PT  - JOURNAL ARTICLE
AU  - Philippe Rohner
AU  - Matthias W. Uhl
TI  - Applying News Sentiment for Optimizing Strategic Asset Allocations
AID  - 10.3905/joi.2021.1.203
DP  - 2022 Jan 31
TA  - The Journal of Investing
PG  - 24--37
VI  - 31
IP  - 2
4099  - https://pm-research.com/content/31/2/24.short
4100  - https://pm-research.com/content/31/2/24.full
AB  - In this article, the authors show that it is possible to enhance traditional Black and Litterman strategic asset allocation (SAA) models with a behavioral approach based on news sentiment. In an out-of-sample backtest over 10 years, the news sentiment–based SAA outperforms the benchmark SAA by 0.5% a year with less risk and a 20% higher Sharpe ratio. The news sentiment data are also statistically different from price momentum measures.