Trading Bonds and Spreads with Sentiment Analytics Data
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19 January 2015
This study from The Thalesians is one of the first looking into trading sovereign debt instruments with sentiment analytics from news and social media.
The author (Saeed Amen) uses the RavenPack Analytics Global Macro data to create news-based economic indices (NBESI) for the U.S., E.Z, U.K. and Japan which he then tests against sovereign bond futures prices and spreads. He also tests the indices against common FX strategies.
Specifically, Saeed finds that, since 2001:
- the NBESI G4 bond futures basket (using US NBESI) has a risk adjusted returns of 1.14 and drawdowns of 7.1%, outperforming a passive basket, which has a risk adjusted return of 0.79
- the NBESI US Treasury futures spread basket has risk adjusted returns of 0.90 versus the passive basket’s 0.46
Saeed also used the indices on a combined filtered G10 FX carry and G10 FX NBESI basket which had risk adjusted returns of 1.11 and a max drawdown of 6.7%.
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