In this competition, researchers are invited to build asset allocation models. Three assets can be invested, from the least volatile - US Government bonds, through US high yield corporate bonds, to the most volatile - European stocks restricted to the banking sector. Models will aim at rebalancing the asset allocation to provide robust performances throughout the economic cycle and minimise potential losses and transaction costs.
Decalia Asset Management is a Swiss asset manager which manages and advises private and institutional client assets, as well as high-added-value investment funds. It focuses on a simple objective: securing a first-rate performance for its clients, based above all on consistent results and stringent risk control. Consistent with the above-described strategy to deliver secured performances and explore new avenues of research, Decalia Asset Management has decided to challenge Alphien’s community of data scientists with an asset allocation Alphathon.
Lyxor Asset Management is one of Europe's top three ETF providers (by assets under management). They have introduced many of the market's first ETFs and they are the longest standing European ETF provider in Europe.
Build a dynamic long-only allocation strategy between US 10-year T-Note futures (TYa), US High Yield Lyxor ETF (USHYa) and European Banks Lyxor ETF (BNKa). These three assets have been chosen for their uncorrelated behaviours in different market regimes. A long only portfolio means that allocations on each asset range from 0 to 1. Leverage is prohibited; in other words, the sum of portfolio allocations at any time cannot exceed 1. Given these constraints, design a portfolio that maximises returns. However, be mindful of your portfolio turnover. In order to be successful, you have to limit the number of rebalancings in your portfolio and keep transaction costs under control.
US 10-year T-Note futures, representing the least volatile asset. US High Yield Lyxor ETF, representing the US corporate bond sector - a volatile asset but less so than equities. European Banks Lyxor ETF, representing the most volatile asset. These series expand from 31 December 2009 to 31 December 2019 for backtesting purposes.
January 2010 - December 2019
Transaction costs, along with a fixed penalty by portfolio rebalancing, will be applied to lower strategies' turnover.
This table summarises the building blocks in which you can invest:
|TYa||US 10-year T-Note future|
|USHYa||BofAML $ High Yield Bond Lyxor ETF|
|BNKa||STOXX Europe 600 Banks Lyxor ETF|
This table presents all macro and financial series that you can use to generate your allocations:
|VIX Index||Implied Volatity index on S&P 500 1-month futures|
|V2X Index||Implied Volatity index on Euro stoxx 50 1-month futures|
|USGG2YR Index||US 2-year Government bond benchmark yield|
|USGG10YR Index||US 10-year Government bond benchmark yield|
|LF98OAS Index||US High Yield credit option adjusted spread|
|FWISUS55 Index||US 5-year 5-year forward Inflation Swap rate|
|BNK FP Equity||Dividend yield of the Stoxx 600 Banks sector|
|NAPMPMI Index||US ISM Manufacturing Index|
|AMCIsUSD Index||Alphien Monetary Condition Index - US|
|AMCIsEUR Index||Alphien Monetary Condition Index - Euro Area|
|AMCIsGL Index||Alphien Monetary Condition Index - Global Aggregate|
14-Jun-2020, Sponsors & Alphien may unilaterally decide to modify Alphathon's "Research Phase" closing date.
15-Jun / 30-Jun-2020
ALPHATHON MAIN TERMS
Tradable assets for building strategies:
Available input data:
SUBMISSION & MONITORING TOOLS
When the research phase of the Alphathon terminates, Alphien will provide the Sponsor and Co-Sponsor with the detailed performances of all Strategies in the Leaderboard - and in particular their Sharpe Ratios. The Sponsor will decide on the competition winner, based on:
Award Date: 15 June - 30 June 2020.
The official rules of this Alphathon will be deposited with the SELARL ACTA - PIERSON and ASSOCIATES holder of a bailiff office domiciled 15 rue de Sarre PO Box 15126 57074 METZ Cedex 3. To consult the full set of rules, please visit this page.