ExtractAlpha 2023 Retrospective

Share This Post

By Vinesh Jha, ExtractAlpha CEO and founder 

Thank you to everyone who followed our research and alternative data journey at ExtractAlpha this past year! I thought I’d take this opportunity to review what we accomplished in 2023, and provide a sneak peek into what’s in store for the Year of the Dragon.

We launched two innovative new datasets in 2023. The first is a unique sentiment score based on the research reports of independent research providers (IRPs) in Asia, aggregated by our friends at SmartKarma. We’ve found this data to be highly predictive for developed APAC names, and it provides a differentiated and less biased view from what’s available from the sell side.

The second was the global expansion of our TrueBeats EPS and revenue surprise predictions, that we released for U.S. equities a couple of years ago. As many of you know, I’ve spent much of my career analyzing earnings surprises and analyst forecasts, going back to the founding team at StarMine in 1999, and TrueBeats was the culmination of a lot of that research. We’re pleased that some of our clients have enthusiastically started incorporating TrueBeats into their investment processes across global markets.

In terms of toolkits for investors, our Estimize platform now includes a widget that fintechs, media sites, and brokerage firms can embed into their websites, delivering differentiated, crowdsourced earnings estimates and enabling those platforms’ users to contribute their forecasts from outside of our own platform. Our widgets will be launching on several platforms soon.

Quant research is the lifeblood of what we do at ExtractAlpha, and we’ve continued to innovate by coming up with new use cases for interesting datasets. We released three major research papers in 2023:

  • Using clickstream data on financial websites to identify high retail-attention names, and subsequently using retail attention to improve the performance of multiple signals, including classic anomalies like Value and Momentum. If you trade classic factors and would like to sharpen them, this research is for you
  • Using TrueBeats to tilt portfolios towards industries and countries to improve asset allocation. This work was inspired by some of the models I worked on in the late ‘90s at Salomon Smith Barney. If you take views on industries or countries, this research is for you
  • Using overlap in sell side analyst coverage to create new clusters of stocks, and then using these improved peer groupings to enhance classic technical signals such as momentum and reversal. If you run a stat arb book, this research is for you

As part of our research, we also track the performance of our datasets along multiple dimensions. We of course look at whether the signals we produce are effective in forecasting returns. By this metric, our Transcripts Model, which leverages our in-house NLP to score stocks based on the text of their earnings call transcripts, was massively successful for stock selection in 2023, generating a dollar-neutral Sharpe ratio over 3.2 before transaction costs (which are modest, given this is effectively a quarterly signal). All of our other U.S. equity signals produced incredibly positive returns as well.

We also track the accuracy of several of our datasets in predicting earnings and revenue surprise, namely Estimize, TrueBeats, and the Digital Revenue Signal, which uses consumer web activity to predict corporate revenues. We found that each of these produced accurate predictions 70 to 80% of the time, in line with historical averages. We track the hit rates live on the Estimize site. These measures give us confidence that our datasets continue to be fundamentally useful.

ExtractAlpha was also in attendance at multiple great events last year, including those hosted by Neudata, Eagle Alpha, and Battle of the Quants where I moderated data-focused panels in both London and Hong Kong. We also revamped our website. And finally, to toot our own horn, we won a couple of nice awards, including Best Alternative Data Provider to the Buy Side from WatersTechnology and Best Alternative Data Consolidator from A-Team’s TradingTech group.

Looking ahead to 2024, we are working on our product roadmap. We just announced a unique dataset offering with Japanese data. And, you’ll be seeing ExtractAlpha content in more places and consumable in more ways that will go beyond just quant trading, in particular leveraging new technologies to help discretionary managers ingest this data efficiently into their process; we believe strongly that investors of all stripes can benefit from our research. We’ll also be rolling out new signals based on some unique takes on news sentiment in multiple markets, as well as a big upcoming announcement in the ESG space.

Stay tuned and happy trading!

More To Explore

What is Market Sentiment?

