Blog

The Kelly criterion is used to allocate a fraction of capital to a particular investment, given a payoff amount and an estimate of success, such that the growth rate of capital is maximized.

In this post we provide a brief overview of the Sortino Ratio and its behavior using recent stock market data.

Developing a data science strategy within an organization of any size can be a major challenge. Executing on a strategy can be even more difficult, especially in larger organizations. However, if done well, a properly developed data science capability and executed strategy can materially impact an organization's ability to compete in terms of both growth and process optimization.

The old adage about investing successful investing goes, buy low, sell high. But today, with the stock market at all time highs and interest rates near historical lows, it seems challenging, if not impossible, to follow this sage advice. Therefore, I thought it would be informative to see what history can tell us about market returns when investing at all-time highs, holding for increasing periods of time, and then selling.

A brief analysis of stock returns showing that their return structure is inconsistent with the assumptions of modern portfolio theory and the capital asset pricing model.