TUCSON, Ariz. – May 11, 2017 – Students from the University of Arizona (UA) Eller College of Management bested 49 other business school teams to take home the top prize in the Chicago Quantitative Alliance (CQA) Investment Challenge. The winners were announced late last month.
Students from teams around the world participated in the five-month competition that ran from the end of October 2016 through the end of March. Each team was required to create and manage a market neutral portfolio with no more than five percent of the portfolio invested in a single stock and no more than five percent of the portfolio in cash.
The Eller College team won the competition based on a combination of their absolute return, risk adjusted return and an evaluation of their strategy video presentation. The team had the highest absolute performance, they were in the top five for risk adjusted return, and they had the highest score for their video presentation.
In addition to bragging rights, the Eller team won $1,500 and the chance to have their resumes circulated to all CQA members. CQA is a non-profit, international group that was founded in 1993 with the goal of promoting quantitative research through conferences and educational programs.
“I’m extremely proud of the team,” said Richard Sias, Ph.D., Eller Finance Department head. “They won the national championship of hedge fund management beating out not only their peers, but also teams of graduate students from many of the top universities in the world including Duke, Caltech, and Cornell.”
The team representing the Eller College consisted of five UA seniors: Spencer Bateman, Hilla Hascalovici, Charles Recchion, Edward Recchion and Kham To. The team received support from faculty advisor Scott Cederburg and Chris Campisano, Eller alumnus (’82) and team mentor. Campisano, CFA, CAIA, is partner and managing director of New York-based Risk Premium Investment Management Company LLC. In addition, he is one of the founding members of the Chicago Quantitative Alliance.
“The challenge of this competition is the real-world pace and implications of market changes,” said Spencer Bateman, a political science and finance student at UA. “We had to double as students and portfolio managers by maintaining our portfolio daily and ensuring our investment strategy was effective.”
When they first began planning their investment strategy in October, the Eller students based their investments on what was thought at the time to be the unlikely outcome of Trump winning the presidential election.
“We believed that the November elections presented an undervalued likelihood of a government-wide Republican win, which would benefit the financial and energy sectors, while threatening the consumer discretionary sector,” said Charles Recchion, a finance and economics major in the Eller College of Management. “Because markets largely anticipated a Clinton victory, we viewed a Trump win as posing significant opportunities. We therefore took our biggest positions in the portfolio in these sectors.”
Eller has a history of excellence with the Chicago Quantitative Alliance Investment Challenge, which began five years ago. The Eller team placed in the top 10 in three of the four years since they first participated. Students from UA Eller College placed sixth in 2016 and third in 2014.
“This year’s team was extremely accomplished, bright and focused,” said Campisano. “They did an outstanding job of absorbing concepts and translating them into tangible features in the portfolio. When I mentor students, it’s very important that I let them have the experience of thinking things through and implementing them, even if I know their investment process will perform poorly. That’s the learning aspect of the competition. In this case, the Eller team did a great job, not only with constructing their portfolio, but with their overall performance and engaging video.”
Photo: L-R: CQA member Chris Campisano, students Edward Recchion, Kham To, Spencer Bateman, Hilla Hascaovici, Charles Recchion, and faculty advisor Scott Cederburg.