IRP Sentiment Signal
The IRP Sentiment Signal is a daily stock-level score that aggregates sentiment from independent research providers (IRP).
The Signal derives sentiment using both structured data such as the provider’s recommendation (long or short) and the historical track record of each provider, as well as unstructured data from the text of the research recommendation itself (converted to a numerical score through natural language processing).
This signal is also available as a raw datafeed – cleansed, enriched, and including research report-level sentiment and track record features.
Discretionary institutional investors have been consuming IRP research reports for some time, either directly from the IRPs or through platforms, but until now there has not been a straightforward way for systematic investors to receive sentiment signals based on IRP content in a way that is analogous to their consumption of traditional sell side research through aggregators such as the I/B/E/S or FactSet databases.
The Signal is constructed by ExtractAlpha and covers developed Asian market equities since 2016. It is designed to be complementary to mid-frequency trading strategies, having a typical holding period of about one week. Our research finds that the top-ranked decile of stocks according to the Signal outperformed the bottom-ranked decile by 11.3% per annum in the 2016-2023 period, with a Sharpe ratio of 1.1.