Show simple item record

dc.contributor.advisorSingh, Arvinden
dc.contributor.authorCARLSON, JONATHAN ANDERS
dc.creatorCARLSON, JONATHAN ANDERSen
dc.date.accessioned2016-06-11T01:05:19Z
dc.date.available2016-06-11T01:05:19Z
dc.date.issued2016
dc.identifier.citationCARLSON, JONATHAN ANDERS. (2016). 2016 CHICAGO QUANTITATIVE ALLIANCE INVESTMENT CHALLENGE: U OF A CQA TEAM - INVESTMENT STRATEGY (Bachelor's thesis, University of Arizona, Tucson, USA).
dc.identifier.urihttp://hdl.handle.net/10150/612637
dc.description.abstractFor my finance, honors thesis I participated in the 4th annual CQA Investment Challenge. The goal of the challenge is to successfully manage an equity long-short, market neutral portfolio (hedge fund). I worked on a team with three other guys from the Applied Portfolio Management class to invest and manage $20,000,000 of hypothetical money. Our investment horizon ran from October 30, 2015 – April 1, 2016. The stock universe we had access to was the Russell 1000, which mainly consists of the highest-ranking large cap stocks in the US equity market. Thirty-one teams from different universities were judged at the end of the competition on absolute return rank, adjusted return rank (the Sharpe ratio) and evaluation of the team video, which discussed investment strategy. The University of Arizona team achieved an absolute return of 6.47%, Sharpe ratio of 0.36 and abnormal return (alpha) of 20.05%. We finished with a ranking of 7th place out of 31 participating schools.
dc.language.isoen_USen
dc.publisherThe University of Arizona.en
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.title2016 CHICAGO QUANTITATIVE ALLIANCE INVESTMENT CHALLENGE: U OF A CQA TEAM - INVESTMENT STRATEGYen_US
dc.typetexten
dc.typeElectronic Thesisen
thesis.degree.grantorUniversity of Arizonaen
thesis.degree.levelBachelorsen
thesis.degree.disciplineHonors Collegeen
thesis.degree.disciplineFinanceen
thesis.degree.nameB.S.en
refterms.dateFOA2018-09-11T12:35:45Z
html.description.abstractFor my finance, honors thesis I participated in the 4th annual CQA Investment Challenge. The goal of the challenge is to successfully manage an equity long-short, market neutral portfolio (hedge fund). I worked on a team with three other guys from the Applied Portfolio Management class to invest and manage $20,000,000 of hypothetical money. Our investment horizon ran from October 30, 2015 – April 1, 2016. The stock universe we had access to was the Russell 1000, which mainly consists of the highest-ranking large cap stocks in the US equity market. Thirty-one teams from different universities were judged at the end of the competition on absolute return rank, adjusted return rank (the Sharpe ratio) and evaluation of the team video, which discussed investment strategy. The University of Arizona team achieved an absolute return of 6.47%, Sharpe ratio of 0.36 and abnormal return (alpha) of 20.05%. We finished with a ranking of 7th place out of 31 participating schools.


Files in this item

Thumbnail
Name:
azu_etd_mr_2016_0033_sip1_m.pdf
Size:
1.271Mb
Format:
PDF

This item appears in the following Collection(s)

Show simple item record