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.
@article{arxiv.2409.20397,
title = {A Framework for the Construction of a Sentiment-Driven Performance Index: The Case of DAX40},
author = {Fabian Billert and Stefan Conrad},
journal= {arXiv preprint arXiv:2409.20397},
year = {2024}
}
Comments
Accepted and presented at the AAAI-2023 Workshop on Multimodal AI for Financial Forecasting (https://muffin-aaai23.github.io/index.html)