We build six traditional style factor indices and an alternative factor index using news sentiment information from RavenPack Analytics. We accomplish this with a factor mimicking portfolio optimization process that allows us to neutralise unwanted factor exposures while building a long-short...

In this paper, we use RavenPack Transcripts to build three independent trading signals originating from earnings conference calls: 1) Event Sentiment: based on key events identified throughout the call 2) Document Sentiment: using a new machine learning technique to measure the sentiment of...