The Valspresso Sentiment & Fundamental Indicators DataFeed supplies price sentiment indicators and fundamental analysis for publicly traded U.S. companies that empower clients to design and deploy persistent alpha-generating strategies. These indicators capture Valspresso’s three dimensions of analysis: sentiment that reflects the earnings projection implicit in pricing information, fundamental analysis that reflects company health and EPS momentum that assesses the quality and velocity of a company’s GAAP EPS relative to price sentiment.
Asset Class: Public Companies
Data Frequency: Daily
Delivery Frequency: Daily
History: Data available back to 2004
Valspresso performs automated analysis on companies’ financial statements filed with the SEC, along with using pricing and financial data from Edgar Online and 3-month treasury bill rates, to calculate the price sentiment and fundamental indicators. As these sources are analyzed daily, Valspresso performs a series of repair, linking and calculation processes that identify and calculate missing financial statement values, reconstruct history to represent point-in-time records, and generate indicator values. Scores are only provided for companies with at least three years of historical financial statement data.
Factor for U.S. Equity Strategies
Leverage the price sentiment and fundamental analysis indicators to create a factor used to identify undervalued stocks.
This cost-effective, patented methodology can be easily incorporated into investment strategies used by actively managed funds, including internally manged pension funds.
Valspresso’s white paper showcases how these indicators can be used to identify stocks with a pessimistic price sentiment, high fundamental health and actual GAAP earnings growth exceeding price sentiment. In doing so, the paper illustrates how holding securities in the S&P 500 that met these criteria between 2014 and 2018 yielded an average alpha of 6.7% over rolling 3-year periods relative to the S&P 500.
The details provided above are as of October 2019.
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