Tuesday, May 23, 2017

Great News - Marquette's CQA Team Placed 2nd Globally!

Marquette’s Applied Investment Management (AIM) Team Placed Second in the 2017 Chicago Quantitative Alliance Worldwide Student Portfolio Contest

The Chicago Quantitative Alliance (CQA) is a professional investment organization comprised of leading quantitative investment practitioners.  The CQA membership includes investment managers, academics, plan sponsors, consultants, and other investment professionals.  The primary goal of the CQA is to facilitate the interchange of ideas between quantitative professionals. 

Cqa logoAnnually the Chicago Quantitative Alliance holds a portfolio management contest for university students, where the students must manage a portfolio with strict requirements.  This past year, the contest ran from the end of October until the start of April. 
In only their second year of competing, Marquette’s AIM team placed second!

The CQA’s primary goal is to “promote the interests of the quantitative investment community.”  The graduate and undergraduate students involved in the competition were tasked with creating portfolios and they were provided access to faculty and CQA mentors, who guided them along the way.  When creating the portfolios, the students had to follow certain rules:
  •          The portfolio had to have a beta of +/- 0.5
  •          The portfolio had to be long/short portfolios that were market neutral.
  •          The ‘universe’ of potential stocks that they could choose from, was limited to 1,000 liquid large and midcap stocks.
  •         The portfolio had to have less than 5% of its holdings in cash.

Marquette Team 2 members included:  James Hannack, Connor Konicke, Jack Gorski, Jordan Luczaj, and William Reckamp.  Marquette Team 1 members include: Brian Shank, Joseph Amoroso, Tim Milani, and Chengbin (Henry) Lu.

Student groups were judged not only on their returns, but also on their risk-adjusted returns (Alpha and Sharpe Ratio) and a video presentation that they had to make for the competition. The winner was the University of Arizona. 

The table below shows the rankings of the three investment criteria. Note that while Marquette’s Team 2 was ranked 2nd overall, Marquette’s Team 1 had the 3rd highest Alpha (nearly 8%).

As compared to the AIM program which is focused on individual fundamental stock analysis, the CQA is more “hedge-fund like”.  Stock selection is based on factors that are possessed by certain stocks, such are leverage, profitability, value or growth.  In addition to buying stocks that are ranked highly by these factors, a “market neutral” strategy is mandated by CQA.  This means for each stock purchased, another must be “shorted”.  This years Marquette’s teams focused on low volatility correlated with high performance stocks, and were “tweaked” by each team.  Both teams performed extremely well relative compared to a very talented universe.   

The next table shows the overall rankings of all student teams participating in the 2017 CQA Challenge.

Dr. David Krause, AIM program director said, “The past two years have been rewarding for the CQA teams. This is a unique opportunity to manage a market neutral portfolio, interact with quantitative practitioners and compete against other schools. I know all of our team members have gained much and this year’s teams should be especially proud of their results in the Challenge. Thanks to Mr. Bill Walker for serving as the team's mentor - I know this was a rewarding activity for everyone involved. We encourage all of our AIM students to be active in extracurricular activities - the CQA Challenge is an important opportunity for our students to compare this skills against other programs.”

Again, congratulations to both teams. Marquette Team 2 members included  James Hannack, Connor Konicke, Jack Gorski, Jordan Luczaj, and William Reckamp. Marquette Team 1 members included Brian Shank, Joseph Amoroso, Tim Milani, and Chengbin (Henry) Lu. 

To learn more about this contest and read what past participants have thought of the contest, please visit www.cqa.org/investment_challenge.

1 comment:

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