BACKGROUND
Introduction
Investors have long opposed bonds and equities in their portfolio, typically favouring equities when growth and inflation were expected to accelerate and over-weighting bonds when they anticipated an economic slowdown. The classic rule of thumb split in a portfolio was 60% for equities and 40% for bonds. However, the 60/40 portfolio has been challenged in recent years. This challenge aims to find a dynamic way to efficiently allocate between bonds and equities.
OBJECTIVES
Objective
Your objective is to adapt to market regime changes and correctly allocate between asset classes. Your portfolio only counts two assets, each representing one asset class: the S&P 500 future and the US 10 year treasury future. You can adopt two approaches to compose your portfolio: build a single market timing strategy on each individual asset and combine them in a portfolio with an equal contribution (in exposure term or in volatility term), or you can directly optimise allocations between the two assets at portfolio level.
Benchmark
Investment universe
Backtest period
December 2008 - December 2018
Constraints
NULL
DATA
ETF & INDICES
| Symbol | Description |
| ESa | S&P 500 future building block |
| TYa | 10 Year Treasury future building block |
| SPX Index | S&P 500 index levels (Open / High / Low / Close) |
| VIX Index | 1 month implied volatility on S&P 500 futures across strikes |
| 2 Year US Treasury Yield | 2 year US government yield |
| 10 Year US Treasury Yield | 10 year US Treasury yield |
TIMELINE
ALPHATHON STARTS
16-Sep-2019
RESEARCH ENDS
16-Dec-2019
PAPER TRADING ENDS
16-Feb-2019
JURY & WINNER
Mar-2019
GET STARTED
Support tools
- Consult the wiki page to create a payout.
- Read about how to avoid look ahead bias to maximise your chances to win.
- Get familiar with portfolio() and algoEngine() objects in order to quickly create portfolios and strategies.
- We highly recommend you use the Forum as much as you can to find help or insight about the challenge.
- You can reach our to our support team on the AlphaChat
Tips and advice
- You should use AlphienStudio to conduct your research.
- Use the ?? operator in your AlphienStudio console to search the wiki. For example: > ??payout
- Run forkTemplate('bondsOrEquities') in AlphienStudio to start working from the tutorial script. The same tutorial is available through Notebooks.
RULES
Awards
- The opportunity to get your strategy licensed by Asset Managers looking for such asset allocation strategies.
- Up to 3 Alphien Quantitative Investment Strategy Certificates for the best out-of-sample strategies with a Sharpe ratio above 1.(What is Alphien Quantitative Investment Strategy Certificate?)
Terms and Conditions
Alphien's General Terms and Conditions apply.
In order to be awarded Alphien Quantitative Investment Certificate, your payout has to demonstrate:
- Financial knowledge
- Data science knowledge
- Machine learning knowledge
- Quantitative Strategy building knowledge
Learn more about Alphien QIS Certificate.