Market sentiment is a term used to describe the overall attitude or mood of investors towards a particular market or asset. It refers to the

Chloe Miao

Chloe joined ExtractAlpha in 2023. Prior to joining, she was an associate director at Value Search Asia Limited. She earned her Masters of Arts in Global Communications from the Chinese University of Hong Kong.

Matija Ratkovic

Matija is a specialist in software sales and customer success, bringing experience from various industries. His career, before sales, includes tech support, software development, and managerial roles. He earned his BSc and Specialist Degree in Electrical Engineering at the University of Montenegro.

Jack Kim

Jack joined ExtractAlpha in 2022. Previously, he spent 20+ years supporting pre- and after-sales activities to drive sales in the Asia Pacific market. He has worked in many different industries including, technology, financial services, and manufacturing, where he developed excellent customer relationship management skills. He received his Bachelor of Business in Operations Management from the University of Technology Sydney.

Perry Stupp

Perry brings more than 20 years of Enterprise Software development, sales and customer engagement experience focused on Fortune 1000 customers. Prior to joining ExtractAlpha as a Technical Consultant, Perry was the founder, President and Chief Customer Officer at Solution Labs Inc. a data analytics company that specialized in the analysis of very large-scale computing infrastructures in place at some of the largest corporate data centers in the world.

Perry Stupp

Perry brings more than 20 years of Enterprise Software development, sales and customer engagement experience focused on Fortune 1000 customers. Prior to joining ExtractAlpha as a Technical Consultant, Perry was the founder, President and Chief Customer Officer at Solution Labs Inc. a data analytics company that specialized in the analysis of very large-scale computing infrastructures in place at some of the largest corporate data centers in the world.

Janette Ho

Janette has 22+ years of leadership and management experience in FinTech and analytics sales and business development in the Asia Pacific region. In addition to expertise in quantitative models, she has worked on risk management, portfolio attribution, fund accounting, and custodian services. Janette is currently head of relationship management at Moody’s Analytics in the Asia-Pacific region, and was formerly Managing Director at State Street, head of sales for APAC Asset Management at Thomson Reuters, and head of Asia for StarMine. She is also a board member at Human Financial, a FinTech firm focused on the Australian superannuation industry.

Leigh Drogen

Leigh founded Estimize in 2011. Prior to Estimize, Leigh ran Surfview Capital, a New York based quantitative investment management firm trading medium frequency momentum strategies. He was also an early member of the team at StockTwits where he worked on product and business development.  Leigh is now the CEO of StarKiller Capital, an institutional investment management firm in the digital asset space.

Andrew Barry

Andrew is the CEO of Human Financial, a technology innovator that is pioneering consumer-led solutions for the superannuation industry. Andrew was previously CEO of Alpha Beta, a global quant hedge fund business. Prior to Alpha Beta he held senior roles in a number of hedge funds globally.

Natallia Brui

Natallia has 7+ years experience as an IT professional. She currently manages our Estimize platform. Natallia earned a BS in Computer & Information Science in Baruch College and BS in Economics from BSEU in Belarus. She has a background in finance, cybersecurity and data analytics.

June Cook

June has a background in B2B sales, market research, and analytics. She has 10 years of sales experience in healthcare, private equity M&A, and the tech industry. She holds a B.B.A. from Temple University and an M.S. in Management and Leadership from Western Governors University.

Steven Barrett

Steve worked as a trader at hedge funds and prop desks in Hong Kong and London for 15+ years. He also held roles in management consultancy, internal audit and business management. He holds a BA in Business Studies from Oxford Brookes University and an MBA from Hong Kong University of Science & Technology.

Jenny Zhou, PhD

Jenny joined ExtractAlpha in 2023. Prior to that, she worked as a quantitative researcher for Chorus, a hedge fund under AXA Investment Managers. Jenny received her PhD in finance from the University of Hong Kong in 2023. Her research covers ESG, natural language processing, and market microstructure. Jenny received her Bachelor degree in Finance from The Chinese University of Hong Kong in 2019. Her research has been published in the Journal of Financial Markets.

