FX Factors and Media

We use the tone, volume and dispersion of digital news to improve the performance of Foreign Exchange (FX) factors.

February 2020

Blending alternative data with traditional factors

Currency factors like carry, momentum and valuation are a popular way to invest, but they haven’t worked well recently. When the media’s perception of a currency aligns with a factor tilt, performance is often stronger. By distilling media sentiment, intensity and disagreement across thousands of online news sources, we form new currency factors that pay attention to what the media is saying. Factor performance consistently improves as a result.