karenrubin

3 ms·

1.
by karenrubin 12y ago
Lack of data. If I could find the historical lists of the S&P500 including CEO gender, or the entire list of Fortune 1000 companies by year, I'd look at any of the alternatives you suggest. The reality is getting the data is pretty
2.
by karenrubin 12y ago
@murbard2 I finally got the annualized sharpe calculation figured out. You can see what I did here: 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
3.
by karenrubin 12y ago
You are absolutely right that the first version of my algo is using tons of leverage. I didn't realize what leverage was when I did this the first time. The second version of the algorithm factors in leverage and there it hovers around
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by 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.
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by 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 n
6.
by karenrubin 12y ago
I’d love suggestions about how to make this more scientific. I think the biggest potential pitfall is the variability related to the stock size. My approach is pretty simple right now. I just took all of the companies from the Fortune 1000
7.
Investing in Women-led Fortune 1000 Companies(quantopian.com)
45 points by karenrubin 12y ago|37 comments