2017 Chicago Quantitative Alliance Investment Challenge: University of Arizona CQA Investment Strategy

Abstract

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.