It's official. PolicyScope data delivers advance notice of market volatility. With two solid years of public policy data generated by our patented process under our belt, this summer we asked a third party to conduct some backtests between our data and market data.
We sought to determine whether any measurable relationship could be identified between quantified public policy volatility as seen in daily, objective PolicyScope data for selected lexicon terms and market volatility. We tested market volatility in relation to equity markets (the S&P), the VIX, and for cryptocurrency terms BitCoin prices.
What a revelation.
As this video chartbook indicates, the backtest revealed significant high correlations with all three volatility measures, with an average of 10-22 days advance notice. We found those correlations in relation not only to lexicon terms but also in relation to the economic sectors to which we have mapped the lexicon terms and specific activity types.
More detailed analysis (including WHY it works) can be found in the Correlations White Paper.
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