Long Short Strategy with Sentiment Score Screening
By NRI | 2019 September
About Our Sentiment Score
This data quantifies the text reviews for the listed companies on one of the largest Japanese employee review website, including:
- ･ Organizational Culture Score
- ･ Work Life Balance Score
- ･ Motivation Store
Backtesting result shows significant performance of groups with higher organizational culture scores and positive changes
Using the previous year’s organization culture score and adjusted year over year changes, we build following two stock portfolios selected from Nikkei 225 and compared the performances during the certain period.
- - Stocks with low organizational culture score and negative year to year changes
- - Stocks with high scores in the previous year and positive changes.
The backtesting result shows there was a significant difference between the performances of these two groups.
If you are interested in our Sentiment Score and need further details, please contact
alternative-data-sales@nri.co.jp.