Asset Allocation Alphathon

Competition

BACKGROUND

Introduction

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.

About the sponsor

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.

OBJECTIVES

Objective

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.

Benchmark

NO BENCHMARK. THE SECTION SHOULD BE REMOVED.

Investment universe

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.

Backtest period

January 2010 - December 2019

Constraints

Transaction costs, along with a fixed penalty by portfolio rebalancing, will be applied to lower strategies' turnover.

DATA

ETF & INDICES

This table summarises the building blocks in which you can invest:

Symbol Description
TYa US 10-year T-Note future
USHYa BofAML $ High Yield Bond Lyxor ETF
BNKa STOXX Europe 600 Banks Lyxor ETF

MACRO INDICATORS

This table presents all macro and financial series that you can use to generate your allocations:

Symbol Description
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

TIMELINE

ALPHATHON STARTS

19-Mar-2020

RESEARCH ENDS

14-Jun-2020, Sponsors & Alphien may unilaterally decide to modify Alphathon's "Research Phase" closing date.

PAPER TRADING ENDS

N.A.

WINNER SELECTION

15-Jun / 30-Jun-2020

GET STARTED

Support tools

  • There is a section in the forum related to the Alphathon. Remember that using the forum contributes to helping all participants.
  • Make sure you are part of the Alphachat chat room dedicated to the Alphathon.
  • Here is the wiki page to find documentation related to the Alphathon.

Tips and advice

  • You should use AlphienStudio to conduct your research.
  • Call .sourceQlib() to load Alphien's quantitative library in your environment. You can access functions directly in the Qlib.
  • Load the tutorial script by calling forkTemplate("assetAlloc") in your console.
  • To submit your solution, run stressTest() on it in your console. You will only be able to submit your solution if you pass the stress test.
  • Submit a solution in order to unlock access to the private leaderboard and see the performance of your portfolio on a test set.
  • We highly recommend you use the forum as much as you can to find help.

RULES

Awards

  • €18,000 cash prize
  • €10 million real money investment on the winning strategy

Terms and Conditions

ALPHATHON MAIN TERMS

  • OBJECTIVE: Build a dynamic long-only allocation strategy between US 10-year T-Note futures (TY), US High Yield Lyxor ETF (USHY LN) and European Banks Lyxor ETF (BNK FP). The three assets have been chosen for their complementarity in different market regimes. Participants will be invited to find quantitative allocations performing well in all regimes and minimising potential losses and transaction costs.
  • SPONSOR: Decalia AM
  • SPONSOR WEBSITE: https://www.decaliagroup.com/
  • CO-SPONSOR: Lyxor AM
  • CO-SPONSOR WEBSITE: https://www.lyxoretf.com/
  • ALPHATHON WEBSITE: https://www.alphien.com/competitions/alphathon/ASSETALLOCATION

ALPHATHON TIMELINE

  • Start Date: 19 March 2020.
  • End Date: 14 June 2020, 23h59 CET. This date may be changed at sponsors' and Alphien's sole discretion.
  • Awarding Date: 15 June - 30 June 2020.

PRIZE

  • €18,000 cash prize
  • €10 million real money investment on the winning strategy

DATA

Tradable assets for building strategies:

  • CME US 10-year T-Note future.
  • Lyxor BofAML $ High Yield Bond UCITS ETF.
  • Lyxor STOXX Europe 600 Banks UCITS ETF - Accumulated.

Available input data:

  • Daily close prices of tradable assets from 31 December 2009 to 31 December 2019.
  • Historical data on a list of 9 “tickers”.

PARTICIPANT

Participants

  • The Alphathon will be open to any Participants (academic or nonacademic) in the world. Participants are invited to sign-up on the platform but Alphien reserves the right to reject some applicants if we have reasons to believe the terms of the platform might be violated.

Teams

  • A Team is an individual or a group of individuals which has/have registered to participate in the Alphathon. A Team can be composed of 1 to 5 individual(s).
  • A Participant can join only one (1) Team. Once a Participant has agreed to team up with other Participants, no change of Team is accepted.

SUBMISSION & MONITORING TOOLS

Dashboard

  • The Dashboard lists the Team’s Strategies and is visible from all its members. The Dashboard is not shared with the other Participants of the Alphathon.

Leaderboard

  • Once submitted, Strategies enter the Leaderboard. The Leaderboard is visible to all Participants.

Submission Limitations

  • Up to 5 Strategies for Teams having submitted at least one strategy by 17 May.
  • Up to 3 Strategies for Teams having submitted at least one strategy by 31 May.
  • No more than 2 Strategies for the other Teams.

AWARD PROCESS

Winner Selection

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:

  1. Quantitative assessment, i.e. the sustainability of the Strategies’ performances as calculated by Alphien.
  2. Qualitative assessment of the originality of the approach, the quality of the notebooks provided, easiness to execute the Strategy.

Award Date: 15 June - 30 June 2020.

End

LEGAL

Legal

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.