QuantRocket Blog

Posts for alphalens

Extracting Structured Datasets for Systematic Strategies from Unstructured Textual Sources: Brain Alternative Datasets

Wed Jul 10 2024 by Francesco Cricchio and Matteo Campellone

Natural Language Processing (NLP) is a broad field that enables computers to process and analyze unstructured textual data. In this article, we present several proprietary Brain datasets derived from news articles, SEC regulatory filings, and earnings calls, along with case studies implemented in QuantRocket.

Is There Alpha in Borrow Fees?

Wed May 15 2024 by Brian Stanley

Borrow fees reflect how likely short sellers think a stock is to decline. Can this information be incorporated into trading strategies as an alpha factor? This article uses Alphalens to explore the relationship between borrow fees and forward returns and uses Moonshot and Zipline to demonstrate ways to incorporate borrow fees into long or short strategies.

Researching the Quality Factor with Alphalens and Zipline

Wed Sep 27 2023 by Brian Stanley

Buying high-quality stocks and avoiding low-quality ones can improve investment returns. In this post, I use Alphalens and Zipline to analyze the Piotroski F-Score, a composite measure of a firm's financial health and quality.

Financial Distress Factors: the Altman Z-Score and Interest Coverage Ratio

Wed Sep 06 2023 by Brian Stanley

Are rising interest rates straining balance sheets and increasing the risk of bankruptcies? This article investigates two financial distress factors, the Altman Z-Score and interest coverage ratio, to see if distress is on the rise and how it impacts stock returns.

What's Better, High Profit Margins or Improving Profit Margins?

Wed Jul 12 2023 by Brian Stanley

Should investors prefer companies with high profit margins or companies with improving profit margins? Is it better to own an unprofitable company that's getting better, or a profitable company that's getting worse? This post explores these questions by analyzing the profitability growth factor and how it interacts with the profitability and size factors to impact stock performance.

Analyzing the Profitability Factor with Alphalens

Tue Jun 27 2023 by Brian Stanley

How does a company's profitability affect its stock returns? In this post, I use Alphalens, a Python library for analyzing alpha factors, to investigate the relationship between operating margin, a profitability ratio, and future returns.