Author
Shumway, Ryan CharlesIssue Date
2018Advisor
Cederburg, Scott
Metadata
Show full item recordPublisher
The University of Arizona.Rights
Copyright © 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.Abstract
Honors Finance students at the U of A can choose to participate in the CQA Challenge investment management competition as part of their senior thesis. Teams of students from universities around the world compete in this competition designed to teach students to manage an equity long/short portfolio. All teams must adhere to certain constraints set forth by the Chicago Quantitative Alliance (CQA) who administers the competition, which runs from mid-November to the end of March, and teams are judged based on absolute returns, risk-adjusted returns, and the quality of a recorded presentation. The U of A team worked alongside two mentors, one faculty and one alumni professional, to develop and maintain a factor-based long/short portfolio of stocks. The team initially invested based on the Size, Value, and Momentum factors and was sector-neutral, but dropped Size in favor of Profitability and went long Healthcare and short Tech midway through the competition. The portfolio finished down 0.07% with a negative Sharpe Ratio, and is not among the winning teams. However, the team members will benefit from taking the experienced gained during the competition into their imminent professional careers.Type
textElectronic Thesis
Degree Name
B.S.Degree Level
bachelorsDegree Program
Honors CollegeFinance