RavenPack | September 23, 2021
Incorporating Earnings Calls transcript data increases IR to 1.4 for US Mid/Large Caps and 2.3 for Small Caps.
Every quarter, earnings calls provide investors with an opportunity to gain additional insights into company performance. The discussion of financial results between executives and investors discloses hard information that is widely used in the fundamental analysis of a company.
Incorporating Earnings Calls transcript data provides an opportunity to uncover additional alpha. We built three independent trading signals from the data, and found that:
Document Sentiment is a strong standalone signal, with Information Ratio (IR) above 1.1 for US Mid/Large Caps and upwards of 2.0 for Small Caps over holding periods of up to 1 week, or above 1.0 and 1.7 for holding periods of about 1 month.
Combined with two other signals, Event Sentiment and a Transparency Score, the IR increases to 1.4 for US Mid/Large Caps and 2.3 for Small Caps for shorter holding periods. Monthly holding period IR for U.S. Small-Caps increases to 2.0.
Combining transcripts data with RavenPack News Analytics enhances the performance of U.S. strategies across nearly all holding periods, providing a valuable addition to existing datasets.
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
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.
Your request has been recorded and a team member will be in touch soon.
Schedule a personalized trial to see how our actionable insights can boost your investment strategies.
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.