BACKGROUND


Introduction

The S&P 500 index is one of the most followed equity index globally, which many see as a proxy of the US economy. It is a capitalisation-weighted index which tracks the performance of 500 US large companies (large-cap) publicly listed on either the New York Stock Exchange (NYSE) or the NASDAQ. Its components are selected by a committee on a quarterly basis and its value is adjusted for corporate actions such as share issuance / buybacks, rights offerings, dividends or corporate spin-offs.

The S&P 500 reached an all time high of 3,384.15 right before the global pandemic crisis. After initially losing around a third of its value in the wake of the pandemic spreading across the globe, the index recovered almost all of its losses in only four and half months, led by the technology and healthcare sectors. As a US large cap equity portfolio manager, navigating such an environment required correctly differentiating between stocks before it was too late.

Is the S&P 500 set to break higher to new records or on the verge of a correction? Depending on the answer, your US large cap portfolio will have a very different composition, either favouring companies that are likely to benefit from a pick up in economic activity, or on the contrary, defensive companies which have limited downside. Find the optimal way to build your stock portfolio using machine learning models.

About the sponsor

UBS is a Swiss multinational investment bank and financial services company founded and based in Switzerland. Co-headquartered in the cities of Zürich and Basel, it maintains a presence in all major financial centres as the largest Swiss banking institution in the world.


OBJECTIVES


Description

Act as if you were a US large cap long portfolio manager and needed to build a systematic long only equity stock picking portfolio that performs in all weathers. Use machine learning to help you achieve optimal stock selection with respect to the real-life constraints. Enhanced index strategies are attractive to investors who would like to capture an excess return over a benchmark. The diversified long only portfolio must be equally weighted, fully invested and must contain 50 stocks at any moment of time.

Investment universe

You can only pick stocks which are part of the S&P 500 at the day of selection. Be aware that some stocks can either drop out from the index or enter the index, depending on decisions from the selection committee. Stocks can also drop out from the index if they are de-listed from the exchange, which typically happens following a merger or acquisition event. When a stock drops out of the index and if it’s part of your portfolio, the position has to be closed.

Example:
Netflix can be part of your portfolio starting only from 17 Dec 2010.
Alcoa Inc cannot be part of your portfolio after the 31 Oct 2016.

Benchmark

The benchmark is the Equally-Weighted S&P 500 index (ticker SPW Index).

Selection criteria

The strategies will be ranked based on the following criteria:
The arithmetic mean of Information ratio (50%), Diversification (30%) and Robustness (20%).
The information ratio will be calculated using the Equally-Weighted S&P 500 index as benchmark.

Backtest period

January 2007 - December 2016


AWARDS


This competition is part of the UBS Hackathon qualification round. Please refer to the main page for award details.



DATA


You can only invest in stocks that were part of the S&P 500 index as of when you invest in them. The ONLY available fields for these stocks are open_price, high_price, low_price, close_price, bb_live (adjusted close price).

On top of this, you can use the following macro and financial series to help you make your stock picking decisions:

Symbol Description
SPX Index S&P 500 Index
SPTR Index S&P 500 Total Return Index
CCMP Index Nasdaq Composite
INDU Index Dow Jones Industrial Average
SX5E Index Eurostoxx 50
NKY Index Nikkei 225
VIX Index 1m Implied Volatity index on S&P 500
USGG2YR Index US 2y Government bond benchmark yield
USGG10YR Index US 10y Government bond benchmark yield
GC1 Comdty LBMA Gold Price
CO1 Comdty Crude Oil Brent Europe
CU1 Comdty LME Copper Price
CDXTIL15 CDX NA IG US 5Y (Investment Grade)
CDXTHL15 CDX NA HY US 5Y (High Yield)
DXY Curncy US Dollar Index
AMCIsUSD Index Alphien Monetary Condition Index - US

Use the tutorial notebook to see how to retrieve the dataset for this competition.


GUIDELINES


Support tools

  • After you have joined the competition, click the "get started" button. You will be redirected to your dashboard. In "Public Notebooks", filter notebooks by competition tag using the "UBS US Equity" tag.
  • Read about how to avoid look ahead bias to maximise your chances to win.
  • Use the forum to find help from the community or from Alphien support team.

Tips and advice

  • Use AlphienLab to conduct your research.
  • Once you have fine-tuned your model, document it in a notebook and submit the notebook for our review.
  • We highly recommend you use the forum as much as you can to find help.

RULES


Full competition rules can be found here.

For other rules details, please review the legal section at the bottom of the page.

LEGAL


Please refer to Alphien Terms of Use.