2017 - Context Analytics

Social Market Analytics Now Has Six Years of Out-Of-Sample History!

December 5, 2017

Social Market Analytics, Inc. (SMA) is celebrating six years of out-of-sample data in US Equities. This data is unique in that it is a true representation of the Twitter conversation at each historical point-in-time. Since our launch, SMA has become a leader in providing sentiment data feeds to the financial community. Our data has become […]

Deutsche Bank Research Report on Social Market Analytics S-Factor Data

July 17, 2017

Two weeks ago the Deutsche Bank Quantitative Research Team released a full research report exclusively on Social Market Analytics sentiment data. This excellent report independently verifies the predictive nature of the Social Market Analytics Sentiment factors. All data and charts for this blog are taken from the Signal Processing – Social Media Sentiment Report written […]

Joe Gits talks Twitter at CBOE's Risk Management Conference

April 21, 2017

Gits spoke at RMC about SMA's patented technology, the Social Sentiment Engine, and Twitter's relevance in financial markets.

Did you have a 40 Minute Head Start on Ocwen Financial Price Drop?

April 21, 2017

Social Market Analytics (SMA) aggregates the intentions of professional investors as expressed on Twitter and StockTwits. On April 20th 2017 discussion started started on Twitter that OCN was going to be investigated in relation to sub prime mortgage concerns. SMA Social Media Sentiment started moving lower early that morning. In the chart below you can see […]

Decile Spreads for Twitter & StockTwits

March 10, 2017

I explore decile groupings based on S-Scores, and plot cumulative subsequent returns.

Six Months of SMLC

February 1, 2017

Six months ago, the CBOE in partnership with Social Market Analytics launched the first in a family of indexes derived from Social Market Analytics S-Factors. Below is SMLC performance relative to the SPX. For the first six months SMLC has generated 12.62% and the SPX has returned 4.64%. In January, we launched SMLCW and it […]

2016 In Review

January 23, 2017

Last year was a good year for SMA data. High sentiment securities outperformed and low sentiment securities underperformed with good Sharpe’s and Sortino's. The below tables contain returns and Sharpe/Sortino ratios for the full history of Social Market Analytics S-Factor data. Correlations to standard factors continue to be near zero. I'm sure our data […]

Weekly, Monthly Quarterly Re-balance

January 9, 2017

As we move into a new year Social Market Analytics (SMA) has acquired five years of out-of-sample data. This real history has enabled us to build signals for longer holding periods. In this blog we will explore the use of SMA data for weekly, monthly and quarterly holding periods. Portfolio managers often re-select securities […]

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