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What's in the News? Using News Sentiment Momentum for Tactical Asset Allocation

出版	SSRN, 2019
URL	http://books.google.com.hk/books?id=azD6zgEACAAJ&hl=&source=gbs_api

註釋News and sentiment in news often influence financial markets and asset prices. While this is well-recognized by investors, only few studies have used sentiment in news to predict future developments in financial markets to formulate alpha generating strategies, let alone create a best practice approach for tactical asset allocation. In order to fill this gap, we combine company- and macro-specific news sentiment from around 100,000 news pieces per week and use the CUSUM filter method to calculate momentum in news sentiment. With this approach, we obtain a strategy that delivers solid outperformance with an Information Ratio of 0.8, while only switching as little as 8 times per year on average, making it practicable to both tactical asset allocators and investors in general.