karenrubin

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 tough, so we work with what we have. I've actually just gotten a dump of data from Morningstar that should allow me to expand the scope, but as with everything, there is work involved to make it usable....so stay tuned.

@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 I will keep digging. :-)

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 1.

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.

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.

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 that had female CEOs since 2002, and bought their stock when they were women-led, and sold it when they no longer were.

From an investment perspective, I think the best thing to do next would be to make sure I have the right benchmark. Ideally they Fortune 1000 would be the best one to use, but I need the historical Fortune 1000 companies for the last 12 years….that will take some manual work to pull together.

At some point, though, the control group is an academic exercise. If the strategy makes money - invest.