SMLC Performance Since Launch

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 social media data can provide an edge in the market even during periods of increased volatility.  SMLC is composed of the highest S-Score stocks from the CBOE Large Cap Universe prior to market open.   To learn more about SMLC or the SMA S-Factors please contact Social Market Analytics.  SMLC is up 4.35 percent since inception and the SP is down 1.73 percent over the same period.


CBOE & SMA Weekly Sentiment Index

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 test and live performance have demonstrated the predictive power of sentiment data of a five-year period.

SMA and CBOE researchers have been working on multiple indexes, the next index (SMLCW) is a weekly rebalance portfolio based on the average sentiment of stocks during the week as measure on Friday mornings prior to the Open.  By averaging S-Scores, you generate a longer signal.  The subsequent portfolio is held for a week. The white line is portfolio performance post transaction cost.  As you can see from the chart the impact of transaction cost is minimal.


To learn about SMLCW or how rigoursly defined sentiment factors can help in your investment process please contact us.