The IRP Sentiment Signal Produces Alpha
For the first time, receive IRP report sentiment signals in an analogous way to your consumption of sell side sentiment aggregators.
This signal provides you with:
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A measurement of sentiment using bullish/bearish tags AND proprietary NLP of the report text
- An intelligent signal that assigns more weight to insights from providers with stronger track records
- Uncorrelated alpha in a dollar-neutral setting for developed Asian market stocks
The IRP Sentiment Signal was developed by ExtractAlpha using the most useful IRP content from the best providers: Smartkarma’s network of IRP research.
A decile dollar-neutral long-short strategy can produce an average annual return of 16.2% with a Sharpe ratio of 1.44 for Japan.
ExtractAlpha is an independent research firm dedicated to providing unique, curated, actionable data sets to institutional investors. ExtractAlpha applies their extensive experience in quantitative analysis and the design of investment analytics products to interesting new datasets and tools. Our rigorously built quantitative models are designed for institutional investors to gain a measurable edge over their competitors.
ExtractAlpha was founded in 2013 by Vinesh Jha, the quantitative lead who helped found and develop StarMine, former prop trader at Merrill Lynch and Morgan Stanley, former executive director at Morgan Stanley PDT, patent holder, and published author in quantitative finance.
Data provided by Smartkarma, Asia’s largest independent network of investment research providers with a growing community of over 200 researchers. Participants are seasoned experts from a variety of domains who are carefully vetted and selected to publish unbiased insights. These experts are a mix of large independent research house analysts, boutique research operation founders, as well as individual analysts, data scientists, consultants, and academics.
“ExtractAlpha has been an invaluable resource in all facets of the research and development of our quantitative strategies, from expanding our suite of alphas, to broadening our capabilities in risk modeling and backtesting as well.”
- Senior Quantitative Researcher, top 5 hedge fund
“ExtractAlpha offers a great product suite. The fact that you can trust their research and easily recreate it lends itself nicely to practitioners. Add to the fact that Vinesh makes himself available to walk you through the research and provide guidance on implementation is what sets him and his company apart."
- Portfolio Manager at top 5 U.S. hedge fund
"With every new research product, ExtractAlpha can be counted on to provide new, differentiated, usable alpha. Can't wait to see what comes next."
- CIO, quant hedge fund, New York
Why ExtractAlpha?
We source, evaluate, clean, analyze and productize datasets for you.
What You Get
You’ll receive institutional grade data feeds and predictive models.
How It Works
Research, white papers, and backtesting provided with trial.