2017 MCM Market Horse Race
Feb. 20, 2017 - May 26, 2017
COMPETITION
The competition will be creating a
portfolio through May 26, 2017 using data from Non-US (XUS), Global (GL), and
Emerging Markets (EM) from 1999 - Nov. 2016 for the annual MCM Horse Race!
The(IBM) jrd -guerard file contained updated U.S. information from the original
JOI_GUERARD and Saxena JOI studies of 2011-2012. The underlying, original paper
is entitled “Investing with Momentum” , was published in The Journal of
Investing (JOI-GUERARD). The Global expected returns, run over similar
conditions was published in the IBM Journal of Research and Development, as
06601697.pdf.
The Horse Race conditions are as Follows:
1. Maximize the Geometric Mean over the 1/1997- 12/2016 period using the CTEF
and REG10 (USER, GLER) series (high values are preferred) as tilts;
2. Maximum buy turnover is 8% monthly;
3. Minimum Threshold Position is .35% (35 basis points);
4. Maximum Mean-Variance weight in any security is 4%; one can use benchmark
weight +/- 2%;
Competition Information
Risk-Based and Factor Investing
(Warning Large File Size)
Horse Race of Risk-Based Portfolio Construction Techniques
Efficient Global Portfolios: Big data and investment universes
Feature Selection for Portfolio Optimization
Geometric Mean Maximization: Expected, Observed, and Simulated Performance
International Journal of Forecasting
The Journal of Investing
Improving the Investment Process with a Custom Risk Model: A Case Study with the GLER Model
Global Stock Selection Modeling and Erricient Portfolio Construction and Management
Investing with Momentum: The Past, Present, and Future
The role of effective corporate decisions in the creation of efficient portfolios
Topics in Applied Investment Management: From a Bayesian Viewpoint
An Empirical Case Study of Factor Alignment Problems Using the USER Model
SIGN UP
Click Here to enter the competition and download MATLAB datasets.
Competition complete
CONTACT
For any information regarding the
competition, please email
Dr. Zari Rachev.
SPONSORS
The event is sponsored by the Mathematics and Statistics Department of Texas Tech University and McKinley Capital Management, LLC.
Texas Tech University, Department of Mathematics and Statistics, Broadway and Boston, Lubbock, TX 79409-1042
Phone: 806.742.2566 |
