Exhibitor News

Subpage Hero

Subpage Hero

      

17 Nov 2020

News Sentiment as a Factor For Enhancing Quantitative Investment Strategies for Asia Pacific Stocks

RavenPack International SL Stand: .
News Sentiment as a Factor For Enhancing Quantitative Investment Strategies for Asia Pacific Stocks

Whether news sentiment - aggregated from online news stories and social media posts - could enhance a traditional multi-factor Asia Pacific (APAC) equities portfolio quantitative investment strategy (QIS), was the subject of this White Paper.

Researchers began by constructing a News Sentiment Index to analyze the effectiveness of sentiment on its own; in step 2 they would seek to test how well it performed as an overlay to a traditional factor QIS.

The Index used sentiment measured over a variety of smoothing periods, ranging from 1 week to 90 days (3 months) to analyze the impact of both short-term and longer-term sentiment.

Differing portfolio rebalancing periods were also experimented with from daily to monthly.

The Sentiment Index’s signals were then applied to a long-short, market, and factor neutralized APAC equities portfolio.

The results were overall promising. The index smoothed over a 90-day period, with monthly rebalancing, delivered an IR above 0.7 and an Annualized Return above 400bps for an AUM of $1B, with an Annualized Turnover under 1500%.

As an Overlay to a Traditional Multifactor Strategy

Next, researchers wanted to see whether the signals derived from sentiment could enhance a multi-factor QIS and if so by how much?

The traditional multi-factor framework for Asian markets consisted of Momentum, Low Size, Low Volatility, Growth, Value, and Quality factors.

An analysis using MSCI’s GEM3 model factor exposures framework suggested sentiment was fairly uncorrelated to other factors, “especially over the short aggregation windows, which correspond to the fastest signals.” According to Peter Hafez, Chief Data Scientist at RavenPack. This held out the promise sentiment could add value.

With the addition of sentiment, multi-factor models showed consistent improvement. As an overlay to a $1B AUM strategy, sentiment increased the IR by 64%, from 0.45 to 0.74, and the Annualized Return by 35%, from 167bps to 225bps. A further advantage of the multi-factor approach was the lighter turnover and slightly larger portfolio sizes.

Request the whitepaper at ravenpack.com/insights/research

View all Exhibitor News
Loading

Sponsors

Platinum Sponsor

  • IBM

Theatre Sponsors

  • Datastax
  • Intersystems
  • Aerospike
  • Denodo

 

Gold Sponsor

  • Acquia
  • ataccama
  • Denodo

Gold Sponsors

  • Aerospike
  • Snowflake
  • WhereScape
  • mparticle
  • Tealium

Silver Sponsors

  • Billigence
  • Coursera
  • Confluent
  • Collibra
  • DataIku
  • Intersystems

Silver Sponsors

  • FanRuan
  • Imply
  • Sisense
  • SNP
  • Srijan
  • TigerGraph
  • Zoho

Silver Sponsors

  • Vertica
  • Singlestore
  • Crayon
  • Fusionex
  • EnterpriseDB

Silver Sponsors

  • Meiro
  • PartityBit
  • SingleStore
  • Transwarp
  • Tripleblind

Bronze Sponsors

  • Equilibrium
  • Happymeter
  • H2O
  • Lynx Analytics

Bronze Sponsors

  • Fivetran
  • Hazelcast
  • Opsolutions
  • Ravenpack
  • Sqream
  • 9x5 Consulting

Bronze Sponsors

  • Opentext
  • Payoda
  • ProvaLabs
  • Search Guard
  • Seoul-Techno-Holdings

Bronze Sponsors

  • Sofit
  • Theobald

Exhibitors

  • BeyondSoft

Partners

Knowledge Partner

  • BISCI
  • BICSI

News Distribution Partner

  • ACN Newswire

Associate Content Partner

  • Uptime Institute

Strategic SEO Partner

  • AdVantage

Training and Education Partner

  • DBL

Strategic Event Partner

  • Frost & Sullivan

She Loves Data Live! Partners

  • She Loves Data Live
  • Coding girls
  • Codette Project
  • DBL

She Loves Data Live! Partners

  • DBS
  • Female Fouders
  • Facebook
  • General Assembly

She Loves Data Live! Partners

  • Grab
  • JetBrains
  • Girls in Tech
  • Meiro

She Loves Data Live! Partners

  • Minerra
  • Oracle
  • Tech Ladies
  • Yellowfin
  • VISA

Event Partners

  • AiSP
  • ARC Advisory
  • Asia Cloud Computing Association (ACCA)
  • Asosiasi Cloud Computing Indonesia
  • Singapore Chamber of E-Commerce
  • Fintech Association of Hong Kong
  • Accelerating Asia

Event Partners

  • Best Practice of eCommerce
  • BigDataX
  • CMO Council
  • CSCIS
  • European Data Centre Association
  • Co Creation Lab
  • GS1

Event Partners

  • Practical DevSecOps
  • Digital Advertising Association Thailand (DAAT)
  • DevOps Institute
  • Forrester
  • Michael Page
  • ISACA
  • CHIME

Event Partners

  • IASA
  • IPI Singapore
  • itSMF
  • IFMA Singapore
  • Open Connectivity Foundation
  • La French Tech

Event Partners

  • KinerjaBisa
  • Logistics & Supply Chain Management Society
  • NexChange
  • SG Tech
  • DBS
  • Plug And Play

Event Partners

  • Singapore Cyber Security Consortium (SGCSC)
  • Structure Research
  • General Assembly
  • VISA
  • Smart Asia India
  • ASME

Event Partners

  • Agorize
  • CDPI
  • SheLovesData
  • RavitShow
  • CocrreationLabs
  • Goodbards

Media Partners

  • APSM ASEAN
  • Asia Blockchain Review
  • Australian Cybersecurity Magazine
  • Australian Security Magazine
  • Asia Research News
  • Cybersec Asia

Media Partners

  • BizClik Media
  • Chief IT
  • CIO Advisor APAC
  • Cross Border Magazine
  • Disruptive Tech Asean
  • Digicon Asia

Media Partners

  • CryptoNewsZ
  • Computer Weekly
  • Cyber Security ASEAN
  • Data Storage ASEAN
  • European Data Centre Association
  • Frontier Enterprise

Media Partners

  • e27
  • Fintech Finance
  • Gigabit
  • Jumpstart Media
  • AI Time Journal
  • GovTech SEA

Media Partners

  • My Security Media
  • Retail CIO Outlook
  • Supply Chain Brain
  • Supply Chain Digital
  • Asia Content News
  • Enterprise Security Magazine

Media Partners

  • Tech Wire Asia
  • TechTarget
  • Telecom Era
  • Wire 19
  • CMO Asia
  • FutureCFO

Media Partners

  • ACN Newswire
  • 万瑞布线网
  • FutureIoT
  • Marketing Ops
  • Payment & Cards Network
  • APAC CIO Outlook
  • FutureCIO
  • Escomedia

Official Partner Hotel

  • Marina Bay Sands

Held In

  • SG

Supported By

  • SG