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    MULTI-FACTOR QUANTITATIVE INVESTMENT MODEL IN AN UNPRECEDENTED RECESSIONARY RECOVERY

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    azu_etd_hr_2021_0235_sip1_m.pdf
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    Author
    VOLPE, TREVOR JAMES
    Issue Date
    2021
    Advisor
    Haertzen, Matt
    
    Metadata
    Show full item record
    Publisher
    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
    This competition was an equity portfolio management competition that challenged students across the nation to create a market-neutral portfolio over several months. The competition ran in three phases starting on November 2nd, 2020 and concluding on March 31st, 2021. The timeframe ran through the 2020 Presidential Election of Biden / Trump and the tribulations of the COVID-19 pandemic. Our team, UAlpha, was comprised of five students, including Nick Aleman, Lauren Chitren, Ryan Cramer, Abelardo Ramirez, and myself (Trevor Volpe). We were able to make it through the semifinal round, and our competition concluded on February 14th, 2021. Initially, we created our model to outperform the index during a market correction. However, with negative returns during the first two months, while the market went positive, we decided to shift away from a bear model towards a bull model on December 30th, 2020. In the end, we finished the competition with an overall return of -22.63%, placing 11th out of 39 teams.
    Type
    Electronic thesis
    text
    Degree Name
    B.S.B.A.
    Degree Level
    bachelors
    Degree Program
    Finance
    Honors College
    Degree Grantor
    University of Arizona
    Collections
    Honors Theses

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