Alphathon: The Hunt for Quant Champions

Source: Hello Finance

Alphien has launched its inaugural Alphathon on 16th September, 2019. Alphathons are online data science competitions organized on the Alphien platform where investment managers submit quantitative finance challenges for our research community to solve.

Competition.png

This Alphathon is sponsored by Lyxor International Asset Management, a major asset manager in France and one of Europe’s three main providers of ETF (Exchange Traded Funds) with more than USD 150 Bn of assets under management. This is an opportune continuation of our successful collaboration with Lyxor that started earlier this year with the organisation of a research Datathon hosted on our platform.

The participants embark on a mission to build portfolios combining Lyxor ETFs with the aim to outperform the Lyxor Core Stoxx Europe 600 index. The backtest period will run over a period of 11 years from end-of-2006 to end-of-2017.

Participants are competing in either the student or non-student category and the research/submission phase takes place from 16 September to 01 December 2019, followed by a paper trading phase until 28 February 2020. The winners will be announced in March 2020. Lyxor has offered a cash prize of 12,000 euros for the Alphathon, which will be split amongst the two best student teams and the two best non-student teams. Teams with outstanding submissions also stand a chance to earn licensing fees should their strategies be licensed by asset managers.

Arnaud Llinas, Head of ETF and Indexing at Lyxor Asset Management notes: “Innovation is part of our DNA and we have stayed faithful to our tradition of building bridges between academic research and the asset management industry. This Alphathon will enable us not only to forge prestigious partnerships with leading international business schools but also to explore how data science can be used in order to generate returns using ETFs”.

Lionel Semonin, CEO at Alphien notes: “Opening up quantitative finance research to experts from various disciplines lies at the heart of Alphien’s mission. Our platform facilitates collaborative research and offers all participants a unique and equitable opportunity to provide a scientific solution to an investment problem. We share Lyxor’s pioneering vision of open innovation. We thank Lyxor for their trust and look forward to discovering the ideas that will emerge from the competition.”.

Alphien’s research community is growing, especially in its diversity and quality

The Alphathon has attracted many researchers to join the Alphien community. Two thirds of the new users are students from more than 30 schools/universities, one third are professionals. Alphien’s community and our reach in the academic world have definitely expanded, the profile of users has diversified and the seniority has improved. This is a core asset for asset managers to leverage on over the next few months.

Support and training sessions specially organised for Alphathon participants

Lyxor launch.jpg

Given the diversity of profiles, Alphien has offered participants to attend live training sessions in order to get started quickly on the Alphien platform. The organisation of these training sessions was a joint effort between Alphien’s quant team and Lyxor. The typical agenda covered data exploration and retrieval, strategy building using Alphien’s powerful backtesting framework, and portfolio construction using Alphien’s framework. Some participants pointed out the tools available on the platform were of industrial-grade. Interactions with Alphathon participants were very insightful in order to understand how they apprehend the competition and what they expect to find on the platform.

As the feedback was highly supportive, Alphien has turned training sessions into webcasts, covering similar topics as the live training sessions. In order to keep the momentum going with the community, a new webcast will tackle the subject of incorporating macroeconomic data into a portfolio in a systematic way.

The Alphathon is open for submissions until 01 December, 2019 at 11:59pm CET. Interested parties may sign up at https://www.alphien.com/competitions/LYXORETF.