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http://www.thalesians.com/mailto:[email protected]
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-200
-100
0
100
200
3000
500
1000
1500
2000
2000 2004 2008 2012
S&P500
UNE BBG Smoothed (YoY)
S&P500 Bloomberg News
-200
-100
0
100
200
300
-1.50
-1.00
-0.50
0.00
0.50
1.00
1.50
2005 2009 2013
Google UNE (YoY)
UNE BBG Smoothed (YoY)
Google Domestic Trends Bloomberg N ews
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-0.4
-0.2
0.0
0.2
0.4
0.6
1 2 3 4 5 6 7 8 9 10 11 12
Advertising & Marketing Education Investing Jobs Luxuries
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-40
-20
020
40
60
80
A d v e r t i s i n g & M a r k e t i n g
A i r T r a v e l
A u t o B u y e r s
A u t o F i n a n c i n g
A u t o m o t i v e
B u s i n e s s a n d I n d u s t r i a l
B a n k r u p t c y
C o m m e r c i a l L e n d i n g
C o m p u t e r s & E l e c t r o n i c s
C o n s t r u c t i o n
C r e d i t C a r d s
D u r a b l e G o o d s
E d u c a t i o n
I n v e s t i n g
F i n a n c i a l P l a n n i n g
F u r n i t u r e
I n s u r a n c e
J o b s
L u x u r i e s
M o b i l e & W i r e l e s s
M o r t g a g e
R e a l E s t a t e
R e n t a l
S h o p p i n g
S m a l l B u s i n e s s
T r a v e l
U n e m p l o y m e n t
T (S&P500)
-1
-0.5
0
0.5
1
-60%
-40%
-20%
0%
20%
40%
60%
80%
2005 2006 2007 2008 2009 2010 2011 2012 2013
S&P500 Google Shock Sentiment Measure
S&P500 (YoY) Shock Measure
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-50
0
50
100
150
0
500
1000
1500
2000
2000 2004 2008 2012
S&P500 Bull - Bear Stories Smoothed
S&P500 Bloomberg News
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0
100
200
300
2005 2007 2009 2011 2013
S&P500 Ret=5.69% Vol=21.11% IR=0.27 Dr=-56.78%
S&P500 Google Ret=9.28% Vol=12.49% IR=0.74 Dr=-18.02%
S&P500 BBG Ret=3.1% Vol=13.72% IR=0.23 Dr=-45.16%
S&P500 FX Vol Ret=4.27% Vol=8.36% IR=0.51 Dr=-16.2%
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0
100
200
2005 2007 2009 2011 2013
G10 Carry (ToT) Index Ret=2.31% Vol=12.3% IR=0.19 Dr=-35.48%
G10 Carry (ToT) Index Google Ret=4.13% Vol=7.62% IR=0.54 Dr=-12.25%
G10 Carry (ToT) Index BBG Ret=4.14% Vol=8.59% IR=0.48 Dr=-17.15%
G10 Carry (ToT) Index FX Vol Ret=4.39% Vol=8.12% IR=0.54 Dr=-18.41%
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