Introduction We update our analysis that considers the market reaction of companies that beat and miss earnings. After showing an historically large difference during the Q3 earnings season, the market assigned a much smaller difference to companies that beat and missed earnings during the Q4 2022 earnings season. Despite this shrinkage in the difference of the returns of stocks during …

Concentrated Portfolio – 25 Top-Rated Stocks We have been writing about our stock rating system that has been live since the start of 2022. Last month, we introduced a concentrated basket of 25 of the highest rated names from the stock rating system. We noted that this concentrated basket has shown strong and consistent performance relative to the S&P 500 …

Reddit-Based Sentiment We have built a proprietary database of comments from the WallStreetBets sub-reddit extending back over two years. In this research note, we update our short-term market indicator[1] based on aggregate sentiment toward the S&P 500. The short-term market indicator proxies for retail sentiment in the market. It has shown to be an effective contra-signal over short-term holding periods. …

Factor Performance Review We track the performance of six factors (growth, quality, low-volatility, momentum, size, and value) as part of our multi-factor strategy. Over the past month, the best factor was size (small-cap stocks) as the Russell 2000 outperformed the S&P 500 index by 2.1%. The growth factor also turned in a strong month, as it outperformed by 1.4%. The …

Quantitative Stock Rating Model: Performance and Discussion Our quantitative stock rating model, launched at the beginning of 2022, uses composite factors across five dimensions (value, quality, momentum, estimates, and investment) to predict individual stock performance. The stock rating model produces a list of 100 favored investments from across the S&P 500. Fig. 1 shows the performance for each of the …

Market Valuation: Equities Remain Expensive We use a residual income model to value the market[1]. The residual income model produces an estimate for the equity risk premium, or the additional return that equity investors are compensated over the risk-free rate. Fig. 1 shows how the equity risk premium has trended over time. Since the COVID-induced equity market selloff in early …

Review and Update of Reddit-Based Sentiment Indicator We have built a proprietary database of comments from the WallStreetBets sub-reddit extending back over two years. In this research note, we update our short-term market indicator[1] based on aggregate sentiment toward the S&P 500. Our indicator is based on the overall sentiment of Reddit users toward the S&P 500, and proxies for …

Factor Performance Review We track the performance of six factors (growth, quality, low-volatility, momentum, size, and value) as part of our multi-factor strategy. Over the past month, the best factor was value, which outperformed the S&P 500 index by 3.0%. The quality, low-volatility and momentum factors also all outperformed over the past month, outperforming the index by 1.8%, 1.7% and …

Quantitative Stock Rating Model: Performance and Discussion Our quantitative stock rating model, launched at the beginning of 2022, uses composite factors across five dimensions (value, quality, momentum, estimates, and investment) to predict individual stock performance. The stock rating model produces a list of 100 favored investments from across the S&P 500. After turning in a fantastic November, the model continued …

Introduction As we wrap up 2022, we take one final look at the performance of stocks in and around earnings releases. We also examine how the environment for alpha generation has continued to become more favorable, which should benefit stock pickers into 2023. Lastly, we update our signal that extracts management sentiment from earnings call transcripts through the end of …