Who is the best quant? There’s a contest aimed at finding out: Abu Dhabi’s sovereign wealth fund is sponsoring a competition to see who designs the best portfolio using quantitative investing tools, such as machine learning.
The leading performer over a three-month span later this year will bag $40,000, with lesser amounts for the nine runners-up.
The ADIA Lab, a data-science institution underwritten by the Abu Dhabi Investment Authority, will run the contest, partnering with Paris-based CrunchDAO, a fellow data-focused firm. ADIA, an independent entity, invests money for the wealth fund.
The contest will find “the Michael Jackson of quants,” says Benjamin Gabay, a co-founder of CrunchDAO and its chief marketing officer. Already 1,100 quants have entered the game.
How will the competition work? Entrants get data sets for a range of stocks (composed of such factors as momentum, quality and volatility for each stock). The number of stocks is a secret, but CrunchDAO says it will range from 1,000 to 4,000.
Then, up until an August 16 cutoff, the contestants rank the stocks from best to worst. The judges will then track whose portfolio is most closely correlated to how those stocks actually perform from mid-August through mid-November. The victor “needs the best prediction,” comments Arnaud Castillo, the CEO and co-founder of CrunchDAO.
The quant world already has a robust effort to grade practitioners run by Google-owned Kaggle, the world’s largest data science community, with the top tier known as ‘grandmaster.’ Several grandmasters have entered the Abu Dhabi contest, and those who are successful will earn some decent money on the side.
Notable among other quant contests is the Deloitte March Madness Data Crunch Competition, which turns on predicting the basketball tourney’s champ. Its three highest prizes are not as lush as the Abu Dhabi awards: $750, $500 and $250.
Quants have a special place in the investing arena, as the wizards who crunch reams of data in a quest to divine the future path of stocks, usually for hedge funds. Sometimes they are successful in their predictions—especially when the market is in turmoil—and sometimes not.
Last year, for instance, quantitative investing had a 3.9% return, according to the SG Multi Alternative Risk Premia Index (which measures quant performance), while the S&P 500 lost 19.5%. This year through May, a much tamer investing climate, the quants were up just 0.51%, and the benchmark stock index had gained 8.9%
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Tags: Abu Dhabi Investment Authority, ADIA Lab, CrunchDAO, Deloitte March Madness Data Crunch Competition, factors, Kaggle, Quantitative Strategies, quants, SG Multi Alternative Risk Premia Index. Machine learning