Using natural language processing techniques, we constructed a sentiment factor that quantifies changes in the tone and content of company filings, and may be an indicator of future risks facing a company.

We extend our research into sentiment measures by introducing several more traditional and alternative datasets, analyzing their historical and recent performance individually, and as an equal-weighted combination. Our analysis indicates sentiment factors increased transparency into sources of risk and return and the potential for positive risk-adjusted returns, compared to traditional factors.

Given recent short interest factor performance, we asked: What has been the relationship between this factor and large market drawdowns? Were there changes in short selling during COVID-19? Did short-selling bans affect short interest factor performance?

Could factor investing offer a risk-return edge in USD investment-grade corporate credit? We simulated the past performance of six fixed-income factors — value, low size, quality, momentum, carry and low risk — that broadly align with MSCI’s equity factors.

Company insiders’ trading of their company’s stock is usually subject to strict rules, including public disclosure. Did observing insider transactions provide more information about expected company performance than traditional sources?