Quantifying Narratives and their Impact on Financial Markets
By Rajeev Bhargava, Gideon Ozik, Ronnie Sadka, Travis Whitmore, State Street Associates
Apr 4, 2023

By Rajeev Bhargava, Xiaoxia Lou, Gideon Ozik, Ronnie Sadka and Travis Whitmore 


We introduce a unique media-based measure of narratives, called thematic indicators, and explore how they can be used to improve asset allocation and achieve desired thematic exposures.


This paper introduces a media-coverage-based approach to quantify narratives and develops methodologies to explain the extent to which narratives drive financial markets and returns of investment portfolios. We show that media-derived narratives may contain predictive information for market returns beyond traditional macro indicators. Finally, we demonstrate that narrative indicators can be used to enhance asset allocation strategies and to gain or hedge exposure to narratives by constructing portfolios of narrative-sensitive assets.



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