QWAFAFEW Denver - Holiday/Networking Party
Their Sentiments Exactly: Sentiment Signal Diversity Creates Alpha Opportunity
Investors sometimes view sentiment signals as interchangeable: one indicator is the same as the next. Our research shows that this is far from the case. Join us for an intriguing discussion of sentiment signals from corporate management, analysts, and institutional investors and how these signals have historically interacted to enhance portfolio returns.
In this discussion we show that: a) sentiment-based signals from different types of market participants (management, analysts, hedge funds) have each been historically predictive; b) such signals have low correlations with each other, and c) combining sentiment indicators in a simple two-factor framework produces historically strong results. In fact, sentiment as a style of investing compares favorably to other quantitative investment styles over our test period.
Join the discussion as Richard Tortoriello, Quantamental Research at S&P Global Market Intelligence presents the following findings:
Companies where management is both positive/optimistic and fact-focused outperform historically.
Hedge fund sentiment confirms and complements management sentiment.
Market sentiment surrounding earnings calls amplifies the effectiveness of earnings transcript-based signals.
Analyst sentiment, as reflected in target price/recommendation changes, adds an important voice to ownership-based signals.
About Our Speaker
Richard is a senior quantitative analyst for S&P Global Market Intelligence, specializing in equity markets. Prior to this, Richard was the Aerospace & Defense analyst for Standard & Poors, covering General Electric, Boeing, United Technologies, Honeywell, all the major U.S. defense contractors, and a number of other aerospace-related companies.
He also authored a book on quantitative analysis: Quantitative Strategies for Achieving Alpha (2009, McGraw Hill). Richard holds a B.S. and M.S. in education from Florida State University and an M.B.A. with a concentration in corporate finance from Fairleigh Dickinson University.
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