Leverage Earnings Sentiment for your Portfolio

Sentiment-augmented earnings, revenues, and dividends insights delivered daily from 40,000 curated news sources.

Earnings seasons are critical for investors, but assessing market sentiment across thousands of articles published in just a few days can be daunting. The RavenPack EI News factors streamline this analysis to help you make informed and timely investment decisions with:

Use Cases

Discretionary and quantitative investors can leverage these factors to:

A Robust Focus on Earnings

RavenPack Earnings Intelligence News factors leverage the differentiated detection of over 400 earnings-related event categories, including a complete separation of factual reporting from company guidance. Recent research has identified that factual and guidance earnings signals are only 11% correlated for US Mid/Large-Caps, and 8% for Small-Caps. Tracking their sentiment separately increases annualized revenue up to a 20-day trading horizon.

The model that computes the Factors analyzes all events in the Revenue, Earnings, and Dividends groups. A partial development of the Earnings group illustrates the breadth and specificity of coverage underpinning the indicators:

Each group similarly comprises dozens of types Each type further breaks into several event categories Revenue Earnings Dividends TYPE CATEGORY TOPIC GROUP BUSINESS Earnings Positive Earnings Positive Product Earnings Probe Earnings Probe Product Earnings Product Earnings Unchanged Earnings Unchanged Product Earnings Up Earnings Up Opinion Earnings Up Product Earnings Estimate Earnings Expectation Earnings Guidance Earnings Revision EBIT EBIT Estimate EBIT Expectation EBIT Guidance EBITA EBITA Estimate EBITA Expectations EBITA Guidance Interest Income Operating Earnings Operating Earnings Estimate Operating Earnings Expectations Operating Earnings Guidance Earnings Pre Tax Earnings Pre Tax Estimate Pre Tax Expectations Pre Tax Guidance Earnings Earnings Delayed Earnings Delayed Product Earnings Down Earnings Down Product Earnings Early Release Earnings Early Release Product Earnings Misstatement Earnings Misstatement Product Earnings Negative Earnings Negative Product

Factor Performance

The performance of the factor is documented below for each trading universe and for the various decay durations available. Performance is consistent over time across all holding periods and indicates a substantial market impact from News for short holding periods, with news exhibiting the highest performance among all individual factors, gradually tapering with the effective holding period.


Computing Earnings News Sentiment Factors

The Factors are the outcome of a multi-step process including:

Content Collection

RavenPack analyzes textual content from over 40,000 high-quality sources to identify earnings-related events. Documents considered include articles and press releases in English.

Information Extraction

Additional filters ensure the data remains focused on contemporary observations, relevant and non-neutral events.

Analytics Enrichment

For each event identified, RavenPack uses sentiment analysis to compute multiple scores by matching stories usually categorized by financial experts as having a positive or negative financial or economic impact.

Signal Construction

Sentiment scores are aggregated and smoothed over time with various decays, then presented as daily factors.

Company Factors Facts
  • Harness sentiment alpha
  • Mitigate portfolio risk
Frequency6 times daily
HistorySince 2007
Universe100,000+ Listed Companies
  • When the factor was produced.
  • The company, as name and RavenPack entity identifier.
  • Decay length of new signals, with predefined values at 1, 7, and 30 days.
  • Moving average window for the delta calculation: 90 or 180 days.
  • Sentiment score from factual news.
  • Sentiment score from guidance news.
Delivery RavenPack, Snowflake

Access the Earnings Intelligence News Factors

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