Projects 
The more you build, the more you share, the better you get.

Welcome to the Off-Script Systems Workshop — a space to prototype and share new ideas. Feel free to contact us if you have any questions. We are happy to share (non-client) data, code, and/or discuss any of these concepts further.

Quant Equity & Analytics

A Hands-On Guide for Developing and Applying Custom ESG Metrics. The chapter presents several increasingly effective applications of NLP (including entity-recognition, topic-detection, and sentiment) in ESG, as well as novel techniques to identify cases of 'greenwashing.'

 
research NLP

Sentiment alone provides an incomplete picture of what's actually happening in corporate Conference Calls. Is management exaggerating? Are they obfuscating? Are the analysts on the call even buying it? We outline a model to 'read between the lines' of management BS.

   
research NLP

Creating company peer-groups using topic modelling / clustering on text from quarterly earnings calls and company business descriptions.

 
quant

Lightweight implementation of Brinson Attribution: understand and decompose return drivers of your portfolio into stock-selection vs. allocation, along any single or hierarchical category.

 
investment analytics

Contributing author to a collection of Artificial Intelligence (AI) case-studies in Investment Management.

 
paper AI NLP

Talk @ CFA Society of Columbus: Hands-on instruction on data sourcing, sentiment models (FinBert vs L&M Dictionary vs Naive Bayes), and contextualized performance analytics.

 
NLP training presentation

Web Scrapers

ETF holdings provide a surprisingly rich variety of base-line ingredients for most any quant-project: a universe of names (across any region or market segment), symbology (name/ticker/cusip/sedol), sector and style assignments (for basic risk control), and benchmarks for active strategies.

data-pipelines

Provides 6 years of Drucker ratings across ~800 domestic large-cap companies. The Drucker Institute brings together five dimensions of corporate performance: [1] Customer Satisfaction; [2] Employee Engagement and Development; [3] Innovation; [4] Social Responsibility' [5] Financial Strength.

data-pipelines

Scrape and structure the full history of Executive Compensation from DEF 14-A Filings in the of SEC Edgar Database. Due to changing formats and standards (especially before 2010), we apply a Random Forest Classifier to locate the compensation table amongst many other tables and exhibits contained in the same document.

 
Edgar ML CEO Comp

Collecting television show scripts (and ratings) as source data for random machine-learning and NLP projects. e.g. creating/comparing various word-embeddings across different genres.

 
odds-ends data-pipelines

Systematically identify trending alternative-data providers as well as broader shifts in the vendor landscape.

research data-pipelines

APIs & ETLs

Entity mapping is especially challenging when dealing with unstructured data. In this example, we show how to leverage Google's Programmable Search Engine to map names in the Russell 1000 to their Glassdoor URL's.

NLP API

Collecting news articles for all the companies in the R1000, for a pre-defined set of news outlets, using Diffbot's Knowledge Graph.

NLP API

Implementation and application of OpenFIGI api

symbology financial api

Download 20 years of historic (daily) prices from Alpha Vantage and calculate total returns (split-adjusted, w/ dividends reinvested) across varying frequencies (e.g. monthly). Provides optional AWS integration (S3+Athena)

data-pipelines

Consulting Projects

Connecting portfolio performance drivers to high-quality, relevant market commentary can be time-consuming and costly. Off-Script Systems collaborated with Spain Consulting, LLC to design an intelligent, automated financial research tool.

consulting fintech news search

Discerning Portfolio Managers are keen to objectively measure and understand performance drivers. Off-Script Systems joined forces with Heximer Investment Management to design and implement an institutional quality, fully customized attribution platform.

consulting performance analytics

Collaborated with Two Centuries Investments & Voya Investment Management to uncover ESG-driven Alpha through a variety of Alternative-Data sources and NLP techniques.

   
consulting ESG NLP research

Collaborated with Two Centuries Investments on unique quantitative research opportunities related to Culture and NLP, as well as comprehensive portfolio analytics reporting.

consulting research alt data analytics

Jointly developed with Cypress Capital Group: [1] a robust, multi-method web-scraping application that cleans and structures property information into analytics-ready data stores. [2] a highly customizable analytics application that identifies neighborhood/city-level market trends and buying opportunities.

consulting real-estate custom software

Teamed up with Lendonate to build an ETL (Extract, Transform, Load) of Non-Profit Financials from the IRS for every U.S. NGO from 2007 to present. Custom querying interfaces and financial strength models bring the data to life for internal executives and clients.

analytics data-pipelines