Kristen Gavazzi

Kristen joined ExtractAlpha in 2021 as a Sales Director. As a past employee of StarMine, Kristen has extensive experience in analyst performance analytics and helped to build out the sell-side solution, StarMine Monitor. She received her BS in Business Management from Cornell University.

Triloke Rajbhandary

Triloke has 10+ years experience in designing and developing software systems in the financial services industry. He joined ExtractAlpha in 2016. Prior to that, he worked as a senior software engineer at HSBC Global Technologies. He holds a Master of Applied Science degree from Ryerson University specializing in signal processing.

Jackie Cheng, PhD

Jackie joined ExtractAlpha in 2018 as a quantitative researcher. He received his PhD in the field of optoelectronic physics from The University of Hong Kong in 2017. He published 17 journal papers and holds a US patent, and has 500 citations with an h-index of 13. Prior to joining ExtractAlpha, he worked with a Shenzhen-based CTA researching trading strategies on Chinese futures. Jackie received his Bachelor’s degree in engineering from Zhejiang University in 2013.

Yunan Liu, PhD

Yunan joined ExtractAlpha in 2019 as a quantitative researcher. Prior to that, he worked as a research analyst at ICBC, covering the macro economy and the Asian bond market. Yunan received his PhD in Economics & Finance from The University of Hong Kong in 2018. His research fields cover Empirical Asset Pricing, Mergers & Acquisitions, and Intellectual Property. His research outputs have been presented at major conferences such as AFA, FMA and FMA (Asia). Yunan received his Masters degree in Operations Research from London School of Economics in 2013 and his Bachelor degree in International Business from Nottingham University in 2012.

Willett Bird, CFA

Prior to joining ExtractAlpha in 2022, Willett was a sales director for Vidrio Financial. Willett was based in Hong Kong for nearly two decades where he oversaw FIS Global’s Asset Management and Commercial Banking efforts. Willett worked at FactSet, where he built the Asian Portfolio and Quantitative Analytics team and oversaw FactSet’s Southeast Asian operations. Willett completed his undergraduate studies at Georgetown University and finished a joint degree MBA from the Northwestern Kellogg School and the Hong Kong University of Science and Technology in 2010. Willett also holds the Chartered Financial Analyst (CFA) designation.

Julie Craig

Julie Craig is a senior marketing executive with decades of experience marketing high tech, fintech, and financial services offerings. She joined ExtractAlpha in 2022. She was formerly with AlphaSense, where she led marketing at a startup now valued at $1.7B. Prior to that, she was with Interactive Data where she led marketing initiatives and a multi-million dollar budget for an award-winning product line for individual and institutional investors.

Jeff Geisenheimer

Jeff is the CFO and COO of ExtractAlpha and directs our financial, strategic, and general management operations. He previously held the role of CFO at Estimize and two publicly traded firms, Multex and Market Guide. Jeff also served as CFO at private-equity backed companies, including Coleman Research, Ford Models, Instant Information, and Moneyline Telerate. He’s also held roles as advisor, partner, and board member at Total Reliance, CreditRiskMonitor, Mochidoki, and Resurge.

Vinesh Jha

Vinesh founded ExtractAlpha in 2013 with the mission of bringing analytical rigor to the analysis and marketing of new datasets for the capital markets. Since ExtractAlpha’s merger with Estimize in early 2021, he has served as the CEO of both entities. From 1999 to 2005, Vinesh was the Director of Quantitative Research at StarMine in San Francisco, where he developed industry leading metrics of sell side analyst performance as well as successful commercial alpha signals and products based on analyst, fundamental, and other data sources. Subsequently, he developed systematic trading strategies for proprietary trading desks at Merrill Lynch and Morgan Stanley in New York. Most recently he was Executive Director at PDT Partners, a spinoff of Morgan Stanley’s premiere quant prop trading group, where in addition to research, he also applied his experience in the communication of complex quantitative concepts to investor relations. Vinesh holds an undergraduate degree from the University of Chicago and a graduate degree from the University of Cambridge, both in mathematics.

Subscribe to the ExtractAlpha monthly newsletter