Rotman Portfolio Management Competition – BMO Financial Group Finance Research and Trading Lab

Rotman Portfolio Management Competition (RPMC) | October 1, 2024 - December 11th, 2024

The 2025 Rotman Portfolio Management Competition (RPMC), hosted by the BMO Financial Group Finance Research and Trading Lab at the Rotman School of Management, invites undergraduate and graduate students from around the world to participate.

New to this year, the competition will be divided into two phases: market analytics and portfolio management. In the first phase, teams analyze historical equity data to develop investment strategies. In the second phase, teams will manage a $1 million (CAD) portfolio for about a month using the Rotman Portfolio Manager platform, applying their initial findings to achieve the highest risk-adjusted returns. Top teams will present their strategies to a panel of portfolio managers and investment professionals for a chance to win prizes.

Awards

🥇1st Place - CA$1,000

🥈2nd Place - CA$600

🥉3rd Place - CA$400

Registration Dates

Registration Opens

September 6th, 2024 at 12:00 pm (EST)

Registration Closes

September 22nd, 2024 at 11:59 pm (EST)

Fees

$30 CAD per team

Qualification

- Participants must be current undergraduate or graduate students in a degree program at a university.
- More than one team per university can compete.
- Two or three student members are required per team.
- Faculty advisors or staff members can accompany each team.
- Faculty advisors or staff members cannot compete as a team member.
- We encourage diverse and inclusive teams; while it is not mandatory, participating teams should be composed of different genders.

REGISTER HERE

Technical Requirements - NEW!

- CREATE AN ACCOUNT: RPMC2025-Registration-Link
- LOGIN: Rotman Portfolio Management Login

Competition Timeline

October 1st, 2024 | Briefing Session (Hybrid event)
October 1st - October 25th 2024 | Registration Period for Software
October 1st, 2024 - October 20th, 2024 | Analytics Period
October 21st, 2024 (by 9:30 am EST) - November 29th, 2024 | Portfolio Management Period
December 5th, 2024 (12:00 pm EST) | Final Report Submission Deadline
December 8th, 2024 (11:59 pm EST) | Video Presentation Submission Deadline (Top Ten Performing Teams Only)
December 11th, 2024 (1:00pm - 6:00pm EST) | Portfolio Q & A and Awards Ceremony (Hybrid event)

*Please note: We will announce the Top Ten ranking teams on December 6th via email.

*Please note: Scheduled server maintenance will take place on November 8th, 2024 from 1:00 pm (EST). You will be able to login again on November 11th, 2024 by 9:30 am (EST).

Objectives

The RPMC competition is divided into two main segments: analytics and portfolio management. The analytics conducted in the first phase will guide the investment decisions necessary for effective portfolio management in the second phase.

Participants are required to analyze the stock market and develop a predictive analytical model that can accurately forecast asset price movements and risk over time. This model can be derived from any financial theory and should be refined based on empirical analysis of individual stocks.

The purpose of relying on a model is to clarify the investment strategies used to optimize risk and return, including the weighting techniques for individual equities and the diversification process involved in the second phase of portfolio construction.

Construct a diversified portfolio through a thorough analysis of the financial performance of individual equities. The model should effectively predict market movements and help achieve a higher Sharpe ratio and Alpha compared to a benchmark portfolio.

Participants should engage in active trading throughout the trading period by investing in various individual stocks to test their models and analytics. An attribution analysis should be performed to ensure that the portfolio is well-diversified across different sectors and industries.

Throughout the trading period, participants must continuously assess and rebalance the portfolio, determining the appropriate positions and weights of the securities. The objective is to maintain a well-diversified portfolio and validate the accuracy of the model’s predictions by the end of the trading period.

At the conclusion of the trading period, retain only those securities in the portfolio that are expected to outperform the benchmark index and align with specific investment principles.

Finally, participants must provide a comprehensive report detailing all the theoretical work and methodologies used to construct their model, an analytical explanation of the investment strategy employed to build the portfolio of equities during the trading period, and an evaluation of the model’s predictive accuracy.

Briefing Session Details

The Briefing Session outlined above will focus on helping participants become familiar with the RPM platform by providing an overview of the platform’s interface and functionality, why it is used and how you can use it in the competition.

