This webinar introduces a media-attention approach to quantifying economic narratives in a systematic fashion. Asset-price risk exposures are measured for hundreds of attention-derived narratives, including macroeconomic, ESG, crypto, and emerging trends. Narrative betas can be used to gain or hedge portfolio exposure to narratives by tilting portfolio weights through optimization or by constructing dedicated basket portfolios of narrative-sensitive assets. Emerging narratives are systematically identified---portfolios of trending/emerging narratives tend to outperform in the short-run.

The framework introduced here extends the traditional paradigm of factor models to a more general class of intangible factors, combined with behavioral elements pertaining to investor attention.

Speaker Biography

Professor Ronnie Sadka Senior Associate Dean and chairperson of the Finance Department at the Carroll School of Management, Boston College. His research focuses on the liquidity in financial markets, the role of the media, and retail trading. More recently, he has been developing alternative data driven investment applications through MKT MediaStats, LLC. Sadka is a frequent speaker at academic and practitioner conferences; his work has been published in leading academic and professional journals, and has been covered by various media outlets.

Prior academic experience includes teaching at the University of Chicago (Booth), New York University (Stern), Northwestern University (Kellogg), and the University of Washington (Foster). Industry experience includes Goldman Sachs Asset Management and Lehman Brothers (quantitative strategies), the economic advisory board of NASDAQ OMX, and State Street Associates (academic partner). Professor Sadka earned a B.Sc. (Magna Cum Laude) in industrial engineering and a M.Sc. (Summa Cum Laude) in operations research, both from Tel-Aviv University. He received a Ph.D. in finance from Northwestern University (Kellogg).

About Northfield:

Northfield is a leading risk management analytics provider known for its research based applications and industry wide thought leadership. Founded in 1985, we provide our risk forecasting services to over 200 asset manager and asset owner clients world-wide.