Global Allocation Challenge Using ML

Introduction

Description

Investment universe

Benchmark

The benchmark will be 50% MSCI World Index Total Return (USD unhedged) and 50% JP Morgan Global Bond Index (USD hedged) with a monthly rebalancing. To check the time series:

• MSCI World Index Total Return (USD unhedged)
• JP Morgan Global Bond Index (USD hedged)

Portfolio constraints

Maximum exposure of 20% for each asset at any rebalancing date.

Strategy transactions

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 the close-of-business day. Signals are 'executed' the same day following the Lag 0 model 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

Backtest period

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.

Submissions

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 total prizes in euros for the winner are:

• Champion: iPad Air 64GB Wifi
• First runner-up: Apple Watch model SE GPS 40mm
• Second runner-up: Apple Watch model SE GPS 40mm.</p>

  

• The opportunity to get your strategy licensed by Asset Managers looking for such asset allocation strategies