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Tag Archives: social media

Jan 13, 2022

S&P 500 Twitter Sentiment Indices: Factor Analysis

We previously introduced the S&P 500 Twitter Sentiment Indices and analyzed their performance characteristics. We noted how the indices seek to capture the Tweet-based sentiment premium, with their differentiated performance being driven by differences in index construction and sector weighting. In this blog, we will examine their exposure to standard risk factors and analyze their…

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Jan 10, 2022

S&P 500 Twitter Sentiment Indices: Performance Characteristics

In a previous blog, we introduced the S&P 500® Twitter Sentiment Index and the S&P 500 Twitter Sentiment Select Equal Weight (EW) Index, highlighting their objective and construction. At the core of these indices is a model-based sentiment score that captures the direction and magnitude of the sentiment associated with a given company. S&P DJI…

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Nov 18, 2021

Introducing the S&P 500 Twitter Sentiment Index Series

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…

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