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CommentarySentimentSignalBacktest

When Sentiment Diverges From Score

Constituents where 60-day sentiment moved opposite to the underlying CIP signal — and the historical hit rate.

CIP Research Desk 2026-03-21 5 min read

Abstract

When the 60-day NLP sentiment signal moves opposite to the underlying CIP score by more than 15 points, we call it a divergence. We document the current eighteen divergences and the historical mean reversion pattern from 2019-2025.

Key Findings

  • 01Eighteen current divergences: twelve negative-sentiment / positive-score, six positive-sentiment / negative-score.
  • 02Historical hit rate: score wins 68% of episodes over a six-month horizon.
  • 03Median time-to-convergence: 84 trading days.
  • 04The asymmetry is real — negative-sentiment / positive-score episodes mean-revert faster than the inverse.

1. Defining divergence

We standardize both signals to a 0-100 scale and call a divergence when the absolute gap exceeds 15 points and the gap has persisted for at least 20 trading days. The 15-point threshold was chosen to keep the false-positive rate below 10% in our 2019-2025 backtest.

2. The asymmetry

Markets are faster to punish bad news than to reward quiet improvement. Negative-sentiment / positive-score episodes converge in a median 71 days; positive-sentiment / negative-score episodes take 96.

Implications

  • →Divergence is a signal, not a trade. Use it to prioritize which constituents to re-research, not as a stand-alone factor.
  • →We do not publish the eighteen names ahead of the next ESG Research Drop on 2026-04-15.

Methodology

  • • Sentiment: 60-day rolling NLP over filings, NGO reports, and litigation databases.
  • • Score: composite CIP, refreshed monthly.
  • • Backtest: 2019-01 to 2025-12, monthly snapshots.

Sources & References

  • CIP Sentiment Engine v2.3 (internal)
  • Refinitiv News Archive

This research note is published by the Carbon Index Protocol research desk for informational purposes only. It does not constitute investment advice, an offer to sell, or a solicitation to buy any security or carbon instrument. C100 scores and weights are derived from public filings, registry data, and proprietary models; figures may be revised as new information becomes available.