Alexander Eisele works on analytics, quantitative portfolio construction, and multi-asset trading strategies at UBS AM Investment Solutions. Prior to that, he was a quantitative researcher at UBS AM Products focusing on the analysis, the improvement, and the design of investment products. Before joining UBS in 2015, Alexander was a researcher at the Swiss Finance Institute where he also received a Ph.D. in Finance with a focus on empirical asset pricing. Alexander’s work deals with sentiment-based trading strategies as well as with agency problems in the asset management industry, low volatility strategies, institutional trading behaviour and merger arbitrage strategies. His academic research has been published in the Journal of Financial Economics.
News Sentiment and Multi-asset investing
Institutional multi-asset portfolios are often managed with significant constraints on turnover, tracking errors and the investable asset universe. Does news sentiment add any value to a portfolio when such constraints are taken into account? In this session we provide and discuss evidence suggesting that it does. Furthermore, we decompose news sentiment into different components to learn more about the drivers of its value-added.