New Additions to the Factor Zoo

By Akshay Nautiyal and Ernest Chan This has been a summer of feature engineering for First, we launched the US stock cross-sectional features and the time-series market-wide features. Most recently,  we launched the features based on options activities, ETFs, futures, and macroeconomic indicators. In total, we are now offering 616 ready-made features to our subscribers. NOPE - Net options pricing effect - is a normalized measure of the net delta imbalance between the [...]

Introducing: Pre-engineered Stock Fundamental Features at is pleased to announce the launch of our new pre-engineered stock fundamental features. These features are ratios and indicators that have been constructed from the quarterly and annual financial statements of public companies. In the US, these are the 10-Q and 10-K filings to the SEC. Multiple independent studies have shown that merging fundamental and technical features can predict returns more accurately than using technical features alone. (For example, Cao and You, 2020.) [...]