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Long/Short Research on Russell 1000 Stocks

December 8, 2015

People ask about the persistence of SMA sentiment signals over time. The signal length is dependent on the S-Factor used. S-Mean for example represents a 20 day look back period and is generally used as a longer term signal. We looked at a theoretical strategy using a universe of the Russell 1000 and S-Factors: S-Score, […]

Social Media and Smart Beta

October 27, 2015

Smart Beta Sentiment Enhanced ETF Performance Analysis At SMA we continuously research our data. Below we discuss modifying weights of the SPDR SPY ETF based on sentiment values and examine the impact on return. Please contact SMA (info@SocialMarketAnalytics.com) to learn more. The SPDR SPY ETF is a cap-weighted ETF which closely replicates the performance of the […]

Predictive Power of Social Media data in Sectors

March 3, 2015

Below is the out-of-sample cumulative open to close return chart for stocks with extreme sentiment scores prior to market open. As you can see from the chart stocks with high sentiment scores (SMA S-Score > 2) subsequently outperform while stocks with low sentiment scores (S-Score <-2) subsequently underperform. The benchmarks in this chart are the S&P […]

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