Xiao Li
Assistant Professor, Finance
Massry School of Business
Education
PhD, Asset Pricing, University of Arizona, 2019
About
Trading strategy developing. I have been running a set of strategies beginning July 15th, 2022, using real money in a small account (most recent account balance: $180,111.43). For the 80 weeks ending on, January 26th, 2024, my strategy achieved a cumulative return of 61.59% with a Sharpe ratio of 3.7. For the same 80 weeks, the cumulative return achieved by the five most popular benchmarks are 33.68% (NASDAQ), 25.93% (SP500), 21.07% (DOW), 13.41% (Russell 1000) and 25.96% (Russell 2000). None of the benchmarks observe a Sharpe ratio greater than 1.0.
Research
Research Interests
- Incorporating option information into stock portfolio using machine learning methods
- Identifying geopolitical uncertainty’s effect on corporate M&A
- Testing whether bond mutual fund managers successfully predict negative earnings surprises
- Developing alpha strategies and actively apply the strategies with real money
Instruction & Advising
Courses
- BFIN 333
- BFIN 380
- BFIN 485/585
- BFIN 602