Tone Delta Industry Rank
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.
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
Strips out industry-wide sentiment and measures only how this firm's call tone differs from peers — 2× the drift of raw tone.
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.
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
See which tickers this family is currently firing on, with live signals and rankings.