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