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Rotman Portfolio Management Competition

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November 3, 2022 – March 9, 2023 5:00 pm EDT

Summary

Undergraduate and graduate students from universities in Canada and the United States are invited to participate in the 2023 Rotman Portfolio Management Competition (RPMC) hosted by the BMO Financial Group Finance Research and Trading Lab at the Rotman School of Management (Rotman FRT-Lab). 

From November 3, 2022, to March 9, 2023, teams of students will manage an investment portfolio of $1 million (CAD) for ~4 months with securities listed and traded in actual markets, gaining hands-on experience in portfolio management. 

Using the Rotman Portfolio Manager (RPM) platform developed by the Rotman FRT-Lab, teams will compete to generate the highest risk-adjusted returns between Opening Day (November 3rd), and Closing Day (March 19th). The top performing teams will present their strategies to a panel of portfolio managers and investment professionals who will present 1st Prize: $1000, 2nd Prize: $600, and 3rd Prize: $400 CAD!

Key Dates

September 22, 2022 
5:00 pm 

Registration Opens 

Virtual 

October 20, 2022 
5:00 pm

Registration Closes 

Virtual 

November 3, 2022 
9:00 am – 12:00 pm 

Briefing  

In Person  

Rotman FRT-Lab 

November 3, 2022
12:00 pm 

Portfolio Management Period Open 

Virtual 

March 9, 2023
5:00 pm 

Portfolio Management Period Close 

Virtual 

March 24, 2023

Presentation & Awards Ceremony

In Person  

BMO Rotman FRT-Lab 

Location

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 

Qualifications

Participants must be registered at a university in Canada or the United States at the time of entry.  Maximum three students per team.

Registration

1. 

Complete Team Registration Form (One form per team).

For empty team spots, fill with “NA”

2. 

Complete your one-time Team Registration Fee of $30 CAD (+13% HST). One payment per team.  

3. 

Once our staff receives your completed Team Registration Form and confirms receipt of payment, you will receive an e-mail confirming your registration along with the necessary instructions for setting up your RPM account.

Competition Rules

Competition Rules


Participants will only be allowed to trade restricted securities listed on the U.S. and the Canadian exchanges.

Participants may short-sell any securities and trade on margin (e.g. leverage allowed).

Tradable Securities

 

Participants will only be allowed to trade from this Tradable Securities Document of securities for the RPMC in order to make sure that the competition performance is evaluated fairly. 

 

Most of the securities included in the S&P500 Index and the S&P/TSX Composite Index are available for trading. Some securities were excluded from the list due to their illiquidity, high volatility, and/or high beta. In addition, a few major ETFs that represent particular asset classes, sectors, industries, and regions are also included in the list for trading.

Portfolio Constraints

 

Each portfolio can only invest up to 20% of its total value into a single security at any point in the trading period.

Capital Allocation

 

Each team should invest most of the capital into securities. Cash position should be kept lower than 10% of the total portfolio value at all times starting Opening Day.

Trading Frequency

 

Teams must maintain regular trading activity with a minimum of one trade every two weeks starting from Opening Day. Failure to make at least one trade every two weeks will result in a penalty.

Penalties

 

Penalties will be determined and calculated on an individual basis by the RPMC Committee and will be disclosed to the participants and reflected in the scores.

Benchmark

 

There is a benchmark portfolio that consists of the following ETFs with corresponding weights. The benchmark portfolio will be constructed according to the weights based on the closing prices of the ETFs as of November 3, 2022.

The benchmark portfolio will be re-balanced on a monthly basis at the beginning of each month, and any distributions (e.g. dividends) will be re-invested into the ETFs according to the weights when the rebalancing happens.

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 on the RPM platform.

 

TickerNameWeight
SPYSPDR® S&P 500® ETF Trust **35%
XIC.TOiShares® Core S&P/TSX Capped Composite Index ETF*15%
IEMG.KiShares®  Core MSCI Emerging Markets ETF*20%
XBB.TOiShares®  Core Canadian Universe Bond Index ETF*20%
GLDSPDR® Gold Shares **10%

*iShares® ETFs are managed by BlackRock Asset Management Canada Limited.  

**SPDR® S&P 500® ETF Trust represent ownership in the SPDR S&P 500 Trust, a unit investment trust. 

Presentations

Selected high performing teams will be invited to make a presentation to our panel of Judges who will decide the winners!

Format 

  • 10 minutes of presentation time
  • 5-min Q&A session with judges
  • PowerPoint advised 

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

Scoring

Sharpe Ratio

 

On Closing Day, all participating teams will be scored according to the Sharpe Ratio.

The Sharpe ratio measures the average return adjusted for the risk-free rate and divides it against the total standard deviation of the portfolio. The definition of “zero risk” here indicates the investment of safe securities such as U.S. Treasury Bill. In other words, a portfolio that is 100% invested in U.S. Treasury Bills will yield a Sharpe ratio of exactly zero. 

Presentation

 

The panel of judges will evaluate the team presentations and this performance will factor into a team’s final score.

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* 

50% 

Presentation** 

50% 

*Adjusted for penalties

** Selected from top performing teams 

Statement on Equity, Diversity, and Excellence

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.

Equity and Human Rights

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 this diversity in our own community is uniquely valuable to the University as it contributes to the diversification of ideas and perspectives and thereby enriches our scholarship, teaching and other activities. We will proactively seek to increase diversity among our community members, and it is our aim to have a student body and teaching and administrative staffs that mirror the diversity of the pool of potential qualified applicants for those positions.

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