Digital Revenue Signal (DRS)
The Digital Revenue Signal (DRS), developed in conjunction with alpha-DNA, is a stock selection score designed to forecast revenue surprises ahead of the market, for public companies globally, based on changes in consumer demand estimated from their digital footprint trajectories. The algorithms underpinning DRS leverage alpha-DNA’s proprietary, near real-time, commercially available online consumer behavior data from website, search engine, and social media platforms. DRS covers developed and emerging markets in North and South America, Europe/Middle East/Africa, and Asia Pacific.
DRS compares the estimated change in demand with market expectations for revenue to determine likelihood of revenue surprises. DRS consistently predicts revenue surprises; bottom-ranked DRS stocks have beaten revenue expectations only 40-50% of the time, versus 70-80% for top-ranked DRS stocks: (data here for U.S. only)
Since going LIVE in early 2016, a simple dollar neutral DRS portfolio (long top decile / short bottom decile) has produced annualized non-compounded gross return of 16.5% and a sharpe ratio of 1.82 (20160229 – 20200930, U.S. only):