Browsing All Posts filed under »portfolio pick«

My Optimized TIAA-CREF Portfolio: How It’s Going

July 20, 2018 by

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At the beginning of 2015 I analyzed my retirement portfolio at TIAA-CREF and set allocations using a portfolio optimizer. It is time to check in on that portfolio to see how it is going…

The Generation Z Portfolio is Blowing the Doors Off the Market

July 18, 2018 by

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In January 2015 my wife and I decided to set up investment accounts for our school-aged children.  Each semester they are provided a reward for good grades, half of which they must invest in the market.  Our expectations were modest: We hoped that they’d learn about the value of investing in and holding stocks and […]

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.

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.

Leverage: An Example Use with a Low Volatility ETF

May 5, 2013 by

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Some people view “leverage” as a four letter word, especially since the market collapse in 2008/2009. But leverage, when used properly can be sensible. Here’s an example use.