Congratulations to the Wharton West EMBA students who recently won the CFA Society of San Francisco’s first Bay Area MBA Portfolio Challenge! Competing teams traded and tracked a $1-million portfolio using the “Stock-Trak” virtual brokerage investment simulation platform. Investments were limited to U.S. traded equities, and the winning team was determined who had the highest Sharpe ratio at the end of the contest ran, which ran from February through May.
Wharton West’s team, whose faculty sponsor was Professor Simon Benninga, had a Sharpe ratio of 6.3 and an overall portfolio return of 29.4 percent over the time of the contest. The team – including Prasad Alluri, Chir Nam, Georgios Asmanis, Kevin Chen, and Shane Li, all WG’08 – made over 100 trades. Its two largest positions and gains were in two ETF’s – Market Vectors – Steel ("SLX") and IShares MSCI Emerging Markets Index Fund ("EEM").
The word on the street is that Wharton’s winning team held a bit of a lead on both returns and Sharpe ratio throughout the competition. In all, 18 teams competed in the challenge, representing eight different MBA programs in the San Francisco Bay Area. Second place went to a team from the Haas School at the University of California, which had a 3.5 Sharpe ratio and an overall return of 25.1 percent.
In case you aren’t familiar with it, the CFA Society of San Francisco has been around for quite a while. It began in 1929 when 20 financial statisticians in San Francisco organized a professional society for the purposes of friendship among colleagues and to share information about companies. CFA Society of San Francisco (CFASF) is today’s version of that society and currently has over 2,800 members, including investment professionals at Bay Area banks, insurance companies, investment counselors, brokers, public agencies, universities and corporations.
Look at Wharton’s curriculum structure to find out how you could be prepared to win.