Quantifying Politics
We all know that politics impacts markets. However, it can be tricky to understand how to quantify political risk and use it as an input in the investing process. Here we take an updated look at the returns from applying Thorfinn’s political indices to trade a basket of macro assets. During our sample period from June 2018, an equally weighted strategy consisting of a passive long only macro basket and an actively traded basket using Thorfinn’s TSI index, has risk adjusted returns of 2.22 and drawdowns of 1.6%. This considerably outperforms a basket which is exclusively passive long only, which has risk adjusted returns of 0.88 and drawdowns of 14.4%.
Economist, founder, investor
3 年Thorfinn: inputs from over 30000 daily feeds, natural language processing and machine learning, 72 drivers, 12 categories.... I love proprietary stuff like this one.
Systematic Trader (Quant-Algo) , Cofounder and CEO of Causal Experts
3 年Very interesting however I can't find their website online
Turnleaf Analytics (Forecasting Macro and Inflation with Machine Learning and Alternative Data)
3 年Good stuff, Saeed! Marko Papic
Independent Trader
3 年What is Thorfinn dataset? It seems to be a quite new one as I can't find much about it on google.