Welcome to the inaugural Cambridge University Algorithmic Trading Society (CUATS) Hackathon, a 24-hour virtual coding competition to develop a balanced all-weather portfolio optimised using quant finance methods and tools.

To attend, please register at:

https://cuats_hackathon2024.eventbrite.co.uk

We will kick-off the event with a presentation covering the following topics that arise in contemporary asset management and portfolio design leading into the case study:

1. Modern Portfolio Theory

2. Intuition of Diversification, Efficient Frontier, and Evaluation Metrics

3. Mean variance optimisation and its key limitations

4. Examples of Optimised Portfolios

a. Market neutral equity

b. Smart Beta and ETF factor models

c. Convergence trades / Statistical Arbitrage

d. Carry trade

e. Cross-sectional and Time-series momentum in Future Markets

4. Risk Management and Performance Evaluation

a. Value at Risk (VaR)

b. Expected Shortfall

c. Maximum Drawdown

d. Trading Limits and the Impact of Leverage

e. Stop loss rules

f. Tail dependence

5. Introduction to the Case Study

a. A portfolio manager (you!) is tasked with overseeing a USD 1 Billion fund

b. The mandate is to achieve market (S&P 500) rates of return over 5 years within strict risk criteria providing consistent vs maximal profit payouts to beneficiaries

i. Max Drawdown: 15% (i.e. fund’s paper loss should not exceed 15% at any point during the entire lookback period)

ii. VaR 99% ​≤ 2% × AUM (i.e. fund’s 1-day VaR at a 99% confidence level should not exceed 2% of the total AUM)

c. Constraints: no short selling, max rebalancing frequency 1 x per quarter

d. Assumptions: No transaction costs

6. All traded financial instruments in different asset classes (equities, bonds, currencies, futures, options) may be used in constructing and managing your optimised portfolio

7. Implementation to be done on the Python-based QuantConnect platform (free account)

8. Teams of 1-3 University of Cambridge students with a single submission of a one-page summary of methodology (.doc file) and QuantConnect code (.txt file) to

cuats.hackathon@gmail.com

stating team members’ names and CRSids by 21:00 BST on Saturday, 31 August, 2024. Winners will be announced at 23:00 BST in an online ceremony.

9. Evaluation criteria

a. 40% on Research depth in portfolio theory, long-term viability of strategy, and adherence to objectives and constraints

b. 60% on Evaluation metrics including Sharpe ratio, Sortino ratio, Max Drawdown, and VaR

10. Good luck!