AI/Big Data effort on Sentiment offers Competitive factor alternative
Big Data sentiment offers portfolio gains. Our analysis examines the sample period from April 2016 through 2019. Applying the StockSnips signal to our Mid Cap universe led to a gain of 93.3% vs 69.2% for the Mid Cap benchmark over the sample period. Similarly, applying the signal to our Small Cap universe gained 96.3% vs 56% for the Small Cap benchmark over the sample period.
The real-time sentiment signa appears more closely aligned with price trending variables, not analyst trends. A somewhat surprising result of our analysis is that StockSnips real time sentiment approach appears more closely tied to price trending signals than earnings revisions
Sentiment data appears to reflect market efficiency. Consistent with other market studies, the sentiment signals appear to generate superior excess gains when applied to less efficiently priced asset such as Small & Mid Caps. In contrast, the Large Cap signal only performed broadly in line with its benchmark.