Quant Student Competition

Read what students have to say about the IAQF Student Competition

 

"This competition is beyond just its result, it’s more like a community of creativity. I was a member of the 2018 team. We started by constructing four portfolios with index and options to replicate the return of momentum strategy. The results show that none of the portfolios exhibit exactly the same return patterns, as momentum strategy is based on the daily time series of return. Additionally, none of them could give a more realistic view of risk of momentum strategy based on VaR, CVaR, Maximum drawdown, and duration of drawdown.  Our team chose to incorporate a certain weight of stocks into the option strategy to hedge the “bias” caused by relationship between index and VIX. The new strategy replicates momentum strategy better in terms of the view of return and risk management. We got a thorough understanding of momentum strategy in terms of return and risk through the model construction process. It can also be a great application of R, Python, or any language you would like to use. In short, it was an incredible experience for everyone on our team."

 

"The IAQF competition was a great opportunity to improve my analyzing skills. The task was to test the effectiveness of capturing momentum effect with options, while minimizing market risk. We constructed four different portfolios with options based on dynamic hedging and moving average strategy. By calculating the performance factors (VaR, CVaR, maximum drawdown and Sharpe ratio) and using implications of mean-variance framework, we evaluated the risk exposures of portfolios. In order to enhance the portfolio we further designed a hedge with vega and successfully replicated the momentum strategy with high correlation. All empirical results were based on 15 years of  historical daily prices of S&P 500 via R. It was very interesting to have an exploration of capital market in this project, which to some extent inspired me to gain further exposure to quantitative analysis and risk management."