Quality-Momentum Equity Portfolio Creation Strategy Using The Bloomberg Terminal

Document Type

Poster Presentation

Publication Date

4-17-2026

Keywords

fsc2026

Abstract

This portfolio is a 26-stock equal weight equity portfolio built on a quality-momentum strategy (Asness, Frazzini, Pederson, 2018) and screened entirely through the Bloomberg Terminal. Every company in this portfolio clears ten criteria before it earns a spot, including a return on invested capital above 15%, a free cash flow margin above 8%, and positive analyst estimate revisions. The investable universe was restricted to US and CN listed common stocks with a market cap greater than $20 billion. That market cap floor was not a guess, it was a deliberate decision in order to scale my portfolio. A portfolio built at this market cap can realistically be used at institutional size without the portfolio manager moving the price of the stock just by buying it, or run into liquidity issues when selling it. My father is a CFA and advised me throughout this project, and one of the first things he told me was that a strategy that only works on small illiquid names is not a real strategy. This one works on the biggest, most liquid companies in the world. 

The portfolio was back tested across four-time horizons using Bloomberg with SPY as the benchmark and outperformed in every single one. Over 20 years it returned 1,286% versus SPY's 639%. The 1-year Sharpe Ratio of 2.48 compared to SPY's 0.69 means this portfolio generated 3.6 times more return above the risk-free rate for every unit of risk taken. Claude was used throughout this project in an academic capacity. Two prompts that directly advanced my research were: "Give me Bloomberg EQS criteria for a quality-momentum equity portfolio of US large-caps with a market cap greater than $20 billion, explain each criteria and its academic basis" and "My portfolio has a Sharpe Ratio of 2.48 versus SPY's 0.69, explain what this means” Both prompts were used as a research accelerator, not a replacement for the work and contributed greatly to both my final product and my overall understanding.

Comments

Poster presented at the 2026 Fisher Showcase, St. John Fisher University, April 17, 2026.

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