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 AIM Program 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, February 12, 2017, Marquette’s senior-led
team ranked 20th out of 54
teams in terms of total return; 27th on
the basis of Sharpe Ratio; and 25th on
the basis of Alpha generation.
- Through Saturday, February 12, 2017, Marquette’s junior-led
team ranked 15th out of 54
teams in terms of total return; 15th on
the basis of Sharpe Ratio; and 2nd 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. 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.
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.
