Caltech Students Compete in the Chicago Quantitative Alliance 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. This year, Caltech was represented by Justin Leong '17 (computer science), Daodi Lu (PhD candidate in mathematics), and Dunzhu Li (PhD candidate in geophysics), pictured left to right. 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.