Trading on Sentiment by Richard L. Peterson

Author:Richard L. Peterson [Peterson, Richard L.]
Language: eng
Format: epub, pdf
ISBN: 9781119163756
Published: 2016-03-28T00:00:00+00:00

Figure 12.1 Equity curve of a long-only value strategy based on the S&P 500.

Figure 12.1 shows that an extreme value strategy peaked with a 7-fold return (excluding transaction costs and dividends) over the period January 1999 through August 2015 using stocks for which TRMI are available.16

Benjamin Graham occasionally referenced moods while describing stock selection, and academic researchers have found that value returns can be increased when a broad market sentiment component is included in the analysis.17 CJ tested whether value strategy returns could be boosted when single-stock sentiment is incorporated, and his results show that some sentiments—especially fear—boost value returns.

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