Filings, Insiders & OwnershipCore researchlive in productionNew

Transcript Peer Relative Tone

Updated dailyData needs: mediumlong onlyshort onlylong short

2022

Frankel, Jennings & Lee (2022) *RAST*: "Disclosure Sentiment: Machine

In plain terms

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

How it works

Frankel-Jennings-Lee (2022 RAST) "Disclosure Sentiment: Machine Learning vs Dictionary Methods": FinBERT-tone residualized against peers in the same industry has 2× the post-earnings drift R² of raw tone. The idea: an absolute tone of +0.2 means very different things for a defensive consumer-staples name (peer baseline ~+0.3) vs an early-stage biotech (peer baseline ~−0.1). Subtracting the peer median isolates firm-specific narrative; long when peer-relative-tone z ≥ +1, short when ≤ −1.

Live results

1 times picked on its own · 3 times inside a blend (3 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 3 such blended picks (3 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)

Loading substrate evidence…

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.

Expected edge

Tested over: 2002-2020 (Frankel-Jennings-Lee)

See the source research for the original effect size; a modern replication on new data may be weaker.

Explore Transcript Peer Relative Tone on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 571 families