By Nathaniel Luce
A team from Vanderbilt’s one-year MS Finance program took first place in the inaugural Investment Challenge hosted by the Chicago Quantitative Alliance (CQA).
Students Zac Kennedy, Asia Brumwell, Chad Hooker, and Kelly Smith (pictured, left to right) competed against 17 other teams from top schools including Cornell University, University of Chicago, UCLA, University of Michigan, Carnegie Mellon, Notre Dame and Williams College.
Starting in October 2012, the teams created and managed a paper hedge fund over six months, simulating the daily work of fund managers.
“The Vanderbilt team did a remarkable job,” said Bola Olusanya, Managing Director of Investment Risk and Portfolio Strategy for Vanderbilt University’s Office of Investment, who advised the students.
“After spending two months extensively researching anomalies in the finance literature, they put together a balanced market neutral portfolio that not only outperformed all other schools across all metrics, but matched the performance of the S&P 500 during a market rally without taking any market exposure,” Olusanya said.
The group also worked with Robert Whaley, Valere Blair Potter Professor of Management at Owen, who noted that the team beat competition from “some of the finest finance departments in the country.”
The CQA is a global professional investment organization comprised of leading quantitative investment practitioners whose membership includes investment managers, academics, plan sponsors, consultants, and other investment professionals. The primary goal of the CQA is to facilitate the interchange of ideas between quantitative professionals. This was the first student Investment Challenge hosted by the organization, however, the CQA has been organizing an annual academic competition for non-tenured faculty for several years.
The Vanderbilt team received a $1,500 grand prize and the recent MSF graduates’ resumes will be circulated to all CQA members.
Contact Person: Ryan Underwood Business Editor Vanderbilt Owen Graduate School of Management
Contact Phone: (615) 322-3469
Contact Email: ryan.underwood@owen.vanderbilt.edu
