ExtractAlpha, a provider of alpha-generating datasets for institutional investors, has launched Toyo Keizai Japanese Data, a proprietary offering built on over two decades of independent equity research from Japanese financial publisher, Toyo Keizai.
This new dataset aims to provide quant analysts, and hedge fund professionals with an edge in the Japanese equity market through point-in-time earnings forecasts, strategic outlook commentary, and timely flash reports covering the mid- and small-cap names often overlooked by traditional sell side coverage.
The Toyo Keizai Japanese Data enables investors to construct systematic strategies leveraging: earnings estimates – daily uploaded, point-in-time net profit, EPS, sales and DPS forecasts; Shikiho outlook reports – in-depth strategic commentary from analysts evaluating growth drivers and long-term performance potential; and Shikiho flash reports – immediate analyst reactions to corporate events, earnings surprises, and forecast changes.
Backtested from 2002 to 2024, a simple net profit revision signal derived from the dataset yields an average annual return of 30.6% with a Sharpe ratio of 3.27.
