Browsing All Posts filed under »stock pick«

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 others that are managed by outside vendors.  Figuring out which funds to invest in and how much to invest in […]

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 […]