Equities
Dr. George Bonne, Executive Director, Equity Factor Research, MSCI | October 08, 2018
George presents his latest research on news sentiment signals in the framework of the MSCI Barra equity factor models. Watch the highlights below, you can request access to slides and the full video.
George evaluates factors constructed from the latest generation of RavenPack data, whereby highlighting improvements over previous versions in coverage, cross-sectional explanatory power, and factor returns. He also demonstrates how the results are robust to factor formulation, geography, and time period.
Access the underlying white paper "Hedging Sentiment Signals with MSCI Barra Risk Models"
This session was held at the RavenPack Research Symposium held in New York on September 12, 2018 .
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
We will process your personal data with the purpose of managing your personal account on RavenPack and offering our services. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability and objection by emailing us at privacy@ravenpack.com. For more information, you can check out our Privacy Policy.
Your request has been recorded and a team member will be in touch soon.
High inflation has returned in developed markets after decades of lying low. In our latest paper, we show how to build an inflation-based asset allocation strategy using sentiment data and we illustrate that sentiment-based strategies outperform models that depend merely on past observed inflation values.
This year's RavenPack Research Symposium brought two intense days of knowledge sharing in London and New York, from 25 top experts in natural language processing, quantitative investing and machine learning. Together, we explored how firms can leverage new language models to generate alpha, better manage risk and respond to calls for more sustainable investment practices.
Human capital is at the heart of value creation. Our latest research demonstrates how unprecedented workforce insights, sourced from over 200 million job postings, can generate more alpha.