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
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
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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.