A Framework for the Construction of a Sentiment-Driven Performance Index: The Case of DAX40
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866917790918639616 |
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| author | Billert, Fabian Conrad, Stefan |
| author_facet | Billert, Fabian Conrad, Stefan |
| contents | We extract the sentiment from german and english news articles on companies in the DAX40 stock market index and use it to create a sentiment-powered pendant. Comparing it to existing products which adjust their weights at pre-defined dates once per month, we show that our index is able to react more swiftly to sentiment information mined from online news. Over the nearly 6 years we considered, the sentiment index manages to create an annualized return of 7.51% compared to the 2.13% of the DAX40, while taking transaction costs into account. In this work, we present the framework we employed to develop this sentiment index. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2409_20397 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | A Framework for the Construction of a Sentiment-Driven Performance Index: The Case of DAX40 Billert, Fabian Conrad, Stefan Portfolio Management We extract the sentiment from german and english news articles on companies in the DAX40 stock market index and use it to create a sentiment-powered pendant. Comparing it to existing products which adjust their weights at pre-defined dates once per month, we show that our index is able to react more swiftly to sentiment information mined from online news. Over the nearly 6 years we considered, the sentiment index manages to create an annualized return of 7.51% compared to the 2.13% of the DAX40, while taking transaction costs into account. In this work, we present the framework we employed to develop this sentiment index. |
| title | A Framework for the Construction of a Sentiment-Driven Performance Index: The Case of DAX40 |
| topic | Portfolio Management |
| url | https://arxiv.org/abs/2409.20397 |