ChatGPT in Systematic Investing -- Enhancing Risk-Adjusted Returns with LLMs
“An LLM-enhanced momentum strategy outperforms a standard long-only momentum benchmark, delivering higher Sharpe and Sortino ratios both in-sample and in a truly out-of-sample period after the model's pre-training cut-off.”
AssetEquitiesindices
StrategyNews sentimentmomentum
TechniqueLarge language model
GeographyUS
Also stated: Intraday, Sharpe ratio, Information ratio, Excess return, Long-only, Price and volume, Text and news, benchmark, out-of-sample test, costs
Missing from abstract: multiple testing, universe
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The paper's neighbourhoodNews sentiment and text signals by year
FamilyNews sentiment and text signals148Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 854
AssetEquities97
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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