Marquette’s AIM Program has
two teams entered in this year’s Chicago Quantitative Alliance (CQA) Challenge
Each year the Chicago
Quantitative Alliance (CQA) holds a portfolio
management contest for university students, where the students
must manage a portfolio with strict requirements. The contest runs each
year from the end of October until the start of April.
The CQA is a professional investment
organization comprised of leading quantitative investment
practitioners. CQA membership includes
investment managers, academics, plan sponsors, consultants, and other
investment professionals. The primary
goal of the organization is to facilitate the interchange of ideas between
quantitative professionals.
The CQA Investment
Challenge is an equity portfolio management competition that offers students
the opportunity to learn and apply stock selection and portfolio management
skills in a simulated, real life hedge fund experience. The Challenge provides teams with first-hand
experience of being a portfolio manager by managing money, explaining their
investment process and discussing performance.
This year Marquette’s AIMProgram has entered two teams – one comprised of seniors and the other made up
of juniors. The teams, operating under the guidance of Mr. Bill Walker, handle
all aspects of portfolio management including stock selection, portfolio
construction, and risk management. In addition,
each team is required to complete a video presentation at the end of the
challenge that provides a review of their investment team, investment
philosophy/process as well as an update on performance.
- Through Saturday, December 17, 2016, Marquette’s senior-led team ranked 17th out of 54 teams in terms of total return; 14th on the basis of Sharpe Ratio; and 11th on the basis of Alpha generation.
- Through Saturday, December 17, 2016, Marquette’s junior-led team ranked 40th out of 54 teams in terms of total return; 36th on the basis of Sharpe Ratio; and 14th on the basis of Alpha generation.
Throughout the competition
teams will work with an assigned CQA member who will serve as a mentor and
guide. The Challenge is an invaluable
real-life view into managing money in the investment management industry.
| 2016 Marquette CQA Team |
The Challenge, which is in
its 5th year, has had four very successful years with top universities from
around the world competing in the event.
Dr. David Krause, AIM director said, “Last
year’s team found this to be a unique opportunity to manage a market neutral
portfolio, interact with quantitative practitioners and compete against other
schools. I know they gained much and this year’s teams should also find the Challenge
to be a rewarding activity. We encourage our students to be active in extracurricular activities.”
The students are tasked
with creating portfolios on StockTrak.
To learn more about this contest and read what past participants have thought
of the contest, please visit www.cqa.org/investment_challenge.
The objective of the
competition is to successfully manage an equity long/short market neutral
portfolio over the course of the academic year.
Key aspects of the competition include:
• The contest runs from the end of October through the end
of March
• One team per university.
A team can consist of undergraduate junior/senior and/or MBA students.
Typically between 3 to 5 members per team.
• A faculty professor will be responsible for selecting and
guiding the team.
• Each team will have a CQA member serving as a mentor and
advisor.
• The contest will utilize the Stock-Trak investment simulation
platform
• The winning team will be determined by the combination of
their absolute return, risk adjusted return and an evaluation of a strategy
presentation with an emphasis on the risk adjusted returns.
• Prizes will include $3,000 in prize money distributed
across the top three teams ($1500, $1000, $500), winning team professor invited
to attend the annual CQA fall conference in Chicago (September) or Las Vegas
(April) and resumes of winning team students circulated to all CQA
members.
When creating the
portfolios, the students have to follow certain rules:
·
The portfolio has to have a beta of +/- 0.5.
·
The portfolio has to be long/short and market neutral.
·
The ‘universe’ of potential stocks is limited to 1,000 liquid
large and midcap stocks.
·
The portfolio has to have less than 5% of its holdings in cash.
We will update the rankings periodically between now and April:
- Through Saturday, December 17, 2016, Marquette’s senior-led team ranked 17th out of 54 teams in terms of total return; 14th on the basis of Sharpe Ratio; and 11th on the basis of Alpha generation.
- Through Saturday, December 17, 2016, Marquette’s junior-led team ranked 40th out of 54 teams in terms of total return; 36th on the basis of Sharpe Ratio; and 14th on the basis of Alpha generation.
