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

摘要

In 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.