The advent of artificial intelligence (AI) is accelerating quantitative investing by testing ideas more quickly and efficiently, synthesizing new data and replicating human decision-making.
AI may also transform fundamental analysis. This STOXX whitepaper from Gopal Erinjippurath and Hamish Seegopaul presents a structured approach to improving the implementation of qualitative information within systematic investment frameworks.
The authors developed a methodology to capture positive and negative public market sentiment on companies from web-scale text, using an agentic workflow to mimic human judgment on qualitative factors. They then applied this framework to quantify this information.
This Narrative Momentum signal has shown attractive backtested performance alongside the robustness required for applications such as indexing. The authors see opportunities as such emerging signals help structure and scale qualitative information, bridging the gap with quantitative investing.
We invite you to download the paper.
