Earnings Intelligence: Combining News and Earnings-call Transcripts

November 17, 2021

In recent research (Hafez 2021), we introduced our Transcripts product and demonstrated how trading signals generated from earnings call transcripts can be used to construct portfolios that outperform the market across trading horizons ranging from days to a month.

In this white paper, we take a deeper dive into the earnings intelligence provided by RavenPack as we explore the combination of earnings-related news and earnings call transcripts. We find that:

  • When focusing on earnings-related news, signals based on quarterly sentiment change provide more long-term value than raw sentiment. For U.S. Mid/Large-Cap companies, the Information Ratio improves from 0.4 to 1.2 for a two-week holding period, while for U.S. Small-Caps, the Information Ratio increases from 0.5 to 1.9 at a monthly horizon.

  • Earnings news and earnings call transcript signals complement each other and the combination outperforms the individual signals for up to three week holding periods for U.S. Mid/Large-Caps and for up to one month for Small-Caps.

  • For an effective holding period of 10 days, the Information Ratio of the combined strategy rises from 1.2 to 1.4 for US Mid/Large-Caps, and from 2.6 to 3.0 for Small-Caps.

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RavenPack Earning Intelligence

RavenPack Earnings Intelligence combines signals from separate sources augmented with sentiment and thematic analytics for a powerful alternative that removes the limits of isolated vendor data.

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RavenPack is the leading data analytics provider for financial services. The company's clients include the most successful hedge funds, banks, and asset managers in the world.

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