Joe Gits - Context Analytics - Page 3

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 […]

SMA Signals for Monthly & Quarterly Holding Periods

October 24, 2016

Since our founding in 2012 we have been acquiring out-of-sample history to use in development of factor models. We now have five years of history, with this history we can create statistically significant signals with monthly and quarterly holding periods. This blog will explore the use of sentiment data for monthly and quarterly holding periods. […]

SMLC Performance Since Launch

September 19, 2016

Since SMLC launched six weeks ago there has been a significant increase in volatility. I thought it would be interesting to see how SMLC has performed during this period of increased volatility. The chart below shows the cumulative return of SMLC versus the S&P500 over the same period. Factors derived from the rigorous cleansing and analysis of […]

CBOE & SMA Weekly Sentiment Index

September 12, 2016

As regular SMA blog readers know we recently launched our first index with the CBOE. The initial index (SMLC) is a daily rebalance portfolio based on the highest sentiment securities in the CBOE large cap universe. Each morning we build a portfolio of the 25 highest sentiment securities and hold that portfolio to Close. Back […]

CBOE SMA Large Cap Index

August 19, 2016

On July 29th CBOE and SMA launched the CBOE SMA Large Cap Index (SMLCSM) which tracks the return of a hypothetical portfolio strategy based on Social Market Analytics (SMA) S-Scores. The SMLC portfolio is an equal pct. weighted portfolio of the 25 highest S-Score stocks in the CBOE Large Cap Universe. Stocks in the CBOE […]

SMA Predicts Brexit Two Weeks Before The Vote

June 24, 2016

People seem surprised that Britain voted to exit the EU. We at SMA with our partners the CBOE are not nearly as surprised as everyone else. Russell Rhoads from the CBOE has been blogging and Tweeting with SMA data for two weeks that it looks like the Brexit is going to happen. Let’s look at […]

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