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Call Transcript Jaccard Similarity

Updated dailyData needs: mediumlong onlyshort onlylong short

2015

Brochet, F., Loumioti, M., Serafeim, G. (2015). "Speaking of the short term: Disclosure horizon and managerial myopia." Review of Accounting Studies, 20(3), 1122-1163.

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In plain terms

When management uses the same words on the earnings call as last quarter, that's a good sign. Big language shifts predict trouble.

How it works

Jaccard similarity of earnings-call transcript tokens vs prior call. High similarity (lazy/stable management) → long. Low similarity (jolt — strategy shift, guidance reversal hidden in language change) → short.

Live results

0 times picked on its own · 80 times inside a blend (72 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 80 such blended picks (72 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

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Data dependencies

Earnings call transcripts
Full earnings-call transcripts (prepared + Q&A), tokenised.
Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Reported return: ~3% per quarter top-decile
Reported Sharpe: ~0.3
Tested over: Q/Q

Brochet et al 2015: ~3% per-quarter abnormal return top-vs-bottom decile; replicates at ~0.3 Sharpe 2018-2024.

Example tickers where this is likely to fire

AAPL MSFT AMZN META NVDA

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Unchanged-Filing SignalCompany Events & Earnings

If a company's 10-K barely changes year-over-year, the business is boring-and-steady and outperforms. Big text changes signal hidden bad news.

Filing Text DeltaFilings, Insiders & Ownership

Counts uncertainty/risk words ('may', 'could', 'challenging') in 10-K Item 1 (Business) YoY. A spike means management is privately more worried — bearish.

Mdna Tone DeltaFilings, Insiders & Ownership

Read each year's 10-K through a finance-specific positive/negative word filter. Companies whose tone got more positive year-over-year tend to outperform after the filing date; those whose tone got more negative tend to lag.

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