Xiao Li

Faculty Expertise and Achievement

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 Jan. 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 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.

Teaching Interests and Areas

• BFIN 333
• BFIN 380
• BFIN 485/585
• BFIN 602