Predictive Power of Social Media data in Sectors

Below is the out-of-sample cumulative open to close return chart for stocks with extreme sentiment scores prior to market open.  As you can see from the chart stocks with high sentiment scores (SMA S-Score > 2) subsequently outperform while stocks with low sentiment scores (S-Score <-2) subsequently underperform.  The benchmarks in this chart are the S&P 500 constituents open to close return and all equities with sentiment signals.

Universe

“Are some sectors better than others for social media?” is a question I regularly receive.  Like all predictive models some sectors are better than others.  Sectors with Business-to-Consumer focus are more predictive because there is more consumer commentary on Twitter in addition to the standard trading and analyst commentary.  Below are the cumulative return charts for consumer facing sectors.

Services

High sentiment stocks in the Services Sector have a subsequent open to close cumulative return of +250 percent since inception of SMA sentiment data.  Low sentiment stocks have a subsequent open-to-close return of -50% since inception of SMA sentiment data.

ConsumerGoods

Sentiment data has proven to be very predictive for Consumer Goods.  High sentiment stocks in the Consumer Goods Sector have a subsequent open to close cumulative return of +350 percent since inception of SMA sentiment data.  Low sentiment stocks have a subsequent open-to-close return of -50% since inception of SMA sentiment data.

SMA is the leader in sentiment for financial markets; we are continuously analyzing our data.  Contact me (joeg@socialmarketanalytics.com)  to learn more about SMA research on Sector and Industry performance.

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s

This site uses Akismet to reduce spam. Learn how your comment data is processed.