Earnings Sentiment Give Investors an Edge over Consensus

Email Call back Website
Create a vendor selection project & run comparison reports
Click to express your interest in this report
Indication of coverage against your requirements
A subscription is required to activate this feature. Contact us for more info.
Celent have reviewed this profile and believe it to be accurate.
4 April 2016

In a recent study, we considered whether earnings sentiment could provide the edge that everyone so much desires.

In our latest research, we find that earnings sentiment gives investors an edge over consensus. Our new earnings sentiment indicator derived from real-time news and social media significantly outperforms consensus estimates, both in terms of Information Ratios and annualized returns.

Below is an overview of our key findings:

  • The use of earnings sentiment vs. consensus estimates yields Information Ratios of 2.55 vs. 1.36 across the Russell 1000 and 1.93 vs. 1.45 across the European equivalent portfolio
  • The outperformance by earnings sentiment is consistent across holding periods of 1 to 21 days; typically resulting in bigger portfolios at a similar turnover rate
  • Return correlation is low with 26% in the US and 12% in Europe

Access the white paper on bit.ly/1XIl2zj

sign in or register