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Quantitative News Follow Up Study

Following our initial research on Context Analytics’ Quantitative News Feed sentiment with daily close-to-close returns, we conducted a follow-up study to evaluate its effectiveness so far in 2024. If you're unfamiliar with our methodology, we suggest referring to our previous blog for detailed information:  News Widget Key Features


Consistent patterns across quintiles

Over the first two months of 2024, our analysis reaffirms consistent patterns across quintiles, lending further credibility to our findings. Once again, we observe a gradual spread through the top and bottom quintiles with this out-of-sample data.

Notably, the bottom quintile, which comprises companies with the most negative news over the preceding 24 hours, experiences a decline of close to 2%. This decline persists despite the overall positive market performance this year. Conversely, the top quintile displays outperformance. Companies in this category not only surpass the S&P 500 constituents but also show notable improvements in Sharpe and Sortino ratios compared to the baseline. These findings underscore the potential utility of leveraging news sentiment as a strategic tool in navigating market volatility and identifying promising opportunities.


For those interested in exploring our quantitative news feed or requesting a trial, please don't hesitate to contact us via the link below or visit our website .

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