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I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available.

For instance, the EPS time series returns the dates related to the company reporting period, but that's not the day when the information was publicly available. Usually companies announce the results some months later.

What is the best way to retrieve these fundamental data from Bloomberg for backtesting?

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  • $\begingroup$ Clarify what you want. You asked 2 Questions. $\endgroup$ – Ted Taylor of Life Jul 26 '16 at 13:06
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=BDP("AAPL US Equity","IS_EPS", "FUNDAMENTAL_DATABASE_DATE=20141231") returns 6.49 which is what their fundamental database had available on 31st Dec 2014 and was their full year EPS for Fiscal Year ending 27 Sept 2014. If you use =BDP("IBM US Equity","IS_EPS", "FUNDAMENTAL_DATABASE_DATE=20141231") for IBM whose year end is in December then this displays 15.06 which was their 2013 year end as the 2014 EPS number of 11.97 wasn't yet available. Changing the formula to =BDP("IBM US Equity","IS_EPS", "FUNDAMENTAL_DATABASE_DATE=20150228") then reflects the 2014 EPS a by this time it had been published.

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  1. Field(DY895) - i think this is what you are looking for. To lookup the definition of a field use the function: FLDS (type that in the blinking terminal line at the top of the screen or type GOOG US FLDS )
  2. HELP HELP (green buttons at top to contact support) although based on my experience i try to avoid because hassle and they are always trying to sell a damn terminal.

where are you trying to backtest? bloomberg? or trying to export the data (i.e. excel)?

Edit: RE: 1) Field Information for DY895 - List of earnings announcement dates and periods, including estimated, comparable, and actual earnings per share (EPS) information. Returns the period, announcement date, announcement time, actual EPS, comparable EPS, and estimated EPS. example in excel might be:

=BDP('AAPL US', DY895)

would pull...

enter image description here

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  • $\begingroup$ Could you be more explicit? $\endgroup$ – SRKX Jun 11 '16 at 6:48
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You can use =BHP(....,) to download the historical data from Bloomberg...to download the latest data you can use BDP instead of BHP.

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  • $\begingroup$ Are you sure this is going to address his timing concern? $\endgroup$ – SRKX Jun 11 '16 at 6:31
  • $\begingroup$ Yes, along with this function he can actually mention specific dates as well. $\endgroup$ – Atul Agarawal Jun 11 '16 at 6:33

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