Capture more alpha with RavenPack Earnings Intelligence Factors

February 9, 2024

Distilled Earnings Intelligence from news, transcripts, insider transactions, and earnings dates. Combined, these factors can deliver IR up to 1.2 over two weeks.

RavenPack research has long identified valuable insights in targeted datasets that enhance investors’ understanding of companies’ outlook during earnings season. This wealth of market intelligence is now available as a family of factors which taps insights from news, transcripts, insider transactions and earnings dates to boost returns across universes and holding periods.

Backtested against over 15 years of point-in-time data, these factors show:

  • Robust performance across regions and market capitalization, spanning from daily to monthly effective holding periods.

  • Combining factors leads to higher Information Ratios, with the US Mid/Large-cap and US Small-cap universes showing ratios of 1.2 and 2.6, respectively, for a holding period of about two weeks.

  • Complementarity of factors: while news-driven insights offer a short-term boost, transcripts insights and other overlays develop and hold into a longer period, so that the combination of factors proves relevant for both short and longer horizons.

FIGURE: Performance comparison (Annualized Returns) for the Earnings Intelligence factor (green) and its three main constituent factors. Results across daily, weekly and monthly exponential smoothing decays, for a fixed portfolio size of 320 names for U.S. universes and 160 names for Europe and APAC. All stats represent a backtest from 2007 through 2023, except for APAC universes, where the backtest is from 2021 through 2023.

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