Browsing All Posts filed under »research«

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 […]

How Does a State’s Party Bias Relate to Per Capita GDP?

March 26, 2016 by

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Recent data shows that there is a weak relationship between Democratic bias and higher per capita GDP.

How do stop-loss orders affect trading strategy performance?

February 10, 2016 by

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By Tucker Balch, Ph.D. and Anderson Trimm, Ph.D. “A stop order is an order placed with a broker to sell a security when it reaches a certain price. A stop-loss order is designed to limit an investor’s loss on a position in a security” —investopedia.  In this article we investigate how the addition of stop-loss orders affect […]

Could Artificial Intelligence have predicted this correction?

January 15, 2016 by

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To answer that question, we asked our Machine Learning-based forecaster what it thought would happen a month ago.

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 […]

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