2/2/2026 Our thanks to Jessie Li for her assistance with key elements of the analysis discussed below. TL/DR: They do, despite the fact that volume is not a direct input to any VecViz model. More explicit consideration of volume leads to improvements in baseline VecViz analytic performance, particularly for the V-Score. Volume is a well-regarded […]
Do The Virtues of Volume Extend to VecViz? Read More »
We are always wary of the potential for decay in the performance of VecViz’s suite of machine learning-based analytics, especially since we have done zero retraining. Thus, we are somewhat surprised that 2025 was perhaps the strongest consecutive 12 months for individual metric performance.in VecViz’s nearly four year out of sample performance period, Here we
2025 VecViz Analytics Performance Review Read More »
Strong December 2025 performance driven by P/E Ratio and V-Score criteria If purchased at the closing price of 12/10/25, the average of the 19 tickers in our 12/9/ 2025 close-based OpenBB filter returned 7.43% through the 1/12/26 close. This compares favorably with both the SPY, with a price return of 1.10% for the same period,
VecViz on OpenBB Filter: Dec2025 review/ Jan2026 Update Read More »
December 2, 2025 Each month we publish a 100+ page report for each individual VecViz volatility and expected return related features so that we can readily answer any of the following common concerns about summary performance stats: Quant Feature Quant Feature Eval Criteria Common Concerns: Expected forward return 1) correlation to forward returns2) interquartile range
December 2, 2025 Regimes help model builders differentiate market behavior into more stationary (and hence predictable) groupings. Regimes are commonly defined in terms of levels or growth rates in macroeconomic variables and market indices. Research on regime based models dates back at least to 1989. Here we discuss a regime framework built around the thesis
Breaking Good: VaR & OaR Breakage Rate Regimes Read More »
December 2, 2025 Correlation measured using trailing returns is volatile and backward looking Many investors measure diversification via historic return correlation, which is itself correlated to volatility. When incorporated into portfolio risk metrics such as VaR, it can encourage selling amidst panics and buying amidst complacent booms. VecEvent based correlation is more stable and very
Quantifying Narrative Similarity with VecEvent Correlation Read More »
December 2, 2025 Correlation based on historic returns is arbitrarily calculated and ignores price context How long should the lookback window be? What periodicity of returns should be used? Such questions confront anyone using Pearson correlation of historic returns to estimate portfolio risk. Results can vary significantly depending on the choices made. What doesn’t matter
Price and Return Aware Correlation via VecViz Fingerprint Read More »
TL/DR: The last 30 and 90 days have seen a strong rebound in V-Score performance, with positive V-Scores outperforming negative V-Scores as well as the SPY and QQQ. That said, performance at the tails of the V-Score distribution (>9, <-9), continue to perform relatively inconsistently. Fortunately, such scores are quite rare. First, a refresher (or
V-Score Performance Report Highlights: 5/31/25 Update Read More »
TL/DR: Exposure weightings based upon the ratio of Vector Model based “Expected Body” metrics to corresponding Sigma implied “Expected Body” metrics, have generated positive alpha over the highly volatile prior ~90 days spanning 2/18/25 thru 5/14/25, as they have for our overall 3+ year out of sample period, before accounting for transaction costs, financing, and
Expected Body Performance Highlights: 5/15/25 Read More »
Here we take excerpts from the OaR Performance Report on our website to review breakage rates, and associated Return on Long OaR Based Capital (ROLOBC) for Vector Model and Sigma 99% OaR (Opportunity at Risk) analytics, in aggregate, across VecViz’s ~150 ticker coverage universe and at the ticker level. We focus on the last 30 days
OaR Performance Report Summary: 5/1/2025 Read More »