MULTI-FACTOR QUANTITATIVE INVESTMENT MODEL IN AN UNPRECEDENTED RECESSIONARY RECOVERY

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.