Global equity indices country rotation
Global stock markets seem to have reacted in a coordinated way to the systemic risk triggered by the Covid-19 pandemic. In the midst of the crisis though, the S&P 500 index has recovered 75% of its losses while the Eurostoxx 50 only bounced back a mere 55% from its trough. Be it due to different domestic policy responses, or to the simplified view that regional blocks specialise in different segments along the global supply chain, the underlying idea is that recovery expectations diverge across stocks markets. For equity investors, such discrepancies present an opportunity to efficiently allocate their capital. The aim of this challenge is to put yourself in an equity portfolio manager's shoes and make the most of each individual stock market behaviour.
Construct a portfolio that invests in global equity indices. You can buy or sell equity index futures across Europe, Asia and America to build a portfolio with the highest returns. Use leverage to cash in on regional or country trends.
Build a global equity index portfolio which maximises returns. The portfolio can be long or short. Use machine learning techniques in your payout in order to learn from data.
You can invest in building blocks of the most prominent equity indices in the world across all continents. Consider they can be mixed up directly within a portfolio in their local currencies. You can be long and short. You cannot use leverage on individual assets (your position spans between -100% and +100%) but you can have some leverage in the portfolio: net leverage (sum of all weights) in the portfolio cannot exceed 200%. The same rule applies on the short side. Overall, portfolio net leverage has to be between -200% and +200% at all times.
January 2010 - June 2020
ETF & INDICES
Here is the list of building blocks in which you can invest:
|ES||S&P 500 Equity index e-mini future|
|NQ||NASDAQ Equity index future|
|DM||Dow Jones Industrial Average Equity index future|
|VG||Eurostoxx 50 Equity index future|
|DAX||DAX (Germany) Equity index future|
|CAC||CAC 40 (France) Equity index future|
|Z||FTSE 100 (UK) Equity index future|
|SMix||Swiss market Equity index future|
|NX||Nikkei (Japan) Equity index future|
|XP||ASX 200 (Australia) Equity index future|
|IS||Mexico exchange Equity index future|
|BZ||Bovespa (Brazil) Equity index future|
|AI||Johannesburg exchange Equity index future|
|HI||Hang Seng (Hong Kong) Equity index future|
|QZ||Singapore Equity index future|
|KM||KOSPI (South Korea) Equity index future|
|TW||Taiwan Equity index future|
Here is the list of other series you can use to generate allocations:
|XAU Curncy||Gold spot prices|
|VIX Index||S&P 500 futures 1M implied volatility|
|V2X Index||Eurostoxx 50 futures 1M implied volatility|
|USGG10YR Index||10-year US treasury yield|
|DXY Curncy||US Dollar index|
|USGGBE10 Index||US 10 Year inflation breakeven|
PAPER TRADING ENDS
JURY & WINNER
- Consult the [tutorial wiki page] to find help
- There is a section in the forum related to tutorials.
- Get in touch with our quant team on AlphaChat if you want to discuss about the challenge.
Tips and advice
- You should use AlphienStudio to conduct your research.
- Once you have fine-tuned your model, use the stressTest() function to submit it.
- Licensing implies that an asset manager replicates a strategy in live markets. To do this, they subscribe to a license in order to receive the strategy signals and implement them with their capital. Licensing fees are proportional to the amount of capital committed to the strategy and shared between Alphien and the researcher that developed the strategy.
Terms and Conditions
Terms and Conditions
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