In this challenge, act as if you were a cross-asset portfolio manager. We have selected a list of 19 futures that you can invest in. The list covers all asset classes: blue-chip equity indices, major government bonds and gold for commodities.
This is a very exciting challenge which gives you an opportunity to build an all-weather portfolio, switching opportunistically from one asset class / one region to the other to best surf economic/financial cycles; and also experiment any mathematical method or portfolio construction model you would like to test.
You must build a long-only, fully-invested (and non-leveraged) portfolio. You cannot hold more than 20% in any asset to avoid excessive portfolio concentration. Hence, your exposure to each of the 19 underlying assets should always be in a range of [0;+0.2] and your portfolio total exposure must always be +1.
Your objective is to maximize the Sharpe ratio of your portfolio, but also to minimize the drawdown expressed by the minimum 3-year rolling Sharpe ratio. These 2 metrics will be taken into consideration to select the winner(s).
Use the tutorial notebook to get started:
The Investment Universe is composed of 19 (properly rolled) futures contracts covering all asset classes. The universe can be called using the getTickersGlobalAllocationChallenge function.
|DM||Dow Jones Industrial||Equity||USD|
|SMix||SMI Swiss Market Index||Equity||CHF|
|NX||CME Nikkei 225||Equity||JPY|
|TU||US 2-Year T-Note||Fixed Income||USD|
|FV||US 5-Year T-Note||Fixed Income||USD|
|TY||US 10-Year T-Note||Fixed Income||USD|
|US||US Long Bond||Fixed Income||USD|
|RX||German 10-Year Bund||Fixed Income||EUR|
|G||UK 10-Year Gilt||Fixed Income||GBP|
|JB||Japan 10-Year Govt Bond||Fixed Income||JPY|
|XM||Australia 10-Year Govt Bond||Fixed Income||AUD|
No benchmark (your implicit benchmark is a cash position in US dollars).
Maximum exposure of 20% for each asset at any rebalancing date.
Transaction costs: 1 basis point (bp) of the amount being transacted. As an example, if you sell 10% of S&P 500 and buy 10% of US 10-Year T-Note, the cost will amount to 20% x 1 bp = 0.2 bp.
Transaction frequency: The maximum transaction frequency is daily (no intraday trades). All trades are executed at market close prices.
Transaction signals: Transaction signals must be based on data available at close-of-business on the day prior to the execution. Signals are 'executed' 1 day after they are generated. Please have a look at this page for more information on our '1-day lag convention'.
First transaction: First weights have to be generated before/on 2004-01-02 (1 year calibration/training. Rolling/expanding windows are allowed). If returns are NA for a particular asset, the weights assigned to it has to be 0.
Rebalancing penalty: 2 basis points on the total AUM, each time you have a date with a set of weights, it will be considered as a 'rebalancing' day and you will incur the penalty. Please check the example notebook and check the page Rebalancing and transactions costs
The in-sample period runs from 1 Jan 2003 to 31 Dec 2018. To prevent any overfitting of the models, data for 2016-2018 will only be unveiled after your first model submission.
Note: Once your first submission is approved, you can revise it as much as you want.
You must use Notebook to submit your solution. You can only submit one notebook. However, there is no limitation in the number of revisions you can make on a submitted notebook. If the solution follows a theoretical or academic paper, the participants are encouraged to attach the document with the submission, any relevant document (own paper or other document) to explain the approach used will increase the robustness scoring.
Please visit our Submissions page for all details on how to submit.
The strategies will be ranked based on the weighted arithmetic mean of their following two rankings:
|Performance Metrics||Metric ranking||Weight|
|Minimum Rolling Sharpe Ratio (*)||MRSR||25%|
(*) The Minimum Rolling Sharpe Ratio will be calculated over a period of 3 years.
The winner(s) will receive either:
an iPad Air 64GB WIFI (team of one person), or
an Apple Watch model SE GPS 40 mm per team member (teams of 2 or 3 members).
Thursday 14, January 2021.
Sunday 21, February 2021.
The only available input data for this competition are:
The data can be called using the getTickersGlobalAllocationChallenge function.
The Challenge will be open to any Participants (academic or non-academic) in the world.
Submit early to earn points that will help you win the competition !
Weekly point rewards
The Challenge will be open to any Participants (academic or non-academic) in the world, but Alphien reserves the right to reject some applicants if terms of the platform are violated. In particular, you must not copy code or intellectual property which is not your own or is not open sourced. You can not participate as a professional if your employer can claim ownership in any part of your work on the Alphien platform; in case of conflict please contact and discuss with the Alphien team. Alphien is open to free scientists who own their intellectual property.