Tuesday, October 28, 2014

Sentiment Abnormality Indicators Improve Returns, Lower Drawdowns on Index Trading

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We are often asked how to aggregate RavenPack data at a country level for macro strategies - like trading indices. My latest research tackles this problem and the results are excellent on the S&P 500.



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Specifically, in my testing dating back to September 2007, I was able to produce news-based strategies that had Information Ratios (IRs) of 1.45 versus a buy-and-hold S&P 500 strategy IR of 0.23 and a pure return-driven model IR of 0.73. I was also able to reduce maximum drawdowns in news-based models by over 70% compared to a buy & hold strategy.

Monday, October 27, 2014

RavenPack Weekly Global Macro Sentiment Indicators

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RavenPack Weekly Macro Sentiment Indicators

Here are last week´s (ending October 26th 2014) values of RavenPack's Macro Sentiment Indicators (MSI). They are aggregates of RavenPack News Analytics (RPNA) data giving a proxy for the strength of the world's major economies based on news sentiment. The MSIs are used by systematic and discretionary investors as a directional signal.

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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).
RavenPack Global Macro Sentiment Indicators, top 8 regions, Week Ending October 26th 2014

Click on any of the following regions to see its sentiment chart:
Note: you may use zoom options & range selector slider available on each chart for convenience

Monday, October 20, 2014

RavenPack Weekly Global Macro Sentiment Indicators

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RavenPack Weekly Macro Sentiment Indicators

Here are last week´s (ending October 19th 2014) values of RavenPack's Macro Sentiment Indicators (MSI). They are aggregates of RavenPack News Analytics (RPNA) data giving a proxy for the strength of the world's major economies based on news sentiment. The MSIs are used by systematic and discretionary investors as a directional signal.

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Request a copy of the research behind these indicators.

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).
RavenPack Global Macro Sentiment Indicators, top 8 regions, Week Ending October 19th 2014

Click on any of the following regions to see its sentiment chart:
Note: you may use zoom options & range selector slider available on each chart for convenience

Tuesday, October 14, 2014

Global Macro Sentiment Plumbs 3-Year Low; Eurozone and UK Particularly Weak

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RavenPack Weekly Macro Sentiment Indicators

Global macroeconomic sentiment reached a three-year low at the end of last week, when measured over a three-month horizon, according to RavenPack's data. The UK and Eurozone were particularly poor performers, where sentiment is the lowest it has been for a year. 

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RavenPack's Macro Sentiment Indicators (MSI) are aggregates of RavenPack News Analytics (RPNA) data giving a proxy for the strength of the world's major economies based on news sentiment. The MSIs are used by systematic and discretionary investors as a directional signal.

Request a copy of the research behind these indicators.
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).
RavenPack Global Macro Sentiment Indicators, top 8 regions, Week Ending October 12th 2014

Click on any of the following regions to see its sentiment chart:
Note: you may use zoom options & range selector slider available on each chart for convenience

Friday, October 10, 2014

Which Media Sources Really Move the Market?

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Which Media Sources Really Move the Market

There are so many reasons why we would want an answer to this question. Which publications should investors read? Where should a PR firm send press releases? How much is a publication worth? Are all "column inches" equal? And for systematic news analytics models, should certain publications be over or underweighted?

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Technically, whoever got the scoop moved the market. So the most scoops wins, right? Or is it that certain publications move markets regardless of scoops. I suspect the latter - but it's a moot point because we still want to know which the most influential publications are.

Monday, October 6, 2014

RavenPack Weekly Global Macro Sentiment Indicators

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RavenPack Weekly Macro Sentiment Indicators

Here are last week´s (ending October 5th 2014) values of RavenPack's Macro Sentiment Indicators (MSI). They are aggregates of RavenPack News Analytics (RPNA) data giving a proxy for the strength of the world's major economies based on news sentiment. The MSIs are used by systematic and discretionary investors as a directional signal.

Bookmark and Share
Request a copy of the research behind these indicators.

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).
RavenPack Global Macro Sentiment Indicators, top 8 regions, Week Ending October 5th 2014

Click on any of the following regions to see its sentiment chart:
Note: you may use zoom options & range selector slider available on each chart for convenience

Tuesday, September 30, 2014

RavenPack Weekly Global Macro Sentiment Indicators

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RavenPack Weekly Macro Sentiment Indicators

Here are last week´s (ending September 28th 2014) values of RavenPack's Macro Sentiment Indicators (MSI). They are aggregates of RavenPack News Analytics (RPNA) data giving a proxy for the strength of the world's major economies based on news sentiment. The MSIs are used by systematic and discretionary investors as a directional signal.

Bookmark and Share
Request a copy of the research behind these indicators.

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).
RavenPack Global Macro Sentiment Indicators, top 8 regions, Week Ending September 28th 2014

Click on any of the following regions to see its sentiment chart:
Note: you may use zoom options & range selector slider available on each chart for convenience