In Jan 2020 our MarketPsych team launched a stock predictive model in partnership with #StarMine and Refinitiv, an LSEG business, called the MarketPsych Media Sentiment (MMS) model. It is an #AI based model, making stock forecasts based solely on media themes and #sentimentanalysis.
The model was approved for production in Aug 2019 (red dotted line in the image) and has been sold commercially since Jan 2020. It showed yet another great performance in May 2023.
This model ranks stocks daily according to their expected relative performance for the following 30 days. This past May, the spread between the highest and lowest-ranked US stocks was 4.3%, accruing to +13.4% on a 12-trailing months basis. Among large-caps, the performance is at an impressive +22% with a Sharpe of 3.3. The decile spread is plotted in the image as the blue line.
There are predictive patterns embedded in the emotions and themes expressed about companies in news and social media. #behavioralfinance #quantitativefinance #quantitativeanalysis
For an introduction to MMS, please watch the promo video at: https://lnkd.in/gNqwX7fx
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