We are excited to introduce a new index series utilizing sentiment—the S&P 500® Twitter Sentiment Index Series, which adds another dimension to the way we measure broad U.S. equities.
Over the past few years, social media has evolved to encompass commentary about stocks and financial markets. As the technology has improved, these views are now able to be analyzed; as a result, it is possible to interpret and try to understand what the online community is saying about a specific company by aggregating an analysis of these messages. This index measures market sentiment using Twitter data, specifically Tweets containing $cashtags, which indicate that the Tweet is referring to a particular stock. S&P DJI uses artificial intelligence technology to analyze the sentiment around these stocks to generate a sentiment score for the companies within the S&P 500.
The S&P 500 Twitter Sentiment Indices have been created to reflect the performance of the companies in the S&P 500 that have the most positive sentiment, as indicated by the Twitter community. The index provides a means of examining whether the most positive sentiment names outperform their peers over a given period of time. Constant or building sentiment for the index members could lead to such outperformance, where changing sentiment might cause the opposite.
As of Nov. 18, 2021, the index series consists of the following indices:
S&P 500 Twitter Sentiment Index: This index is designed to track the performance of the 200 constituents with the most positive sentiment from the S&P 500, which are weighted on a float-adjusted market capitalization (FMC) basis, with a 10% cap at rebalance.
S&P 500 Twitter Sentiment Select Equal Weight Index: This index is designed to track the performance of a selection of the 50 constituents with the most positive sentiment from the S&P 500 Twitter Sentiment Index, which have been equally weighted at rebalance.
Both indices have been designed as diverse and liquid and actively filter for spam (lower-relevance Tweets), and each company included in the indices must have a sufficient number of Tweets to qualify.
Adding this exciting new dimension of analyzing and assessing sentiment in social media is just the start of this new chapter for S&P DJI. We are hoping to bring to market further factor-based, strategic indices capturing social media sentiment for the passive investment community, so stay tuned.
1Back-tested information reflects the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of financial risk in actual trading. For example, there are numerous factors related to the equities, fixed income, or commodities markets in general which cannot be, and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance. The back-test calculations are based on the same methodology that was in effect on the index launch date. However, when creating back-tested history for periods of market anomalies or other periods that do not reflect the general current market environment, index methodology rules may be relaxed to capture a large enough universe of securities to simulate the target market the index is designed to measure or strategy the index is designed to capture. The back-test for the S&P Twitter Sentiment Indices is calculated for the period January 2018 to October 2021. S&P Dow Jones Indices designed the sentiment scoring model using data from approximately the same time range. The sentiment scoring model is a natural language processing tool based on linguistic classification of the degree to which a Tweet is likely to be positive or negative. Complete index methodology details are available at www.spdji.com. Past performance of the Index is not an indication of future results. Prospective application of the methodology used to construct the Index may not result in performance commensurate with the back-test returns shown.
The S&P 500 Twitter Sentiment Index is a product of S&P Dow Jones Indices LLC. S&P® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services LLC; Twitter® is a registered trademark of Twitter, Inc. The Index is meant for informational purposes only and is not a recommendation to buy or sell any securities. Any investment entails a risk of loss. Please consult your financial advisor before investing.
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