Performance & Benchmarks - Page 2 - Context Analytics

StockTwits and Twitter Quintiles Combo

August 16, 2023

Context Analytics is the leader in processing and structuring textual data for sentiment analysis. One of the longest-running products is the Context Analytics S-Factor feed. The S-Factor feed is a suite of metrics that describe Social Sentiment from Twitter and StockTwits messages separated by source.

S-Score Thresholds

August 9, 2023

Twitter can be leveraged to enhance stock selection and identify intraday price movements. A more extreme S-Score threshold can improve portfolio returns too.

Monthly Sentiment Index – S&P 500

May 18, 2023

Even on the most liquid stocks, Context Analytics’ Social Sentiment provides an edge. Using only S&P 500 constituents, this Monthly Social Sentiment Index outperforms the market by over 2.5% annually over the past 5+ years.

Context Analytics S-Score Performance by Sector

April 26, 2023

Context Analytics’ Social Sentiment Score, S-Score, has been a consistent predictor of excess return and underperformance over the sector average over the last 10 years.

Context Analytics US Equity Open-to-Close with Performance Statistics

April 19, 2023

Context Analytics daily sentiment Long/Short portfolio without overnight risk yields 80% return since the beginning of 2022. When overlayed with historical security performance statistics, that adds over 25% to its cumulative return over this period.

Context Analytics Open-to-Close Performance Update

March 29, 2023

Context Analytics daily sentiment portfolio without overnight risk yields 75% return since the beginning of 2022, outperforming the S&P 500 which had a negative return over the same period.

ETF S-Score overlayed with Performance Statistics

February 15, 2023

Context Analytics provides predictive Social Sentiment data on ETFs through its S-Factor feed. When overlayed with S-Factor Performance statistics, returns are enhanced by over 4% annually.

Recent S-Score Open-to-Close Performance on US Equities

October 31, 2022

With current market volatility, we are frequently asked how our data is performing. The chart below is the YTD Open-To-Close return of common stocks with an S-Score > 2 or S-Score <-2 prior to Market Open. S-Scores are effectively Z-Scores. An S-Score > 2 means the conversation over the last 24 hours is 2 standard […]

Twitter vs StockTwits: A Comparison of Daily S-Score Returns

October 19, 2022

In this blog we explore Social Market Analyticsâ€™ (SMA) longest running trading strategy based on the S-Score from the S-Factor dataset. Before diving into the strategyâ€™s results, let go over what the S-Score calculates.

Analysis of Subsequent returns on Short Squeeze Conversations

April 20, 2021

In the wake of the recent GameStop (GME) short squeeze, we received a lot of inbound questions on social media’s predictive power for short squeezes. Social Market Analytics (SMA) classifies different types of conversations on Twitter with one topic being Short Squeezes. Looking at subsequent returns of stocks with short squeeze conversations leads to different return characteristics […]

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