Incorporate the effect of public information into your investment decisions from the systematic analysis of 40,000 curated news and social media sources.
Every day, thousands of news stories are published on publicly listed companies.
Each one may move their stock price, but only a systematic approach can capture the sentiment momentum. RavenPack Company News Factors provide a simple,
intuitive, and robust approach to incorporate this signal into strategies and dashboards.
Company News Factors can help quantitative and discretionary investors:
Use the proven causal relationship from market sentiment to equity returns with a high-frequency, comprehensive, and up-to-date indicator to enhance stock selection.
An independent and timely signal, news enhances risk models, and news sentiment and volume metrics help forecast and explain equity volatility.
Adverse market movements in corporate bonds negatively correlate to news flows, so analyzing news volume can help investors anticipate bond liquidity risk more accurately.
While RavenPack Company Factors can be leveraged as features in a broad variety of investment strategies, the signal components have been used to harness alpha in specific contexts as demonstrated by research. Below are examples of such usage:
After-hour stock surges tend to revert during the next trading day, except when overnight gap returns are supported by new information. RavenPack Company Factors can inform your pre-open brief with news sentiment and volume that provide a tactical continuation signal to distinguish between momentum and reversal stocks.
Like any other factors, RavenPack Company News Factors can serve as an input to a trading model. The Factors prove particularly effective at ranking stocks, and research has established the relevance of sentiment even as a stand-alone factor for trading.
When trading the Value factor, you may identify a bargain stock whose price is eroded by negative news. RavenPack Company Factors can help you use sentiment and media attention to determine whether the market has fully priced the effect of negative news, or if you can expect further price erosion that improves your opening position.
If you trade on Momentum, you can optimize your profile by flattening your position when the stock is reaching the end of its run. Studies have identified that sentiment can enhance this decision-making process.
Existing factors can benefit from the addition of a sentiment overlay as a condition or a tilt. For instance you can overweight or underweight the trades of a model depending on the RavenPack Company News Factor signal.
Companies with significant short interest tend to underperform, but their tactical performance profile depends on the rationale for investors’ negative outlook on the stock. RavenPack Company Factors provide a quantitative view of media attention and sentiment that can better inform your analysis —either by attributing the short positions to investors’ interpretation of public news volume and direction, or as the result of their holding non-public information which can drive longer-term pressure on the stock.
By tracking sentiment tied to themes like earnings, analyst ratings or product and services, you gain more insights into events driving the markets and make more informed trading decisions. Not all types of events carry the same market reactions, nor do they interact in the same way with other factors. The ability to separate sentiment into themes brings more flexibility when incorporating these factors into your strategies.
Company News Factors are the outcome of a multi-step process
to turn unstructured textual content into actionable features:
RavenPack analyzes over 300 million news and social content per month from 40,000 sources to identify information relevant to publicly listed companies.
Using a powerful taxonomy, RavenPack then sorts events using categories like acquisitions & mergers, analyst ratings, assets, credit, credit ratings, dividends, earnings, equity actions, insider trading, labor issues, legal, marketing, partnerships, price targets, products services, regulatory, revenues, sanctions, stock picks, and stock price.
Both documents and events are then enriched with metadata that helps determine the relevance and novelty of the information, and can further describe its context and meaning, including sentiment scores.
Two types of factors are then constructed for each company:
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