Browsing All Posts filed under »portfolio pick«

Why multiply by SQRT(252) to compute the Sharpe Ratio?

September 2, 2015 by

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This question comes up every time I teach Computational Investing.  Here’s my attempt to create the best, (final?) answer to this question. Advertisements

WSJ: Algorithmic Trading: The Play-at-Home Version

August 10, 2015 by

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The Wall Street Journal interviews a student who completed my MOOC.

9 Mistakes Quants Make that Cause Backtests to Lie

April 27, 2015 by

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“I’ve never seen a bad backtest” — Dimitris Melas, head of research at MSCI.

Upcoming Courses for 2015

April 27, 2015 by

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My Optimized TIAA-CREF Portfolio

January 10, 2015 by

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Like many of my colleagues, my retirement funds are held at TIAA-CREF as part of a 403(b) plan.  My investment options there include a choice of 54 funds that include some managed by TIAA-CREF and QuestIRA.  Figuring out which funds to invest in and how much to invest in each is a complicated affair.  Here’s […]

BlackDog: A Dynamic Stock/Bond Allocation Strategy

September 12, 2014 by

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It is well known that portfolios that blend stocks and bonds perform well because their major asset classes are anti-correlated.  There are a few major weaknesses in the way these portfolios are typically managed however.  Namely that the ratio of stocks to bonds is usually fixed, and also that they don’t always use the best representatives […]

Review: TIAA Real Estate Account

July 30, 2014 by

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If you have an account with TIAA-CREF (many university and college employees do) you probably have access to the TIAA Real Estate Account (TRE*).  If you’re interested in a real estate investment, TRE is a powerful option. *Note: TRE is just my own personal abbreviation, it is not a ticker symbol. Automatic calculation of overtime, leave balance, […]