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Quantitative Finance · Glossary

What is Sentiment index?

Definition 24.2 Strategies I: Equities and Futures · Chapter 24 — Positioning and Sentiment

A sentiment index summarises investors’ optimism or pessimism from surveys or market-based proxies (issuance, fund flows, first-day returns of new issues, valuation spreads), usually as the first principal component of several proxies.

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