Multi-Asset Rotation
- MKT Research
- Aug 22
- 1 min read
By MKT MediaStats Research Team
August 22, 2025
Recent research in financial economics suggests that attention to economic narratives, as proxied by the intensity of media coverage, can predict future asset returns. Notable contributions to this field include Shiller (2017, 2019) and recent works[1]. Accordingly, topics of media discussions can influence investor behaviors, which in turn drive asset prices. Based on this insight, MKT MediaStats (“MKT”) developed multi-asset rotation strategies.
These strategies draw on the methods and empirical findings of Narrative Momentum by Lee, Lou, Ozik, and Sadka (2024) [link] who demonstrate that investors' reactions to media narratives create predictable return patterns in narrative-sensitive assets. The rotation strategies are broadly categorized into two groups:
1. Direct Media Coverage
This approach considers an asset itself as a narrative and derives measures of attention and sentiment from explicit coverage of an asset in the media. Further, the approach identifies assets with high media sentiment and significant growth in media intensity.
2. Narrative-Beta Exposure
This method selects assets that exhibit co-movement with trending evergreen narratives, creating a mimicking portfolio that tracks multiple narratives simultaneously. This approach captures investor long-term underreaction to narratives, resulting in “narrative momentum.
The attached paper outlines the construction methodology applied various asset classes including Safe Assets, Individual stocks, sectors, factors, commodities, and currencies.
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[1] Bhargava, Lou, Ozik, Sadka, and Whitmore (2023); Bybee, Kelly, Manela, and Xiu (2024); Hirshleifer, Mai, and Pukthuanthong (2024); and Crowell, Ferridge, Guidi, Kinlaw, Ozik, and Sadka (2024).
[2] Narrative Momentum, Lee, Lou, Ozik, and Sadka (2024) - link