Fact Sheet
Transcripts Model Asia
ExtractAlpha has developed a unique sentiment signal using SCRIPTS Asia’s corporate earnings call transcripts in the Asia Pacific region, demonstrating its potential in predicting future stock returns over a relatively long horizon.
The signal is created through our proprietary sentiment classifier, which is based on Bidirectional Encoder Representations from Transformers (BERT), pre-trained with Japanese and Chinese financial corpora, i.e., FinBERT Japanese or Chinese.
We backtest our signal in Japan as well as Greater China (China, Hong Kong, and Taiwan). For Japan, a tercile long-short portfolio generates 5.4% annual returns and a 0.64 Sharpe ratio between 2019 and 2024, with low turnover. The signal has non-trivial correlation to common risk factors, but we show that alpha still remains after we remove its factor exposures. For Greater China, the tercile long-short portfolio generates 10.2% annual returns and a 1.18 Sharpe ratio between 2020 and 2024, and similarly most of the alpha is not due to factor tilts.
About the data: SCRIPTS Asia is the world’s leading provider of Asia-Pacific investor event coverage for institutional investors. Event types including earnings calls, analyst briefings, and shareholder meetings; for countries including Japan, China, Korea, Hong Kong, Taiwan, and other markets. Through close partnership with local corporations, SCRIPTS Asia has unique access to attend thousands of restricted in-person events across the region, and therefore is the only party capable of providing such event coverage. For most of the events, they can produce the full local language transcript, English translations, and event metadata, within hours of the completion of the event. Its coverage has reached 2,000+ Asia-Pacific equities, 8,000+ events, and 10,000+ transcripts through mid-2022.
