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Tone Delta Industry Rank

Updated quarterlyData needs: mediumlong onlyshort onlylong short

2022

Frankel, R., Jennings, J., Lee, J. (2022). "Disclosure Sentiment: Machine Learning vs. Dictionary Methods." Review of Accounting Studies. Extends Loughran-McDonald 2011 with cross-sectional peer rank.

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In plain terms

Rank each company's earnings-call tone change against sector peers — buy the most-improved, short the most-deteriorated.

How it works

Cross-sectional rank of own FinBERT tone-delta within sector cohort (±45d) strips industry-wide tone drift. Top-decile -> LONG; bottom-decile -> SHORT 30-90d.

Live results

0 times picked on its own · 1 times inside a blend (1 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 1 such blended picks (1 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

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Transcript finbert scores
A data feed this strategy reads, refreshed on its normal schedule.
Stocks
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~3-5% L/S over 90d on top-vs-bottom decile
Tested over: T+1 to T+90d

Frankel-Jennings-Lee 2022: peer-relative FinBERT tone delta ~3-5% L/S spread over 90d on top-vs-bottom decile.

Related families

Transcript Peer Relative ToneFilings, Insiders & Ownership

Strips out industry-wide sentiment and measures only how this firm's call tone differs from peers — 2× the drift of raw tone.

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.

Transcript Tone DriftFilings, Insiders & Ownership

Measures whether management's language on the earnings call got more positive or negative quarter-over-quarter. Tone drift predicts price drift.

Explore Tone Delta Industry Rank on alphactor.ai

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