Tag Archives: Twitter
Does the Wisdom of the Crowd Hold for the S&P 500 Twitter Sentiment Indices?
As financial conditions have tightened materially since the start of the year and pressure is mounting on the U.S. equity market, it is worth circling back to see how the “wisdom of the crowd” has held up. Specifically, does a sentiment indicator derived from Tweets on Twitter hold as an informative investable factor? It’s been…
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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…
- Categories Equities
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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…
- Categories Equities
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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…