Basics
Content Category: Factors
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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.
Data Overview
Asset Class: Public Companies
Data Frequency: Daily
Delivery Frequency: Daily
History: Data available back to 2004
Data Methodology
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.
Use Cases
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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