Relative Sentiment and Machine Learning for Tactical Asset Allocation
“In particular, we construct monthly relative sentiment factors for the U.S., Europe, Japan, and Asia ex-Japan by taking the difference in 6-month economic expectations between each region's institutional and individual investors.”
AssetEquitiessingle stocks
StrategyMarket timingmomentum
GeographyGlobalUS
FrequencyMonthly
Also stated: Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMarket timing and tactical asset allocation by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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