RESEARCH:
J.P. Morgan: Contextual NLP Factors from Newswires

Research by J.P. Morgan explores Alexandria's data derived from streaming newswires, and shows its value as a factor within quantitative models.

For full research click here or on the charts below

From this research J.P. Morgan concludes:

  • Alexandria global newswires NLP data produces strong Alpha and Sharpe Ratios
  • Combining Alexandria with traditional Quant factors reduces volatility, increases Sharpe ratios and leads to lower drawdowns
  • Backtests results are impressive, with Sharpe ratios in excess of 1.5 on both weekly and monthly rebalanced strategies 
  • Alexandria’s contextual NLP methods are advanced, yet effective signals are relatively easy to obtain, and the greatest value is found in systematic stock selection   

Alexandria data builds strong signals across global markets

Signals for global markets, daily weekly and monthly 

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