Beyond Excess Returns: How to Enhance Sentiment Strategies using MSCI Barra Risk Models
For simplicity, researchers often use excess returns when evaluating the efficacy of a trading signal. This is equivalent to assuming just a single risk factor (the market) with constant factor exposure (𝛽=1)
The Big Data & Machine Learning Revolution: Event take-aways, slides & videos
Recently, RavenPack hosted its 5th Annual Research Symposium in New York titled “The Big Data & Machine Learning Revolution”. Here are my personal take-aways.
Digging into the Latest J.P. Morgan News Sentiment Enhanced Reversal Strategies
In their most recent report, “Enhancing Reversals with News and Neutralization - With Tradable Systematic Strategies in Japan”, the quants at JP Morgan are back with a new stab at using RavenPack data to boost the performance of traditional strategies.
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