Equity Sector Rotation Scores with Sentiment-Based Earnings Growth

July 2, 2025

New research shows how sentiment signals from earnings- and assets-related news can enhance the equity sector selection across the U.S. market.

RavenPack Earnings Growth Sentiment Scores aim to exploit sector performance dispersion by reallocating capital across equity sectors. RavenPack's latest research proposes a novel input: sentiment signals derived from earnings-season news.

Using RavenPack Edge Analytics, we track and score news tied to earnings, revenues, dividends, innovation around intangibles, and organic growth events for the Top 500 U.S. equities. Each event is tagged for sentiment, novelty, and relevance, and then aggregated from company level to sector level.

flowchart of earnings and assets events leading to sector sentiment scoring

Strategy Overview:

  • Universe: Top 500 U.S. stocks, rebalanced quarterly
  • Signal: Composite sector sentiment from earnings- and assets-related events
  • Allocation: Long-only, top 4 sectors per quarter

Backtest Performance (2011–2025):

  • +300 bps annual alpha vs. market-cap-weight benchmark
  • Information Ratio: 0.85
  • Quarterly rebalancing using pre-close data
  • Drawdown control via diversified sector allocation

The approach identifies early signs of earnings strength, ahead of traditional fundamentals.

Download the Whitepaper to explore methodology, signals, and sector-level results.




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