Topicality sentiment data proves to be an alternative to the Fama-French model for determining outsized returns, according to latest research from Acuity Analytics
LONDON, July 20, 2021 / PRNewswire / – In its latest quantitative research released today, Acuity Analytics shares its recent findings on the use of a macroeconomic factor model for stock returns using current sentiment data.
The report titled “News Sentiment Factor Models for Asset Returns” compares the use of factor models to estimate the covariance of asset returns. In particular, the paper investigates the 3-factor Fama-French model and the extent to which data on Acuity’s timeliness can be used to improve upon this widely used model or mimic its ability to assess the disproportionate returns of Acuity. ‘an investment portfolio as an independent measure.
One of the main findings of the study is that experiments have shown that a 2-factor model comprising the returns of the SP500 index and one of Acuity’s topical sentiment market indices is also a good estimator of the covariance of returns on fixed assets than the Fama-French 3 -factorial model.
Professor Argimiro arratia, who leads the Acuity team of academics, commented, “We were extremely pleased to see the very positive results of this study. The Fama-French 3-factor model has been widely used by researchers and investors since its origin in 1992, but like any model has its limitations. With access to so many new datasets today, we are continually looking for ways to incorporate these innovative datasets to improve upon these existing models or, better yet, identify how they can be used independently to provide if not potentially better results. “
The publication of this study comes only 4 weeks after the official opening of Acuity Analytics in Spain and their R&D center.
Andrew Lane, CEO of Acuity, said: “The research Professor Arratia and his team are conducting is very exciting and demonstrates the tangible value that topical sentiment data can offer investors. The opening of our R&D center in Spain is the key to harnessing this research capability as a way to expand the uses of our topical sentiment data and to shape the future of our products. “
NLP, AI, opinion mining, volatility monitoring and sentiment analysis are all areas of research for the Acuity Analytics team as they work to unlock new commercial information on the functioning of financial markets. By testing and decrypting complex and large-scale unstructured data, Professor Arratia’s team is helping Acuity stay at the forefront of data technology and deliver exciting products to investors who are continually looking for new opportunities to generate revenue. yields.
SOURCE Acuity Trading