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
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
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
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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.
In our latest research paper, we focus specifically on European markets by sequentially overlaying three RavenPack Earnings Intelligence signals.
We consider incorporating sentiment signals from news, earnings call transcripts, and insider transactions to
boost the risk-adjusted returns, and revive factor performance.
We find stronger, more predictable market reactions when the words of company executives agree with their actions.
We explore the combination of earnings-related news and earnings call transcripts.
Incorporating Earnings Calls transcript data increases IR to 1.4 for US Mid/Large Caps and 2.3 for Small Caps.