Building and analyzing factors/signals can be a daunting task if all you need is to validate your ideas or intuitions. Having managed a quant hedge...
A distinction of tech companies is that they are sources of innovation and growth. In addition, large-cap tech companies often rank among the highest quality in the market when evaluated by typical measures such as Return on Equity (ROE).
The public was introduced to Open AI's ChatGPT on November 30, 2022. It took a month for the potential of this breakthrough to electrify the performance of tech stocks. The tech sector in the S&P500, measured by the XLK ETF, dropped in December. But XLK took off at the beginning of January and returned 55% in 2023.
While Finsera provides a very powerful engine for analyzing cross-sectional investment ideas, the Finsera platform is also an extremely useful tool to analyze market trends.
Exchange traded funds have proven to be extremely popular with investors. From broad based baskets like SPY and IWM to more focused thematic investments like WCLD (cloud computing) or MJ (cannabis).
On January 30, Pensions & Investments reported that a New Hampshire House committee unanimously opposed the proposed bill to make it a felony to knowingly use ESG criteria in investing taxpayer dollars.
In his March State of the Union address, President Biden proposed raising the excise tax on stock buybacks from 1% to 4% to discourage companies from engaging in stock repurchases. On April 12, the Department of Treasury and the IRS followed up with proposed regulations on stock buybacks.
Signal/Factor development typically requires a good understanding of programming, databases, the underlying data and data structures. Finsera provides an industry-first platform that enables you to use the power of cloud computing with our low-code to no-code approach.
When building an investment strategy, the first question one needs to ask is what are the set of stocks that can be included in the portfolio...
Is there investment value in ESG? It's hard to think of a more polarizing investment topic. Regulators, investors, politicians, and academics have all weighed in. Money has been leaving sustainable funds because of disappointing returns.
Financial datasets are complex. Working with them requires advanced data engineering and processes. The amount of data is generally huge and thus...
Two notable features of the 2024 market rally were the power of momentum and the dominance of large-cap stocks. The market peaked on July 16, but momentum and size peaked a week earlier, on July 9.
The markets are frustrated, waiting for a decline in interest rates. There is now the added concern of rates going higher. In a recent note, I showed that when credit risk is tight, as it is now, FCF yield (Free Cash Flow per share divided by current share price) moves in tandem with the direction of interest rates.
The sales/employee ratio should be a good measure of employee productivity. However, it varies considerably across market sectors, much higher in capital-intensive industries such as energy and utilities and much lower in more labor-intensive sectors such as industrials and consumer discretionary.
The problem with ESG is that this label bolts together three different topics: Environmental, Social, and Governance. The ESG label was introduced and made mainstream in the 2004 United Nations Report ‘Who Cares Wins.’
Ask Chat GPT a question, and it will give you an answer. We're all familiar now with the incredible power of large language models to harvest the content on the internet to provide us with answers to complex questions. ChatGPT-4 is extraordinary for summarizing and suggesting things.
In a previous post, I showed how ESG screening substantially improved a strategy focused on profitability (long-short ROE) that was both sector-neutral and style-neutral. The main point was to reveal the true impact of ESG on equity performance by removing unintended influence.
It took eight weeks after the 9/11 attack on the US for the S&P500 to sustain its recovery to its pre-9/11 level. The rebound from its 9/21 low was substantial, returning 21% by mid-March.
The S&P500 has returned 15% through June 20, 2024. Half of the gains were achieved since early May. Momentum also has a strong 2024, but its excess return this year was achieved before early March. Since then, the power of momentum has spread throughout the market. The chart illustrates the momentum story.
Momentum was a driving force for the market in 2024 until momentum peaked on July 9. Momentum resumed its upward climb at the end of July, and the question now is whether momentum will continue to be a force, perhaps driving the market upward as it did before the summer.
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