The most recent challenge (https://www.quantopian.com/posts/$10k-third-party-challenge-design-a-factor-for-a-large-us-corporate-pension) is not entirely clear to me:
"The portfolio must hold at least 100 assets in the QTU"
Does this mean that assets not in the QTU can be traded (e.g. ETFs)? Or that the portfolio is constrained to the QTU, and must hold at least 100 assets? Presumably, assets must come from the QTU, but it isn't stated explicitly.
Is the idea that leverage should be ~1.0, or are we also looking for predictions of when it should be lower or higher? Would going to all cash be allowed, for example?
Generally, why not just stick to a ranking across the entire QTU end-of-day? We are basically saying that we want a prediction of not to hold certain stocks, right? Is this what the customer needs? Is the customer wanting us to say that no prediction is possible for certain assets at a given time, or we are to kinda slice off the cream of the crop, even though there may be some residual predictability across the QTU? The prior wise guidance, I thought, was that ranking across the entire QTU was desirable (and not to use the optimizer, which tends to lead to less dispersion in ranks).
"There are no constraints on risk exposures or beta to SPY, but your exposures must be time-varying — these tilts should be moving daily."
This requirement sounds like one could deviate from a market-neutral portfolio (e.g. long-only or short-only)? Or maybe we don't care and are looking just for predictability? Also, what is meant by having exposures time-varying and moving daily? If this is actually a requirement, then how should we measure it and what are the pass/fail criteria?
"The specific Sharpe ratio over the first 5 days must be positive."
When I first read this, I thought it was referring to the first 5 days of the backtest. But then I realized it might refer to the IR versus delay plot in the tearsheet. What does this requirement mean?