From Earnings News to Earnings Intelligence: Combining News and Earnings-call Transcripts

November 19, 2021

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.

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.

Watch the video summary

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.

Earnings Intelligence wp




We will process your personal data with the purpose of managing your personal account on RavenPack and offering our services. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability and objection by emailing us at privacy@ravenpack.com. For more information, you can check out our Privacy Policy.

Ready to unlock Alpha?

Schedule a personalized trial to see how our actionable insights can boost your investment strategies.

Request Trial