This document discusses building a quantitative trading strategy on Quantopian.com to invest in companies when they appoint female CEOs. Backtests show the strategy outperformed benchmarks over various periods from 2002 to 2014, generating returns up to 275% compared to 89% for the benchmark. However, it is noted that the sample size of female CEO changes is small. Out-of-sample backtests still showed strong returns compared to benchmarks. The presenter suggests live trading the strategy but notes further refinement may be needed given concerns about benchmark selection and other factors.

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Building a Quantitative Trading
Strategy To Beat the S&P500

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Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to
provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute
an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or
strategy, nor does it constitute an offer to provide investment advisory or other services by
Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to
the suitability of any security or any specific investment. Quantopian makes no guarantees as to
accuracy or completeness of the views expressed in the website. The views are subject to change,
and may have become unreliable for various reasons, including changes in market conditions or
economic circumstances.

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@karenrubin
VP of Product, Quantopian

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As of 2013, women….

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12.9% of
top management

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12.7% of boards

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What if you invested in
female CEOs?

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Jan 02 Dec 14
Any CEOs start? —-> BUY 500 Shares
Any CEOs end? —-> SELL all
Move to next day

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511%
My Algorithm

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511%
My Algorithm
122%
SPY
389%
Difference

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Jan 02 Dec 14
Any CEOs start? —-> BUY
Any CEOs end? —-> SELL
Rebalance
Move to next day

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339%
My Algorithm
122%
SPY
217%
Difference

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339%
My Algorithm
122%
SPY
217%
Difference

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and…
Could it be…

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320%
My Algorithm
122%
SPY
197%
Difference

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What about sector bias?

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275%
My Algorithm
122%
SPY
153%
Difference
REDO GRAPH

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SPY is the wrong benchmark

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339%
My Algorithm
251%
RSP
Equal Weighted S&P500
122%
SPY

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Female CEOs
Male CEOs
The sample size is too small.

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176%
My Algorithm
Eventvestor CEO Changes
103%
My Algorithm
Fortune 1000
86%
RSP

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176%
My Algorithm
Eventvestor CEO Changes
103%
My Algorithm
Fortune 1000
86%
RSP

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In Sample Out of Sample
What does your out-of-sample look like?

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In Sample Out of Sample
What does your out-of-sample look like?

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In Sample Out of Sample
What does your out-of-sample look like?

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332%
My Algorithm
Fortune 1000
184%
RSP
130%
Difference

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Your benchmark is still wrong.

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332%
My Algorithm
Fortune 1000
299%
Q1000
17%
Difference

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Are you going to live trade this?

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229%
Female CEOs Q1000
Eventvestor CEO Changes
91%
RSP
138%
Difference

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229%
Female CEOs Q1000
Eventvestor CEO Changes
89%
RSP
151%
Female CEOs Q2000
Eventvestor CEO Changes
275%
Female CEOs Q500
Eventvestor CEO Changes

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275%
Female CEOs Q500
Eventvestor CEO Changes
46%
Male CEOs Q500
Eventvestor CEO Changes
89%
RSP

53. Recent 24 hour period of backtests. Red dots are location of people running backtests.
~75,000 registered users, ~1,000 daily active quants, 60% from outside the US.
Global Community

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quantopian.github.io/zipline/
quantopian.github.io/pyfolio/
quantopian.com/femaleCEOs
@karenrubin
karen@quantopian.com