Vestcor and UNB’s student partnerships see continued success in international competition | June 2020

Students in UNB’s Master in Quantitative Investment Management (MQIM) program continue to distinguish themselves in international competitions. Vestcor proudly serves as industry partner to the MQIM program, and members of Vestcor’s staff served with UNB faculty as coaches and mentors to the successful teams. The competitions, in the fields of portfolio and risk management respectively, help the students to apply their learned skills in a real-world setting. The success of the students of the MQIM program in these competitions speaks volumes to the skills they are developing.

A team of students in the MQIM program were the top Canadian team in the Chicago Quantitative Alliance (CQA) Challenge for the second year in a row, and tied for 8th place worldwide, out of a field of 35 schools. The CQA has students put their skills to the test in a simulated portfolio management environment based on real market conditions. Beyond the performance of their simulated fund, participating teams must also explain the choices they made. The students spend a great deal of time researching to establish an investment philosophy, and follow a consistent strategy, adjusting as they go. The impact of the COVID-19 pandemic on financial markets created special challenges for the teams this year as they had to cope with a much higher level of market volatility.

Further success was found by a team of MQIM students in the MATLAB competition of the Risk Management Challenge, hosted by the Professional Risk Managers’ International Association (PRMIA). Students are tasked with creating algorithms to generate profitable out-of-sample pair trading strategies and performing risk analyses on the strategies using MATLAB, a programming language used by real-world risk managers. While this was the first time UNB had participated in the competition, they finished in an impressive tie with Rutgers University for 3rd out of 58 schools from Canada, the U.S., and the E.U.

We congratulate both teams on their success and look forward to seeing how UNB continues to perform in these international competitions in the years to come.

For more information, visit the summary provided by the UNB Faculty of Management “Ideas with Impact” newsletter, at http://blogs.unb.ca/ideas-with-impact/2020/mqim-teams-2020.php.