Uncategorized - Context Analytics - Page 6

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 […]

SMA Signals for Monthly & Quarterly Holding Periods

October 24, 2016

Since our founding in 2012 we have been acquiring out-of-sample history to use in development of factor models. We now have five years of history, with this history we can create statistically significant signals with monthly and quarterly holding periods. This blog will explore the use of sentiment data for monthly and quarterly holding periods. […]

SMLC Performance Since Launch

September 19, 2016

Since SMLC launched six weeks ago there has been a significant increase in volatility. I thought it would be interesting to see how SMLC has performed during this period of increased volatility. The chart below shows the cumulative return of SMLC versus the S&P500 over the same period. Factors derived from the rigorous cleansing and analysis of […]

CBOE & SMA Weekly Sentiment Index

September 12, 2016

As regular SMA blog readers know we recently launched our first index with the CBOE. The initial index (SMLC) is a daily rebalance portfolio based on the highest sentiment securities in the CBOE large cap universe. Each morning we build a portfolio of the 25 highest sentiment securities and hold that portfolio to Close. Back […]

CBOE SMA Large Cap Index

August 19, 2016

On July 29th CBOE and SMA launched the CBOE SMA Large Cap Index (SMLCSM) which tracks the return of a hypothetical portfolio strategy based on Social Market Analytics (SMA) S-Scores. The SMLC portfolio is an equal pct. weighted portfolio of the 25 highest S-Score stocks in the CBOE Large Cap Universe. Stocks in the CBOE […]

SMA Predicts Brexit Two Weeks Before The Vote

June 24, 2016

People seem surprised that Britain voted to exit the EU. We at SMA with our partners the CBOE are not nearly as surprised as everyone else. Russell Rhoads from the CBOE has been blogging and Tweeting with SMA data for two weeks that it looks like the Brexit is going to happen. Let’s look at […]

That's Two Takeovers in a Week!

June 22, 2016

Social media beats the mainstream media on a regular basis. Last week social media beat the news wire in reporting the MSFT acquisition of LNKD (blog post below) and Tuesday Twitter broke SCTY being acquired by TSLA. This information is not theoretical - it is actionable data in our feed! Tesla Motors lit up Twitter, […]

Twitter Leads News For MSFT, LNKD Acquisition

June 13, 2016

As is the case with most corporate events now, MSFT buying LNKD broke on Twitter first. The very first mention of this is any news article was at 7:38 AM (CDT) but Social Market Analytics (SMA) detected this 7 minutes ahead at 7:31. SMA’s patented algorithm digests, filters and evaluates Tweets in real time. The […]

StockTwits based S-Factor Return Charts

May 13, 2016

Social Market Analytics (SMA) aggregates the intentions of investors as expressed on the StockTwits platform. SMA creates proprietary S-Factor metrics that quantitatively describe the current conversation relative to historical benchmarks. This data provides strong predictors of future price movement. This blog will focus on the deterministic nature of the StockTwits data set when aggregated into […]

Twitter Sentiment and Longer Holding Periods

April 20, 2016

Signals derived from Twitter data have typically been viewed as shorter term signals. There are a number of reasons for this. One reason is the lack of out of sample data to back test trading systems on. At SMA we now have nearly four and a half years of sentiment metrics to use in the creation […]

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