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

September 2, 2015
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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.

Update on the MOOC “Machine Learning for Trading”

August 11, 2015
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If you want to be sure to be notified about enrollment opportunities, please sign up to “follow” my blog and look for more updates.

Posted in: academic research, MOOCs

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

August 10, 2015
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wsj

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

Public University Ranking

July 30, 2015
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TechTowerSign

Based on careful review of multiple factors, we are pleased to release the following ranking of public universities:

Posted in: Uncategorized

9 Mistakes Quants Make that Cause Backtests to Lie

April 27, 2015
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What really happened: If, instead we use the members of the S&P 500 starting in 2008, we find that more than 10% of the listed companies failed.

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

Upcoming Courses for 2015

April 27, 2015
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course-image

My Optimized TIAA-CREF Portfolio

January 10, 2015
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TIAA-CREF

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 […]