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CBOE – Social Market Analytics SMLCW Index significantly outperforms.

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Social Market Analytics aggregates the intentions of professional investors as expressed on Twitter.  SMA factors are highly predictive over various time frames.  In June of 2017 Social Market Analytics launched a weekly re-balanced large cap sentiment based index.  This index is comprised of twenty-five stocks with the highest average Twitter sentiment over the prior week selected and re-balanced Friday afternoons from the CBOE Large Cap 450 Index.  This index has been published daily since that date and is available on all major feeds.

Last year the SP500 Index had a return of -8.4%.  The CBOE SMLC Index had a return of +.87%.  Below is a comparative return chart over the last year compared to the SP500.

For more information or to license this index please contact us at ContactUs@SocialMarketAnalytics.com

smlcw performance

 

 

 

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Predictive Real-Time Alerting on Commodities

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Social Market Analytics (SMA) tracks real-time sentiment on equities, commodities, currencies, ETF’s and crypto currencies.  SMA has the most powerful and customizable Alerting API combining Twitter sentiment and pricing metrics.  Users receive custom real-time sentiment alerts on instruments in their watch list.  For example, on December 11, 2018, SMA’s alerting system sent an alert on Corn at 12:12 pm CT when corn was @ $385.25. Below is the email and mobile alert.

Cornalert

Mobile

Subsequent to the alert, corn moved lower starting at 12:17pm CT. The price continued to move lower the remainder of the day and closed at $383.25. (See chart below)

Corn Alert

The above alert was based on SMA’s rolling 24-hour sentiment. SMA also calculates a Long-term sentiment with longer price projection periods.  Corn’s long-term S-Factor flipped from positive to negative on November 14th. 12/10 was the first day the long-term S-Factor for corn reached a significantly negative level of -1.5 standard deviations more negative than the longer-term baseline conversation. For more information please contactUs@SocialMarketAnalytics.com

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Power of Predictive Alpha in a Bear Market

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This year has been tough for most investment strategies.  Firms using traditional sources of data are generating the same underwhelming returns.  Two years ago, Social Market Analytics, Inc.  (SMA)  (Twitter)   launched the SMLCW index in partnership with the CBOE.  This index is re-balanced weekly and comprised of the twenty-five securities selected from the CBOE large cap universe with the highest average S-Score over the prior week.  It’s A long only index of super-cap stocks with unusually positive Twitter conversations.

SMA publishes a family of metrics providing a full representation of the Twitter conversation across equities (US and LSE), commodities, currencies, ETF’s & Cryptos.

S-Score is a normalized representation of the current Twitter conversation of professional investors as identified by Social Market Analytics patented algorithms.  SMA has access to the full Twitter feed through our licensed partnership with Twitter and listens in real-time for any mention of topics and securities of interest.  These Tweets are scanned in real-time for sentiment and influence of the poster and compared to prior conversations over the look back period.  Securities with higher S-Scores subsequently outperform and securities with negative S-Scores under-perform.

SMA S-Scores are predictive over multiple prediction periods.  With seven years of out-of-sample data we can extend our comparison baselines and predict over longer periods.

Year-To-Date the SMLCW index is up over 7.5% while the SP500 is flat.  Subtracting a couple percent for commissions/slippage and the index is still significantly positive. This is not a back-test, this index has been live and on your quote screens for nearly two years.  YTD actual performance chart from the CBOE site is below.

SMLCW - YTD

As mentioned, this is a long only index.  During the recent market drawdown this long index has been performing.  SMA negative S-Score stocks have been moving lower at a significant rate – generating positive alpha.  Below is a chart of the SMLCW index compared to the SP500.  for any questions or to learn more please contact us at:  ContactUs@SocialMarketAnalytics.com.

Thanks,

Joe

 

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