bloomberg RATC screen to identify bonds that have had recent ratings changes. On the RATC screen, you may want to limit your search to bonds in a particular industry (select industry from the red “Search” dropdown). Examine one of the bonds with ratings changes using the RSKC, CRPR, and DRSK screens. Comment on the ratings changes and information you find from the screens, such as Altman Z-score, probability of default, changes in financials, CDS spreads, and litigation. ‘

Vous êtes parvenu à compléter les exercices ci-dessus ? Félicitations – vous avez réussi le test. Maix cela n’est qu’un premier pas. Vous trouverez beaucoup plus de choses en cliquant ici.

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