Uncover more alpha before, during, and after earnings announcements, from the combination of 4 proven sources of market insights.
The Earnings Intelligence factor incorporates insights from Earnings News, Transcripts, Insider Transactions, and (for US companies) Earnings Dates, into a unified factor delivering a comprehensive and alternative perspective on a company’s outlook.
Discretionary and quantitative investors can use these factors to build signals that:
with a more comprehensive view that incorporates behavioral and systematic insights.
from a signal proven to enhance returns across universes at various holding periods.
By leveraging the different nature, and orthogonal value, of the various Earnings Intelligence factor families, the RavenPack Earnings Intelligence Factor provides more risk diversification and an overall more robust performance across different universes and holding periods.
The performance results of the Earnings Intelligence factor across six typical trading universes is presented below as cumulative log returns, using a fixed portfolio size, showing robust performance over time across all universes and holding periods, and minimal exposure to drawdowns during major bear market periods, such as 2008 and 2022.
Sentiment-augmented earnings, revenues, and dividends insights delivered daily from 40,000 curated news sources.
Leverage earnings facts and guidance insights to mitigate risks and capture momentum.
Sentiment analysis of the content and evolution of earnings calls for 20,000 global listed companies.
A scalable approach to extracting alpha from the sentiment analysis of earnings call transcripts.
Enhance your strategies with valuable insights derived from the analysis of stock transactions reported by company executives.
Leverage insiders' access to non-public data.
Anticipate earnings surprises and catch opportunities with the systematic daily review of a company’s investor calendar.
Leverage insights revealed by Earnings schedule changes.
The Factor is the outcome of a multi-step process including:
Individual factors from Earnings News, Transcripts, and Earnings Dates (US only) are aggregated for each company. More information on the construction of individual factors can be found on their respective documentation.
A cross-sectional daily normalization is then implemented. Finally, Insider Transactions information is integrated to adjust factors (overweight or underweight) based on the net insider transaction volume executed between consecutive earnings announcements.
By submitting this form, you agree to RavenPack's terms of service and privacy policy.
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
Your request has been transmitted. One of our team members will follow up shortly.