This session will also outline how the analysis done in the Analytics Period will help in investment decision during the Portfolio Management period.

The rules and regulations of this competition will also be highlighted.

Due to the hybrid nature of this competition, we will demonstrate how you can reach our support staff and Lab Assistants for any questions.

Team Faculty Advisor

The Faculty Advisor is welcome to guide the students. The team advisor (Faculty) supervising (leading) a team will serve in an oversight role, coaching and assisting students in developing their strategies. In addition, the faculty will serve as an advisor to the team during the competition period.

As a faculty member teaching finance, economics or related topics, the advisor can’t help the participating teams with solutions or produce the work for the students to be used in the competition. Instead, the advisor will provide guidance, support, and knowledge to ensure that the participating team will perform well during the competition and leave the implementation piece to the students.

During RPMC, the advisor will provide continuous input to the students’ portfolio management strategy until the last day of the competition. The advisor can’t participate in the portfolio strategy presentation; the judging panel will assess the team’s strategy demonstration based on the team’s ability to present it.

Based on the above, the team advisors’ (faculty) scope will focus primarily on the literature. The competition staff will take care of all support activities related to delivery and platform use. As the virtual format is different from the in-person format, separate guidance will be provided regarding roles and responsibilities before the competition day.

Competition Rules

Use public resources to gather historical data on equities and perform risk-return analytics to predict future returns. Provide a rational explanation for investment decisions and assess portfolio performance.

Construct a diversified portfolio by analyzing the financial performance of individual equities, aiming to achieve a higher Sharpe ratio and Alpha compared to the benchmark portfolio.

Engage in active trading throughout the period by investing in multiple individual stocks, with a focus on long-term investments. Continuously assess and rebalance the portfolio, adjusting the positions and weights of the securities to ensure a well-diversified portfolio by the end of the trading period.

Conduct attribution analysis to ensure the portfolio is well-diversified. Provide a justification for the chosen industries and the allocated weights of the equities invested.

Upon completion, retain only the securities in the portfolio that align with the investment principles established by the model developed during the analytics phase.

Provide a comprehensive explanation of the investment strategy used to build the final equities portfolio in the project report. Additionally, create a video presentation highlighting the investment strategies employed and the composition of the portfolio.

Trading Rules

- Teams will manage a $1 million (CAD) portfolio for about a month using strategies developed during market analytics period.
- Participants will only be allowed to trade restricted securities listed on the U.S. and Canadian exchanges.
- Company market caps must be greater or equal to US $1M at the time of purchase.
- Exclusively individual stocks that are listed on Canadian and U.S. stock exchanges.
  - Long only
  - No short selling
  - No ETF’s or indices
  - No leverage in trading
  - No day trading
  - No trading on Margin
- Benchmark: 100% in XIC-CA | iShares® Core S&P/TSX Capped Composite Index ETF

Please be advised that the purpose of the RPMC is not necessarily to ‘outperform’ the benchmark portfolio, but it will be another useful measure for understanding the performance of the portfolio.

The benchmark portfolio account will be named ‘RPMC-Benchmark’, and each team will be able to compare the team’s portfolio performance against the benchmark portfolio.

Scoring

Sharpe Ratio

The Sharpe ratio, developed by Nobel laureate William F. Sharpe, is a financial metric utilized to assess the risk-adjusted return of an investment or portfolio. The ratio measures the excess return generated by a portfolio over the risk-free rate per unit of volatility or total risk it carries. In other words, it helps investors evaluate whether the returns they receive are sufficient compensation for the level of risk they are taking. A higher Sharpe ratio indicates a better risk-adjusted performance, while a lower ratio suggests that the investment may not be adequately compensating for the risk involved.

Sharpe Ratio= (Rp – Rf)/σ

Where:

Rp is the expected portfolio return.

Rf is the risk-free rate of return (usually the yield on a government bond).

σ is the standard deviation of the portfolio’s return.

