Marshall Students Take First Place in Chicago Investment Challenge

A team of undergraduates from the USC Marshall School of Business took first place in the national Chicago Quantitative Alliance (CQA) Investment Challenge on May 2. Joseph Bailey ’14, Simeon Lee ’14 and Dikshant Tahilramani ’14 and Daxiang Tian ’14 represented USC Marshall and competed against 23 top-ranked schools, including Carnegie Mellon, University of Chicago, Dartmouth, UCLA, University of Michigan and Vanderbilt.

The CQA Investment Challenge is an equity portfolio management competition. The student investment teams were guided by faculty advisers and mentored by investment professionals.

The teams created and managed a virtual hedge fund over five months, starting in November 2013. The students would be  simulating the duties of fund managers. The goal was to generate superior risk-adjusted returns with a long-short equity investment strategy.

“From Oct. 31, 2013, to March 31, 2014, the USC CQA competition portfolio achieved an absolute return of 9.78% and a risk-adjusted return of 3.08,” said student adviser Suh-Pyng Ku, professor of clinical finance and business economics at the Marshall School of Business and the instructor for the Undergraduate Student Investment Fund.

Before the official start of the competition, the students developed, tested and finalized their investment strategy for a long-short, market neutral portfolio. After research and discussion of the investment strategy, it was to implement a multi-factor model that focused on four risk factors: value, momentum, volume and revenue.

“The team extensively researched market anomalies and back-tested them to create a unique quantitative investment model,” said Tahilramani. “The competition was demanding and competitive, but above all it created a great learning experience, in which we are proud to have represented USC.”

In addition to being evaluated on absolute return and the risk-adjusted return, the students were also graded on two written reports, the investment strategy report at the start of the competition and a client report at the end.

This was the first time USC Marshall participated in the CQA Investment Challenge. The team will receive a $1,500 grand prize and the students’ resumes will be circulated to all CQA members.

regions: Los Angeles

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