Research: Dynamic Earnings Call Strategies

RESEARCH

This research paper shows how to implement a Dynamic Earnings Call Strategy to account for market rotation and high volatility and outperform the market by building detailed and thematic company views that go beyond what any single analyst or team can do alone.

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Capture Alpha in Volatile Markets

RESEARCH

This research looks at News Sentiment as a tool to capture Alpha in volatile markets. We review several market disruptions over the past 20 years and the Alpha generated: Tech Bust in 2000 (+72%), the Financial Crisis of 2008 (+74.1%), COVID in March 2020 (+23.3%), 2022 YTD Inflation / War in Ukraine (+33.3%). 

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Regression Based Alpha Strategies Using Sentiment

RESEARCH

This research paper shows how to build regression based Alpha strategies using news sentiment that can outperform the market, limit drawdowns, and perform particularly well in volatile and down markets.

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Reddit Research Highlights - 93% Return; 1.5 Sharpe Ratio

RESEARCH

Alexandria’s Reddit sentiment produced a long/short portfolio returning over 90% with a 1.5 Sharpe ratio.

Request Reddit Research Highlights Here

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Podcast - Natural Language Processing (NLP) in the investment process

RESEARCH

CFA Society Chicago member Rich Excell, CFA, and Dan Joldzic, CFA, FRM, CEO and Quantitative Researcher at Alexandria Technology, discuss the role that Natural Language Processing (NLP) plays in the investing process.

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Using NLP News Signals to Forecast Volatility and Generate Positive Returns

RESEARCH

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Comparing Natural Language Processing (NLP) Approaches for Earnings Calls

RESEARCH

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Sentiment Signals Improve Value & Growth Strategies

RESEARCH

New research from Societe Generale shows that adding sentiment signals to Value & Growth strategies improves portfolio characteristics and significantly increases returns.

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Inflation & Supply Chain Impact on Company Earnings

RESEARCH

This research looks at Inflation & Supply Chain data for every earnings call in the S&P 500 and its impact on company earnings and stock price performance. 

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Natural Language Processing in a Big Data World

RESEARCH

CFA Institute

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Alexandria Technology Selected by FactSet for Earnings Call Search Capabilities

RESEARCH

Alexandria Technology, the leading Natural Language Processing (NLP) technology for the investment industry, today announced it is working with FactSet, a global provider of integrated financial information, analytical applications, and industry-leading service, to bring corporate Earnings Call Sentiment analysis to FactSet users.

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SOCIETE GENERALE: OUTSOURCE CALLS TO A MACHINE

RESEARCH

Societe Generale finds Alexandria Earnings Calls NLP to be stronger than traditional quantitative factors with significant residual.

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Comparative Analysis of NLP Approaches for Earnings Calls

RESEARCH

This research paper compares popular NLP approaches in the investment industry: Machine Learning, FinBERT, Loughran McDonald. Download the white paper to explore the nuances of each approach and get performance and correlations of each for the past 10 years. Additionally, see how these have performed historically vs. traditional investment factors (Value, Profitability, Quality, Momentum and Growth).

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Top 10 Best & Worst News Stocks — Weekly Research Insights

RESEARCH

Alexandria Technology analyzes the world's financial text at big data scale.  Each week, we look across our global universe of coverage and share with you a snapshot of our sentiment analysis highlights.  Click here for our Top 10 US large cap stocks with the Most / Best / Worst news as well as economic and sector data. 

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J.P. Morgan: Social Media Sentiment

RESEARCH

J.P. Morgan finds value in Alexandria Chat Room sentiment over daily and weekly horizons. All performance metrics improved including returns, Sharpe ratio, drawdowns, and Skew.

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Sentiment Applied to Multi-Factor Models

RESEARCH

Monthly sentiment can be included as a factor within a multi-factor model to increase returns. It can also be used as a qualitative screen to time purchases and sales, improving portfolio returns and reducing risk.

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Empirical Research Partners: Robot Newsreaders

RESEARCH

Computing net sentiment for economic topics helps investors see what is directly driving episodes of panic or euphoria, allowing them to position their portfolios over 12-month horizons.

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Risk Systems That Read

RESEARCH

Northfield measures how the present is different from the past and, therefore, how the near future is also likely to be different from the past — something missing from nearly all financial models.

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Maximizing Returns with Alexandria Event Tags

RESEARCH

Alexandria’s NLP engine identifies events within news. Identifying these events improves the return profiles for news-based strategies for one-month and three-month intervals.

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Sentiment vs. Momentum: A Comparative Factor Analysis

RESEARCH

Sentiment outperforms 9-month Momentum, when Alexandria sentiment from Dow Jones news articles is aggregated to create net sentiment metrics for a universe of stocks.

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