About the Challenge:
While most of us are (hopefully) sitting in our home-offices, we thought we'd post a new challenge to give you something to pass the time. To keep things interesting we are again trying something new for this challenge: we’re asking you to build and submit your best long-only, smart-beta portfolios. This is part of our effort to widen our range of investment products and demonstrate to third-parties what the Quantopian community is capable of.
Though in the past our focus was on long-short high-alpha factors, they are obviously not the only class of investment products out there. In fact, smart-beta products accounted for $880 billion in total cumulative assets in 2019.
In addition, we ask you to fill out the following mandatory questionnaire classifying your smart-beta factor.
To find out more about smart-beta, see this article.
- All stocks must be in the QTU
- Must hold at least 250 assets
- Maximum position concentration 5%
- Turnover <= 10% per month (this will be challenging)
- Leverage = 1 at all times
- Provide a description of what smart-beta you’re trying to capture through our questionnaire
- Alpha to market (higher is better), however, we will not say over which time-period(s)
- Universe size (larger is better)
Top 5 factors receive $500 each.
Important Upcoming Dates:
The submission deadline for this challenge is Apr 27, 2020 at 9pm CET.
I hope to see your submission on the list!
VP of Data Science at Quantopian