Factory Pattern to build many derived classes

I have a factory object ChallengeManager to generate instances of a Challenge object for a game I'm building. There are many challenges. The constructors for each Challenge class derivation are different, however there is a common interface among them, defined in the base class.

When I call manager.CreateChallenge(), it returns an instance of Challenge, which is one of the derived types.

Ideally, I would like to keep the code for the object construction inside the derived class itself, so all the code related to that object is co-located. Example:

class Challenge {}

class ChallengeA : Challenge {
  public static Challenge MakeChallenge() {
    return new ChallengeA();
  }
}

class ChallengeB : Challenge {
  public static Challenge MakeChallenge() {
    return new ChallengeB();
  }
}

Now, my ChallengeManager.CreateChallenge() call only needs to decide the class to call MakeChallenge() on. The implementation of the construction is contained by the class itself.

Using this paradigm, every derived class must define a static MakeChallenge() method. However, since the method is a static one, I am not able to make use of an Interface here, requiring it.

It's not a big deal, since I can easily remember to add the correct method signature to each derived class. However, I am wondering if there is a more elegant design I should consider.