5 ms·

Looking at your graph, it's clear that you need to adjust for volatility. Your "Women CEO" portfolio is much more volatile during that period. Compare Sharpe ra

Looking at your graph, it's clear that you need to adjust for volatility. Your "Women CEO" portfolio is much more volatile during that period. Compare Sharpe ratios, not total performance. After that, you may have to worry about dividends. I'm not sure if the platform takes them into account when you send buy sell order, but if it does, make sure you look at a portfolio that purchases SPY over that period, not merely the price, as the appreciation won't reflect the dividends paid.

thorwaaonawngo 12y ago
Also, short-term (and even long-term) capital gains from having such a high turnover in the women CEO portfolio...
- murbard2 12y ago
  If you're looking for systemic mispricing in the market, that shouldn't matter so much as there are enough tax free vehicles (such as IRAs) to smooth out these effects.
karenrubin 12y ago
The Quantopian backtester pays dividends out in cash, and since I am rebalancing the portfolio each time I buy or sell stocks, I think that is covered. Looking at the volatility is a good suggestion and definitely something to consider. I noticed the trend as well, but haven't dug into it yet.
- murbard2 12y ago
  Ok, but you're extracting the price of SPY, so you're not counting SPY's dividend. Use a portfolio that simply buys SPY at the beginning of the period and holds it. The volatility thing it the biggest effect though.
- dhammack 12y ago
  You also may want to try betting on the spread between male-only companies and ones with at least one woman on the board. If the investment thesis is sound (board gender diversity is beneficial), this would be a good way to test it. It would also bring you into market-neutral territory.
  - karenrubin 12y ago
    I wanted originally to go for board diversity, but haven't found that data set yet. I believe Morningstar has some of it, and am hoping to get my hands on it sooner rather than later.
- 3pt14159 12y ago
  I'd like to analyse the data as well. Can you open source your methods and sourced data? I'm very in favour of spreading this analysis, but I'm afraid that there might be some sort of bias going on (for example, I really want to adjust for industry, because I suspect that tech and media companies are leading this trend, while materials are not). Edit: Just saw that this is an interactive notebook! Awesome! Going through it now. Edit2: It looks like you've already done what I planned to do! Awesome work!
karenrubin 12y ago
@murbard2 I finally got the annualized sharpe calculation figured out. You can see what I did here: http://imgur.com/HlcjNYz http://imgur.com/HlcjNYz but it shows my sharpe as 0.66 and the SPY as 0.3.... Honestly, this seems implausible to me...so I will keep digging. :-)

thorwaaonawngo 12y ago

Also, short-term (and even long-term) capital gains from having such a high turnover in the women CEO portfolio...

murbard2 12y ago
If you're looking for systemic mispricing in the market, that shouldn't matter so much as there are enough tax free vehicles (such as IRAs) to smooth out these effects.

karenrubin 12y ago

The Quantopian backtester pays dividends out in cash, and since I am rebalancing the portfolio each time I buy or sell stocks, I think that is covered. Looking at the volatility is a good suggestion and definitely something to consider. I noticed the trend as well, but haven't dug into it yet.

murbard2 12y ago
Ok, but you're extracting the price of SPY, so you're not counting SPY's dividend. Use a portfolio that simply buys SPY at the beginning of the period and holds it. The volatility thing it the biggest effect though.
dhammack 12y ago
You also may want to try betting on the spread between male-only companies and ones with at least one woman on the board. If the investment thesis is sound (board gender diversity is beneficial), this would be a good way to test it. It would also bring you into market-neutral territory.
- karenrubin 12y ago
  I wanted originally to go for board diversity, but haven't found that data set yet. I believe Morningstar has some of it, and am hoping to get my hands on it sooner rather than later.
3pt14159 12y ago
I'd like to analyse the data as well. Can you open source your methods and sourced data? I'm very in favour of spreading this analysis, but I'm afraid that there might be some sort of bias going on (for example, I really want to adjust for industry, because I suspect that tech and media companies are leading this trend, while materials are not). Edit: Just saw that this is an interactive notebook! Awesome! Going through it now. Edit2: It looks like you've already done what I planned to do! Awesome work!

karenrubin 12y ago

@murbard2 I finally got the annualized sharpe calculation figured out. You can see what I did here: http://imgur.com/HlcjNYz http://imgur.com/HlcjNYz but it shows my sharpe as 0.66 and the SPY as 0.3.... Honestly, this seems implausible to me...so I will keep digging. :-)