Jensen’s Alpha

Jensen’s Alpha, named after economist Michael Jensen, is used to evaluate the performance of an investment portfolio or fund manager. It measures the excess return generated by the portfolio or manager compared to what would be expected based on its market risk (systematic). In other words, it quantifies whether the portfolio has outperformed or underperformed considering the level of risk taken. A positive Jensen’s Alpha indicates superior performance, while a negative value suggests underperformance. It helps investors estimate whether a portfolio manager has added value through active management.

Alpha (α) = Rp – [Rf + β * (Rm – Rf)]

Where:

Rp is the actual portfolio return.

Rf is the risk-free rate.

β is the portfolio’s sensitivity to market movements.

Rm is the market return (usually the return on the major market index).

Final Score

The panel will evaluate the top teams based on their presentation and portfolio performance on a weighted average basis and present 1st Prize: $1000, 2nd Prize: $600, and 3rd Prize: $400 CAD

Deliverable	Weight
Sharpe Ratio Ranking*	10%
Jensen’s Alpha	10%
Active Trading (long-term)	5%
Analytics of Investment Strategy	35%
Project Report**	20%
Video Presentation***	20%

*Adjusted for penalties

**Must follow academic writing standard

***Selected from top-performing teams

Project Report Guideline

All teams are required to submit the project report (PowerPoint slides) by December 5th, 2024 (12:00 pm EST).

Submit your report (Powerpoint slides link) here. Please make every effort to ensure your link is publicly visible to us; otherwise you will not be judged.

Upon submission, the top ten teams will be selected and announced via email on December 6th, 2024. These top ten teams will be required to submit a video presentation by December 8th, 2024 (11:59 pm EST) and will also be invited to attend the Portfolio Q & A and Awards Ceremony (Hybrid) event on December 11th, 2024. However, all participating teams are welcome to attend.

At the Portfolio Q & A and Awards Ceremony (Hybrid) event, a line-up of industry experts will be serving as panel judges who will evaluate the team’s model and presentation and this performance will factor into a team’s final score. Each team will receive a 10-minute timeslot with the judge panelists for Q & A.

Written Practice & Standards

- The report should be formatted as presentation slides and can be created using MS PowerPoint, MS Word.
- Design your presentation slides by adding text, tables, charts, and other content.
- Utilize pre-designed templates that follow accessibility guidelines and industry standards.
- Take advantage of design tools to enhance the visual appeal of your presentation.
- Framing the content, plan language, clear layout and giving examples.
- Spelling and punctuation, dates and measurements, abbreviations and acronyms, capitalization, formatting.
- Include cover page, table of contents, model specifications, investment strategies, fund performance, and references.
- For more writing guidelines, Click Here.

Formatting Rules & Title Page

- Use any approved font, like Arial or Times New Roman.
- The font size should be easy to read without being so large that it limits the amount of content.
- Line spacing 1.5
- University Name
- Name of Instructor
- Team Name
- Students names.

Table of Content must follow page order and should contain

- Headings/ Titles and Sub-titles
- Number of slides 8-15
- List of Tables and Figures
- List of Appendices (if any)

References (APA)

- For detailed guidelines on APA References, Click Here.

**Must follow academic writing standard

Video Submission Guideline

As mentioned above in Project Report Guideline, only the top ten performing teams will be required to submit their video presentation. Please send your video to financelab@rotman.utoronto.ca. If you choose to send this via a link, please make every effort to ensure your link is publicly visible to us.

Video Submission Guidelines

- 7-10 minutes of presentation time.
- PowerPoint is recommended, but presentations can also be created using Zoom, Teams, or other professional software.
- Ensure your slides are in the correct order and logically present the methodologies used, as well as the results of the constructed portfolio.

Content

- Be concise and informative!
- Include investment strategies, highlights of surprises, risk management, and performance analyses.
- Play the role of an investment manager reporting/pitching to fund managers who are the judges.

Video Format

- Any file format or link is sufficient; please ensure it is not private so we can access it.

Portfolio Q & A and Awards Ceremony Schedule

December 11th, 2024

Location

St. George Campus

BMO Financial Group Finance Research and Trading Lab

Rotman School of Management

Room 290, North Building

105 St. George St.

Toronto, ON M5S 3E6

Canada

Virtual

Online – Join via Zoom Meeting

* We will send participants an invitation with a meeting link in an email in December

Dress Code

RPMC is a professional business competition, so participants are expected to dress in business casual or business formal attire.

