US Equities - Page 12 - Context Analytics

Decile Spreads for Twitter & StockTwits

March 10, 2017

Today I will explore decile groupings based on S-Scores, and plot cumulative subsequent returns. We typically focus on an S-Score > 2 for subsequent positive movements in stock prices, and an S-Score < -2 for negative movements in stock price. Our metrics identify when a conversation becomes significantly more positive or negative than normal. Most stocks have normal conversations […]

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 […]

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 […]

Crude Oil and StockTwits Sentiment

January 8, 2016

Written By Aditya Sharma: The recent market downturn has illustrated the impact oil price changes can have on equity markets. Crude has been trending lower since late 2014, so much so that many major oil producing countries are selling it at a loss. Using the conversations on the StockTwits Platform and SMA’s patented sentiment calculation […]

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, […]

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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