3 research outputs found
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Chicago Quantitative Alliance Investment Challenge: Strategy and Reflection
This year our team of five University of Arizona students was tasked with creating an investment approach for a mock portfolio of $1,000,000 that was to remain market neutral with an equal amount of long and short exposure. We developed our investment idea on the fact that a Donald Trump election win was being discounted as impossible when in reality there was a statistical chance that he could win the election. We took long positions in the Financial and Energy sector. After the election, these industries performed exceptionally well and we finished with the top overall return in the competition. We also filmed and created a video with the help of Brian Maki that goes into more depth on our decisions and how we constructed our portfolio as well as the results we observed. All of this work was the culmination of all of our studies in finance as well as the Portfolio Management Class we are all enrolled in
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Chicago Quantatative Alliance Investment Challenge
The purpose of my thesis was to explore investment management, and to learn how to mitigate risk while generating abnormal returns. As a group, we implemented academically researched and proven investment methods with the goal of creating a well-managed portfolio. We gauged our performance by our overall return and risk adjusted return. By utilizing investment methods and consistently rebalancing our portfolio we were able to maximize our return and win the competition
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2017 Chicago Quantitative Alliance Investment Challenge: University of Arizona CQA Investment Strategy
The CQA challenge is a 6 month competition that starts in October and ends in March. In this competition, student teams from 54 universities across the world are competing to build a long-short, market neutral equity portfolio that would generate the most risk-adjusted return in the given time horizon while operating under a few specific portfolio constraints. Each team is ranked against each other based on risk-adjusted return and sharpe ratio. Our team consisted of 5 senior finance students at the University of Arizona. Together, we developed our own unique market outlook and portfolio strategy in order to successfully invest $1,000,000 in (hypothetical) capital. We used industry tilts towards financials, energy, and consumer discretionary sectors and factor tilts towards momentum and value stocks as our main drivers of return while minimizing market exposure by keeping our beta between -0.25 and +0.25. The University of Arizona finished the competition in first place in overall portfolio ranking with a return of 12.23% and in fifth place for sharpe ratio at 1.43