Thursday, April 24, 2014

Arialytics Paper Addresses News Analytics Signal Decay & Non-Linear Returns

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RavenPack Quantitative Research

Ravenpack has just published a white paper in collaboration with Arialytics, a company that owns and manages a predictive analytics platform, which tackles a couple of issues we run often up against with news analytics - the relatively quick decay of signal and the non-linear relationship to returns.

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We constructed long-only and long-short equity portfolios for the US market based on sector level 1-month expected returns which, in backtesting, were found to steadily outperform the S&P 500 on both an absolute and risk-adjusted basis. The expected returns were constructed using RavenPack data and matching Arialytics data - which included market-wide and sector-specific state variables, CAPM and ICAPM factors, measures of hedging demands, and priced factors that include measures of risk, liquidity and uncertainty.

Monday, April 21, 2014

US 3-Month Macro Sentiment Hits 4-Year Low; Japan Headed Lower

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RavenPack Global Macro Sentiment Review, Week Ending April 13th 2014

RavenPack’s short-term measure of global economic sentiment was around unchanged last week, unsurprisingly, given many cultures had a couple of public holidays. But longer-term sentiment for the US fell again, now to a four-year low, and Japanese short-term sentiment looks to be heading lower despite the best efforts of the BOJ’s Kuroda.

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Note: The one-month measure is an indicator of shorter-term macroeconomic sentiment and the three month measure a longer-term indicator. A score of 50 is neutral and the maximum range is 0 (most negative) to 100 (most positive).

Monday, April 14, 2014

Global Macro Sentiment Edges Up; 3-Month US Sentiment Falls to 2 ½ Year Low

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RavenPack Global Macro Sentiment Review, Week Ending April 13th 2014

RavenPack’s measure of short-term global macro sentiment edged higher last week, helped by improvements for the US, EU and UK, but there were still more negative events than positive and the longer-term average of sentiment fell. Longer-term US sentiment also fell below neutral for the first time in 2 ½ years.

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Note: The one-month measure is an indicator of shorter-term macroeconomic sentiment and the three month measure a longer-term indicator. A score of 50 is neutral and the maximum range is 0 (most negative) to 100 (most positive).

Monday, April 7, 2014

Global Macro Sentiment Reaches Nine-Month Low; US, EU Hit Hardest

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RavenPack Global Macro Sentiment Review, Week Ending April 6th 2014

RavenPack’s Global Macro short-term sentiment indicator dropped sharply last week - to its lowest for nine months - with sentiment for the US, EU, UK and Japan all falling. Macro sentiment indicators for the US and EU fell sharply to multi-month lows, so it’s perhaps no surprise markets are off to a lower start this week.

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Note: The one-month measure is an indicator of shorter-term macroeconomic sentiment and the three month measure a longer-term indicator. A score of 50 is neutral and the maximum range is 0 (most negative) to 100 (most positive).

Monday, March 31, 2014

Global Macro Sentiment Edges Higher; US 3-Month MSI Falls to 29-Month Low

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RavenPack’s Global Macro sentiment indicators edged higher last week, but not thanks to the US where the three-month sentiment indicator fell to an intraweek 29-month low. RavenPack last week detected 555 non-neutral economic and geopolitical events published by Dow Jones, of which 306 were positive and 249 negative. 

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Note: The one-month measure is an indicator of shorter-term macroeconomic sentiment and the three month measure a longer-term indicator. A score of 50 is neutral and the maximum range is 0 (most negative) to 100 (most positive).

Monday, March 24, 2014

Longer-Term Global Macro Sentiment Slumps To Six Month Low

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 RavenPack Global Macro Sentiment Review, Week Ending March 23rd 2014

RavenPack’s three-month measure of longer-term global macroeconomic sentiment fell to a six month low last week, while the one-month measure hit its lowest point since early February. This after RavenPack last week detected 587 non-neutral economic and geopolitical events published by Dow Jones, of which 241 were positive and 346 negative. US sentiment also fell sharply.

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Note: The one-month measure is an indicator of shorter-term macroeconomic sentiment and the three month measure a longer-term indicator. A score of 50 is neutral and the maximum range is 0 (most negative) to 100 (most positive).

Monday, March 17, 2014

Global Macro Sentiment Declines; Trade Balances Dominate Negative Events

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RavenPack Global Macro Sentiment Review, Week Ending March 16th 2014

Short-term global macroeconomic sentiment declined last week, with the RavenPack one-month indicator now well off last week’s three-month high. Glancing through key events, it appears much of the short-term negativity is associated with weak trade or current account balances. The Japanese central bank comments highlight this, but also present hope that these are one-off situations...

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Note: The one-month measure is an indicator of shorter-term macroeconomic sentiment and the three month measure a longer-term indicator. A score of 50 is neutral and the maximum range is 0 (most negative) to 100 (most positive).