Want Smart Beta? Follow the Smart Money: Market and Factor Timing Using Relative Sentiment
“We propose a tactical asset allocation strategy based on the indicator and compare it to several value- and/or momentum-based alternatives — finding the proposed strategy produces higher returns (both absolute and risk-adjusted), while having considerably less time-averaged exposure to equities.”
AssetEquities
StrategyFactor investingmomentum
GeographyUS
InputsText and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
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