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Video: Factor Returns and Sentiment

Using Style Research and RavenPack sentiment data, Louis constructs regional factors and sentiment indices. Watch the highlights below, you can request access to slides and the full video.

Results show strong differences under periods of high and low sentiment. The design of a quarterly moving average is distinct from most findings that reveal intra-day to a few days efficacy for sentiment. In particular, a strong difference in underlying distribution of factor returns is revealed and the Sortino ratios are distinct under sentiment regimes.

This session was held at the RavenPack Research Symposium held in London on April 2018.

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