Stan Radchenko - Exec. Director, Equity Analytics - MSCI
| March 24, 2015
The author analyzes the efficacy of using Ravenpack News Sentiment data in explaining the cross-section of stock returns and risk.
Stan constructs several News Sentiment signals using both the level and dispersion of Sentiment scores.
His results indicate that News Sentiment factors are effective in explaining the cross-section of stock returns. News sentiment signals are orthogonal to alternative proxies for Sentiment (e.g., IBES or short interest) and other systematic equity strategy factors used in Barra equity risk models (24 factors in total). The investment horizon for using the data is relatively short because the information ratio decay in the signal is fast.
MSCI uses RavenPack News Sentiment data to enhance Sentiment signal in the short-term trading Barra risk model.
Presentation held at the RavenPack 3rd Annual Research Symposium, New York, March 24th 2015.
Please use your business email. If you don't have one, please email us at email@example.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 firstname.lastname@example.org. For more information, you can
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.