April 5, 2024
The research incorporates news insights on 120 credit-related events, proving effective in both short and longer-term investment strategies.
RavenPack Credit News signals allow investors to draw insights from news articles related to over 120 credit-related events. The signals will soon be available as pre-built factors, while also allowing for customization to suit individual investment strategies.
The research involved credit event studies and portfolio construction across various trading scenarios. Backtesting results demonstrate the framework's versatility and effectiveness in capturing alpha:
Broad Alpha Generation: The signals capture alpha across various credit universes (U.S. Investment-Grade & High-Yield). They analyze events like analyst ratings, credit rating changes, earnings announcements, price targets, and stock price movements. This effectiveness applies to holding periods ranging from daily to monthly, while accounting for bond characteristics.
Strong Risk-Adjusted Returns: When used to trade on news around analyst rating changes, the approach achieves Information Ratios of 0.8 and 1.1 for U.S. investment-grade and high-yield universes, respectively. This holds true for a holding period of about one week with a sizable portfolio.
Complementary Alpha Sources: Different event types can generate uncorrelated alpha. The framework allows investors to combine these individual signals for a more comprehensive approach.
The research will soon be available as a family of factors, offering even more flexibility and customization for credit investment strategies.
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
By providing your personal information and submitting your details, you acknowledge that you have read, understood, and agreed to our Privacy Statement and you accept our Terms and Conditions. We will handle your personal information in compliance with our Privacy Statement. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability, and objection by emailing us at privacy@ravenpack.com in accordance with the GDPRs. You also are agreeing to receive occasional updates and communications from RavenPack about resources, events, products, or services that may be of interest to you.
Your request has been recorded and a team member will be in touch soon.
RavenPack Credit News signal provide easy access to news-based insights on 120+ credit events.