Uncover Alpha with Earnings Calls Transcript Data

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.

Uncover Alpha with Earnings Calls Transcript Data

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.

Watch the video summary

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.

Sharpe Ratio




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.

Ready to unlock Alpha?

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

Request Trial