Some questions about the S&P competition output rules

Alphathon
#1

 I’m so confused about this statement “diversified long only portfolio [that] must be equally weighted, fully invested and must contain 50 stocks at any moment of time”.


I don’t know if my understanding is correct:


So, we just need to output a row of weights of 500 stocks in the S&P 500.

Like [0.01, 0.02, 0.03, -0.1, -0.2, … , 0.04] —— (1 * 500)


And the system can automatically select 50 stocks and buy the equal share according to my outputs.(for example, buy the top 50 highest weight stocks)


Is this what the rule mean?


Actually, can you give us a sample of the output? That would definitely make the rule more clear.

Thanks!


——————

Updates:

And another question is about the 50 stocks. Do we have to select 50 stocks from the S&P 500 every rebalance time?

For example, we have to buy 50 stocks each rebalance time, such as Apple, Google, Amazon, … , Netflix, Facebook, and 0.02 for each.


Or we just need to buy any number of stocks from 50 selected stocks every time rebalancing?

For example, just buying the Google and Apple 0.5 per company.


I’ll really appreciate it if you can give us a clear sample of what the competition output should look like.

#2

Your understanding here is correct

For example, we have to buy 50 stocks each rebalance time, such as Apple, Google, Amazon, … , Netflix, Facebook, and 0.02 for each.


50 out of all the sp500 stocks which make up the sp500 on that day.


#3

Hi Manas,


Thanks for you explanation, but I’m still confused about the output shape.


So, for a single rebalance day, my output would be 0.02 for each selected stocks, and the other would be just 0, right?


For example, the output that day should be like [0.02, 0, 0.02, 0, 0, 0, 0, 0.02, 0, … , 0.02, 0, 0, 0, 0, 0.02] .


Is that right?

#4

Yep. That’s correct.