RavenPack Earnings Intelligence: Benefits for European Markets

April 4, 2022

In our latest research paper, we focus specifically on European markets by sequentially overlaying three RavenPack Earnings Intelligence signals

In recent white papers from our Earnings Intelligence research series, we reviewed the alpha-generative properties of several dataset combinations over various universes and holding periods. In our latest research paper, we focus specifically on European markets by sequentially overlaying three RavenPack Earnings Intelligence signals:

❶ Sentiment from earnings-call transcripts

❷ Sentiment from earnings-related news and

❸ Net insider trading activity in between reporting periods.

Watch the Video Summary

Cumulative log-returns performance Image

Cumulative log-returns for Insider-tilted Earnings signals (Transcripts and Earnings News) for different exponential smoothing decays (leading to different effective holding periods). Results for Mid/Large-Cap (left) and Small-Cap (Right) companies in the European Market.
Source: RavenPack, March 2022

Our backtests of long-short, dollar-neutral strategies in the European Mid/Large-Cap universe show that:

  • Document Sentiment from transcripts, which aggregates a machine learning-generated sentiment measure for every sentence transcribed from the Earnings call, provides an Information Ratio of 1.0 across a wide range of effective holding periods, with Annualized Returns ranging from 7% to 3%.

  • Combining sentiment from earnings-related news with Earnings-call transcripts sentiment enhances Information Ratios and Annualized Returns up to monthly effective holding periods. For an effective holding period of ten days, a blended signal improves the Information Ratio of the earnings-news based strategy from 1.3 to 1.5.

  • Adding an insider transaction overlay to the combined earnings-call transcripts and earnings-news signals leads to a significant increase in the Information Ratios, of about 20% over effective holding periods of more than 5 days.

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.

Ready to unlock Alpha?

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

Request Trial
Earnings Intelligence series

Read More

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.