March 18, 2026 I heard former Goldman Sachs CEO, Lloyd Blankfein, say the following on Preet Bharara’s “Stay Tuned with Preet” podcast this last weekend: ““We’ve just gotten through a market with equities on record high levels with a very, very favorable financing environment and a lot still hasn’t been sold, really? So is it […]
Quantifying the kindling Read More »
3/12/2026 Weak January 2026 performance driven by P/E Ratio and EUB Return criteria If purchased at the closing price of 2/11/26, the average of the 11 tickers in our 2/10/2026 close-based filter returned -10.93% through the 3/12/2026 close. This compares poorly with both the SPY, with a price return of -3.74% for the same period, and
VecViz on OpenBB Filter: Feb2026 Perf/ Mar2026 Update Read More »
Considering GAF-Trained CNNs in relation to and in combination with VecViz’s Vector Model and V-Score Our thanks to Tyler (Foster) Shelbert for his contributions to this post. Convolutional Neural Networks (CNNs) can excel at time series forecasting As a form of “Deep Learning”, CNNs can automatically extract complex, non-linear features from raw data without manual
Stripes or Plaid? Or Both? Read More »
2/11/2026 Strong January 2026 performance driven by P/E Ratio and EDB Return criteria If purchased at the closing price of 1/13/261, the average of the 19 tickers in our 1/12/ 2026 close-based OpenBB filter returned +5.91% through the 2/10/26 close. This compares very favorably with both the SPY, with a price return of -0.24% for the same
VecViz on OpenBB Filter: Jan2026 review/ Feb2026 Update Read More »
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 »