Context Analytics, Inc. differentiates through transparency. We provide our historical data, along with results related to back tested results and alpha derivation, to clients, academia, and interested firms.
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Turning Twitter Sentiment into a Monthly S&P 500 Portfolio
At Context Analytics, we turn the conversation on Twitter into structured, tradable signals. Our S-Factor Feed scores that conversation for thousands of securities every minute of every day, giving traders and investors the building blocks for sentiment-enhanced strategies.
In this post, we revisit the Monthly Long-Only Strategy, built on the Raw-S factor and applied to S&P 500 constituents. We introduce the monthly sentiment metric behind it, walk through how the portfolio is selected and rebalanced, and look at what the signal rewards and how it shapes the holdings.
