Our team represented the Fogelman College of Business & Economics (U Memphis) in the inaugural Bloomberg Trading Challenge, Spring 2017.
At the end of the 8-week trading simulation, we ranked among the top 5% of university teams competing to net the highest absolute portfolio return on an initial notional value of 10M USD.
2. Bloomberg Trading Challenge
21 February – 17 April | 266 teams, 81 universities
Access to the notional Trading Network via BPS terminals @ Cook Lab
Objective : maximize absolute return on notional 10M USD
BTC Ground Rules
1. Buy & hold* (no shorts, options)
2. Equities for companies of US Domicile
3. Market Cap ≥ $1B
*Transaction costs fixed at 1 USD
3. ‘AVRONB’
Finance, Insurance & Real Estate
Zach Morton
Li Yu
Dylan Ledbetter
Business Information Technology
Zach Golden
Lokesh Chinthala
Advisor : Christine Jiang, PhD
188 Trade Ideas ≫ 3.75% ABS Return ≫ 13th / 265 teams
FCBE team members
10. Event-driven strategy profiles
1. Earnings announcements (PEAD)
2. IPOs (late-entry)
3. M & A (finding domestic comparables)
4. Product releases & development cycles
17-20 open positions | 6.5 day average holding period
11. Composition of f(x) for search & screens
Search feeds
<TOP> screen & monitor equities in latest headlines
<MOST> track intraday & weekly spikes in trade volumes
<BSV> Bloomberg Social Velocity Monitor
Screening criteria
<EVT> equity-specific event calendar (+ EVTS)
<ANR> review consensus & trajectory of analyst rec’s
<MACD> identify cycles/seasons for momentum indicators
<VWAP> observe depth/volume characteristics
12. Parsing the hype in vehicle automation
02/10 Ford acquisition of SAIPS for $1B
03/13 Intel acquisition of MobilEye for $15.3B
- AV Evolution : ADAS (driver assistance) vs ADS (driverless)
- Multicamera hardware (LEICA, Delphi)
- Collision avoidance via LiDaR (light detection & ranging)
- Network advantages (Garmin, Sirius XM, Google Waymo)
The Bloomberg Trading Challenge (or, “The University Challenge”) was an eight-week trading simulation (Feb 21 – April 17) in which 265 teams, each composed of five members, from 81 schools competed for the highest absolute return on an initial notional portfolio of 10 million USD.
Contestants submitted Trade Ideas on a notional network given the following ground rules:
Buy and hold positions, only (no shorts, options, etc.)
Equities limited to companies of U.S. domicile (no ADRs)
Companies must be valued over 1b USD
Start to finish, we submitted 188 Trade Ideas under these parameters, and we landed at 13th place at the conclusion of the Challenge with an absolute return of 3.75%
Start to finish, we submitted 188 Trade Ideas under these parameters, and we landed at 13th place at the conclusion of the Challenge with an absolute return of 3.75%
Points of Inflection
03/13 Intel-MobilEye acquisition ($15.3B) $INTC, $BPMC, $NVDA
03/15 FBR rate-hike (ffr increases 0.75 to 1.0)
04/07 60-Tomahawk air strike on Shayrat air base (Syria) $RTN
04/11 FDA Approval of INGREZZA for tardive dyskinesia $NBIX
Bloomberg LP (2016). Event-Driven Feeds: Embedded Value in Bloomberg News & Social Sentiment Data. Retrieved from Bloomberg terminal. 18 January 2017.
Event-driven strategy profiles
Earnings announcements – capitalize on post-earnings announcement drift $TIF $MNST $ALB $UNH
Entry-point selection in x_days vs x_hours after IPO $SNAP $MULE $AYX
M&A pageants (consolidation in health care, autonomous vehicles, grocery/food chains) $SFM $PNRA
Graphics cards & drug development $NBIX $NVDA
Equity search & screening criteria through composite functions
$F $INTC $MBLY $DLPH $GRMN $SIRI $TSLA
Intel’s M&A parade … (details below)
August 2015: Intel acquires for $16.7 billion a company called Altera that makes a type of chip called a field programmable gate array, or FPGA. Remember FPGA and that it's different than other chips because it can be reprogrammed after it's made.
April 2016: Intel acquires Yogitech, an Italian semiconductor designer that specializes in adding safety functions to chips used in self-driving cars and other autonomous devices.
April 2016: Intel's Wind River unit, which focuses on Internet of Things software, says it has acquired Arynga, which makes software allowing cars to receive over-the-air updates.
May 2016: Intel buys Itseez, a company that specializes in machine vision technology that lets computers see and understand their surroundings. The technology is necessary for an autonomous vehicle, which needs to be able to perceive the world around it.
July 2016: BMW, Intel, and Mobileye announce they will partner to produce self-driving cars for city streets by 2021 and develop the technology as an open platform that can be used other automakers or ride-sharing companies.
September 2016: Intel acquires Moviduis, an AI startup that makes computer vision processors used in drones and virtual reality devices.
November 2016: Krzanich announces that the company's venture capital arm will invest $250 million over the next two years into autonomous vehicle technology.
November 2016: Intel reorganizes its business to create a new division dedicated to autonomous driving. The new division, called the Automated Driving Group, spun out of its Internet of Things business.
January 2017: Intel launches a Intel GO, a new brand for its software and hardware tools for the development of driverless vehicles.
Nvidia product release insults $AMD
02/28 NVDA GTX 1080Ti launch announced ($669 following Friday)
Entry-point selection x_days after post-M&A correction
Key Industry Catalyst Calendar
Stop-loss strategies to curb incidence of downside risk (3-5%)
Undersampling in Phase I outcomes***
Data includes only a handful of Phase I observations.
Drug developers submit a New Drug Application (NDA) for products following the conclusion of clinical testing.
In addition to preclinical and clinical findings, the comprehensive application includes … (details below)
• Proposed labeling
• Safety updates
• Drug abuse information
• Patent information
• Data from studies conducted outside the U.S.
• Institutional review board compliance information
• Directions for use
Upon receipt of the NDA, the review team composed of a medical officer, a statistician, a pharmacologist, a project manager, and FDA inspectors have 6-10 months to render an approval. If the review team refuses approval, the Center for Drug Evaluation and Research (CDER) may issue a Complete Response Letter (CRL) indicating that the application remains incomplete and that the drug is not ready for approval.
Full commercial efforts to begin for INGREZZA on May 1, 2017. During March of 2017, the Company published positive efficacy results from the Kinect 3 study, a Phase III trial that included moderate to severe tardive dyskinesia in patients with underlying schizophrenia, schizoaffective disorder, bipolar or major depressive disorder who underwent six weeks of placebo controlled assessment, and for a subset, an additional 42 weeks of safety assessment.
