S&P 500 outperform query

Alphathon
#1

In the description stated "The diversified long only portfolio must be equally weighted, fully invested and must contain 50 stocks at any moment of time"


Constrains:

  1. Long only
  2. equally weighted ==> E.g. 50 stocks and 2% for each
  3. fully invested => every trade day has to have positions
  4. must contain 50 stocks at any moment of time ==> must have 50 stocks at any trade days


Please correct me if my understanding is incorrect.


#2

This is correct.

The long only constraint is obvious from the fact that 50 stocks have a 2% allocation.

About the “at any moment in time”, we of course do not include the initial calibration of your payout (if any) in this at any time. The implicit part is: at any time after your first allocation.

#3

Whether it means that we can only use long only portfolio? Or we can also chose other stratergies?

For example, 40 stocks and each have 1% allocation.

#4

Hi Xlu39,


For the UBS Quant Hackathon 2020 - Outperform the S&P 500 Index, all constrains that Charon has summarized above must be met.


Thank you.