5.3 INDUSTRY-LEVEL SENTIMENT
In the previous section, I demonstrated how to construct a market-level news sentiment index that can be used to predict the future direction of the S&P 500. Here, I will focus on constructing market-neutral strategies taking long and short positions in the top- and bottom-ranked industries, respectively. Being able to successfully rank industries based on sentiment should enhance the performance of a strategy, since more targeted investments can be made towards expected outperformers and underperformers during periods with long and short exposures, respectively.
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