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About the competition

Rotman Portfolio Management Competition | November 1, 2023 - March 1, 2024

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.

Using the Rotman Portfolio Manager platform, teams will compete to generate the highest risk-adjusted returns between Opening Day and Closing Day. The top-performing teams will present their strategies to a panel of portfolio managers and investment professionals who will present the prize.

The participating teams 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. 

Awards

1st Place

CAD$1000

2nd Place

CAD$600

3rd Place

CAD$400

Registration Timeline

September 15, 2023

Registration Opens 

October 23, 2023

Registration Closes

Competition Timeline

  • November 1, 2023, 9 am - 12 pm -- Portfolio Management Briefing (HYBRID)
  • November 1, 2023, 9 am - 12 pm -- Portfolio Management Period Starts
  • March 1, 2024, 5 pm -- Portfolio Management Period Ends
  • November 30th, 2023, 11:00 am - 12:30 pm -- Portfolio Management Industry Session (VIRTUAL)
  • January 23rd, 2024, 11:00 am - 12:30 pm -- Portfolio Management Industry Session (VIRTUAL)
  • March 14, 2024, 3:00 pm - 6:00 pm -- Portfolio Presentation & Awards Ceremony (HYBRID)

Fees

  • To reserve your spot, a University Representative or member of the team must pay the member registration fee (C$30 + tax / per team).
  • The Representative may be either a faculty advisor, staff member, student club leader, or a member of the team.
  • The spot will be reserved for the team only after the registration fee payment.
  • The competition has limited spots available, and spots will be assigned on a first-come, first-served basis. We encourage you to register early!
  • A team’s registration in the competition will be confirmed by email within five business days after receiving the registration deposit fee payment.
REGISTER HERE

Qualification

  • Participants must be current undergraduate or graduate students in a degree program at a university in Canada and the US.
  • 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; each participating team should be composed of different genders.

RPM Installation and User Guide

RPM Student Quick Start Guide 
RPM Student Advanced User Guide 

Objectives

Construct a diversified portfolio through an analysis of the financial performance of individual equities, with the aim of achieving a higher Sharpe ratio and Alpha compared to the benchmark portfolio. 

Engage in active trading throughout the trading period by investing in multiple individual stocks. 

Continuously assess, rebalance, and determine the positions and weights of the securities, ultimately culminating in the formation of a well-diversified portfolio by the conclusion of the trading period. 

Upon completion of the trading period, retain in the portfolio only those securities that align with specific investment principles. 

Provide a comprehensive explanation of the investment strategy employed to compose the final equities portfolio in the project report.  

Speaker & Information Session Details

The speaker session outlined in the Important dates section 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 competitions. Due to the hybrid nature of this competition, we will demonstrate how you can reach our support staff and Lab Assistants for any questions. These sessions will highlight the platform’s functionality and how the trading interface can be used in both competitions. 

 

The practice sessions will focus on practicing portfolio management using RPM and implementing your trading strategies using RPM. 

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 

Construct a diversified portfolio through an analysis of the financial performance of individual equities, with the aim of achieving a higher Sharpe ratio and Alpha compared to the benchmark portfolio.

Engage in active trading throughout the trading period by investing in multiple individual stocks. 

Continuously assess, rebalance, and determine the positions and weights of the securities, ultimately culminating in the formation of a well-diversified portfolio by the conclusion of the trading period. 

Upon completion of the trading period, retain in the portfolio only those securities that align with specific investment principles. 

UProvide a comprehensive explanation of the investment strategy employed to compose the final equities portfolio in the project report.  

Trading

  • 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 $1B 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

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 

Teams are expected to allocate the majority of their capital into securities, with the average cash position typically maintained below 10% of the total portfolio value throughout the trading period. The underlying objective of this guideline is to motivate participants to be actively involved in the competition by consistently making investment choices and proactively managing their portfolios.

Trading Frequency 

Teams must maintain regular trading activity with a minimum of one trade every two weeks during the competition period. 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 ETF  as of the start of the trading period date. 

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. 

Ticker

Weight

SPY-US | SPDR® S&P 500® ETF Trust **

50%

XIC-CA | iShares® Core S&P/TSX Capped Composite Index ETF*

50%

*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. 

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*

15%

Jensen’s Alpha

15%

Investment Strategy Adoption

30%

Project Report**

20%

Presentation***

20%

*Adjusted for penalties

**Must follow academic writing standard

***Selected from top-performing teams 

Portfolio Presentation

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

Presentation 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.

Portfolio Presentation Session Schedule

November 1st
Portfolio Management Briefing

  • 9:00 am - 10:00 am : Introduction and Training
  • 10:00 am - 12:00pm : Speaker Session and Q&A

March 14
Portfolio Presentation | Awards Ceremony

  • 3:00 pm - 5:30 pm : Portfolio Presentation
  • 5:30 pm - 6:00 pm : Awards Ceremony

Location

In- Person 

 

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 Microsoft Teams Meeting

* We will send you the meeting link in an email upon registration

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.

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.

Diversity and Inclusiveness

Our teaching, scholarship, and other activities take place in the context of a highly diverse society. Reflecting this diversity and intersectionality 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 and feelings of belonging 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. For more information, please click here.

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