US All Cap Sentiment Portfolio

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33.76% Average Annual Return

Investment Goal

The investment objective of this portfolio is to provide long-term capital appreciation.

The portfolio seeks to select US Large, Mid and Small Cap equities that are intrinsically high in News Media Sentiment quality factor and have a favorable Sentiment Momentum signal. The portfolio is actively managed with the goal of selecting the best investment opportunities leveraging sentiment trends to optimize returns.

Model Description

The All Cap universe is selected based on Asset Size and news media coverage volume. Currently this comprises 1000 plus US equities across sectors. The sector distribution is shown in the charts above. The trading strategy is Equal weight and the top 30 stocks in this universe are picked using a bi-factor model that blends Daily Sentiment and Sentiment Momentum (Change in sentiment over the 50-day moving average). The portfolio is rebalanced weekly based on the top 30 ranked companies.

The portfolio uses quantitative modeling leveraging the alpha generating ability of AI/Big data on sentiment. Stocksnips leverages advanced Natural Language and Machine Learning algorithms to transform unstructured textual data to quantified real-time sentiment signal using news articles from established sources and asserts the sentiment of each financially “oriented” sentence within an article. These snippet level assertions are aggregated at the ticker level and is a measure of investor sentiment.

Removal or reduction of a position in the portfolio is considered when any of the selection criteria deteriorates.

Model Performance

The All Cap Sentiment portfolio significantly outperformed the S&P 500 performance for the back test period July 11, 2017 – May 18, 2021 by applying the sentiment signals to rebalance the 30 stock portfolio. The cumulative portfolio return for the period was 209.18% vs the S & P 500 cumulative return of 67.85%.

Disclosures

Information presented is for educational purposes only and does not intend to make an offer or solicitation for the sale or purchase of any specific securities, investments, or investment strategies. Investments involve risk and, unless otherwise stated, are not guaranteed. Be sure to first consult with a qualified financial adviser and/or tax professional before implementing any strategy discussed herein. Past performance is not indicative of future performance. It is important to remember that there are risks inherent in any investment and that there is no assurance that any money manager, fund, asset class, style, index or strategy will provide positive performance over time. Diversification and strategic asset allocation do not guarantee a profit nor protect against a loss in declining markets. All investments are subject to risk, including the loss of principal. The information contained herein is based upon the data available as of the date of this document and is subject to change at any time without notice.