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May 13, 2016 12:00 AM

Caltech Team Finishes in the Top Five of the CQA Investment Challenge

The Chicago Quantitative Alliance (CQA) holds an annual Student Portfolio Contest, in which teams of university students manage virtual hedge funds for several months. Caltech participated for the first time last year, which you can read about here. This year, Caltech was represented by Justin Leong ’17 (computer science), Dunzhu Li (PhD candidate in geophysics), and Daodi Lu (PhD candidate in mathematics). Lecturer in Economics Kenneth J. Winston (Caltech BS ’73, MS ’74) – who also works at Western Asset Management in Pasadena – served as their mentor. During the investment challenge, the teams manage portfolios subject to strict requirements using investment algorithms they have designed. In addition to running their portfolios, they are required to submit a video presentation as if they were pitching to potential investors. The winning team is selected through an analysis of its risk-adjusted returns and absolute return and an evaluation of its strategy presentations. The Caltech team, which came in ninth last year, finished in fifth place out of 32 teams in the most recent competition. Check out their challenge video here.