2017 Chicago Quantitative Alliance Investment Challenge: University of Arizona CQA Team – Investment Strategy
AuthorBateman, Spencer Michael
MetadataShow full item record
PublisherThe University of Arizona.
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.
AbstractIn order to complete my honors thesis in finance, I joined a team of five finance students in participating in the 2017 Chicago Quantitative Alliance Investment Challenge. The challenge required teams to create $2,000,000 market-neutral investment portfolios utilizing both long and short equity positions. From November 8th until March 31st, our team actively managed our equity portfolio by selecting stocks from a 1,000 stock investment universe, while 53 other teams from universities around the world competed against our portfolio using measures of absolute return, risk-adjusted return, and a team video explaining our performance and investment strategy. By utilizing a strategy contingent on both industry bets and style exposures to value and momentum, the University of Arizona team has achieved an absolute return of 12.23% and a Sharpe Ratio of 1.43.
Degree ProgramHonors College