RPMC 2025 Judge Panelists

Meet this year’s RPMC 2025 Judges. We have a great line-up and they are excited to meet with all of you!

Kiana Xu

Senior Associate, Public Equities, University of Toronto Asset Management Corporation (UTAM)

Jamie Marks

Vice President, Origination, Further Capital Partners Ltd.

Grace Hao

Fixed Income Investment Analyst, University of Toronto Asset Management Corporation (UTAM)

Kevin Mott

Assistant Professor, Teaching Stream, Rotman School of Management, University of Toronto

Aaron Yu

Principal, Completion Portfolio Strategies, Total Portfolio Management Investments

Co-Curricular Record (CCR)

Upon completion of this competition, students may claim for CCR recognition.

The Co-Curricular Record (CCR) is designed to help students find opportunities at U of T beyond the classroom and to have their skills and experiences captured on an official document. For more details about this CCR position, CLICK HERE.

Benefits of Co-Curricular Record (CCR) Recognition:

- Highlight and reflect on the skills you’ve gained.
- Get engaged in a variety of workshops and track your progress.
- Record your participation on an official university document.
- Connect with your CCR community, build your network, and enhance your resume.

If you are ready, to claim your CCR, CLICK HERE.

Take your finance career to the next level

In addition, this year, RPMC is part of a groundbreaking initiative at Rotman School of Management – The Rotman Finance Analytics and Decision-Making League (RFADML). Your registration fee will not only automatically give you an all-access pass to Rotman’s new specialized themed conferences which include topics on Finance, Machine Learning and Analytical Skills, this initiative allows you to earn qualification points for additional rewards to ultimately earn the prestigious title of international academic champions.

To know more about RFADML:

CLICK HERE

Health and Safety | COVID-19

Competition participants are responsible for following health and safety measures where applicable. Individuals should report health and safety concerns to the competition committee via email at financelab[at]rotman.utoronto.ca, who will promptly review, assess and implement measures to address the concern where appropriate.

Measure to reduce risk of exposure:

- Individuals who are sick or who have COVID-19-related symptoms should stay home/hotel/accommodation.
- Isolate until there is no fever and symptoms improve for 24 hours (48 hours for gastrointestinal symptoms), regardless of testing results or no testing.
- Refer to: Ontario COVID-19 Self-Assessment and Procedures in the Event of a Confirmed Case and/or COVID-19 Symptoms.
- Avoid touching your face, nose or mouth with unwashed hands.
- Wash your hands often and thoroughly with soap and water or alcohol-based hand sanitizer.
- Practice proper respiratory etiquette, such as sneezing and coughing into your elbow.
- Face masks are encouraged, and we ask everyone always to respect the decisions of others, their comfort levels, and their health needs.

Statement on Equity, Diversity, and Excellence

Equity and Human Rights

The purposes of this statement are to express the University’s values regarding equity and diversity, and relate these to the institution’s unwavering commitment to excellence in the pursuit of our academic mission.

At the University of Toronto, we strive to be an equitable and inclusive community, rich with diversity, protecting the human rights of all persons, and based upon understanding and mutual respect for the dignity and worth of every person. We seek to ensure to the greatest extent possible that all students and employees enjoy the opportunity to participate as they see fit in the full range of activities that the University offers, and to achieve their full potential as members of the University community.

Our support for equity is grounded in an institution-wide commitment to achieving a working, teaching, and learning environment that is free of discrimination and harassment as defined in the Ontario Human Rights Code. In striving to become an equitable community, we will also work to eliminate, reduce or mitigate the adverse effects of any barriers to full participation in University life that we find, including physical, environmental, attitudinal, communication or technological.

Diversity and Inclusiveness

Our teaching, scholarship, and other activities take place in the context of a highly diverse society. Reflecting the intersectionality in our community is uniquely valuable to Rotman, as it contributes to the diversification of thoughts, ideas, and perspectives that enrich our teaching, scholarship, and research activities. We will proactively seek to increase inclusion and feelings of belonging among our community members, with an aim to having a student body, teaching and administrative staff that mirror the diversity of qualified applicants. For more information, please click here.