Sentiment schlägt den Markt: Ein KI-basierter Performance-Index für den DAX 40
A Framework for the Construction of a Sentiment-Driven Performance Index:
The Case of DAX40
Fabian Billert, Stefan Conrad,
Heinrich-Heine University of Düsseldorf, GET Capital AG
Fabian.Billert@uni-duesseldorf.de, billert@get-capital.de, Stefan.Conrad@uni-duesseldorf.de
Abstract
We extract the sentiment from german and english news articles
on companies in the DAX40 stock market index and
use it to create a sentiment-powered pendant. Comparing it
to existing products which adjust their weights at pre-defined
dates once per month, we show that our index is able to react
more swiftly to sentiment information mined from online
news. Over the nearly 6 years we considered, the sentiment
index manages to create an annualized return of 7.51% compared
to the 2.13% of the DAX40, while taking transaction
costs into account. In this work, we present the framework
we employed to develop this sentiment index.
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