Social Market Analytics – Year in Review

At Social Market Analytics we are continuously reviewing our dictionaries and account rating algorithms.  Year End is a great time to aggregate and publish performance metrics – 2017 was a great year for Social Market Analytics data.  We look at our data in many different ways.  The below tables illustrate the Open to Close performance of securities with statistically significant sentiment scores prior to market open.  Comparison S&P 500 value is open to close as well.  Securities with an S-Score > 2 ( S-Score >2 means the current conversation is much more positive than recent prior conversations)  had cumulative subsequent performance of 25.78% versus the S&P of 6.28.  Stocks with an S-Score < -2 had cumulative negative performance (positive Alpha) of -19.48.  Stocks with positive S-Scores went on to significantly outperform and stocks with negative S-Scores went on to significantly under perform.   2017 was our best year for long short performance.

AnnualReturns2017

Sharpe Ratios for these theoretical portfolios are below.   2017 had the best long/short Sharpe Ratio versus history (6.56), Short (-2.15) & the second best long (2.60)

AnnualSharps2017

The question to ask is why has performance improved over our six years of history?  At SMA we vigorously scrub the Twitter hose to aggregate the intentions of professional investors.  Historical data has provided a deep set for training and cleansing.  First, we identify who we believe are professional investors.  The universe of our certified investors has grown over history – A larger set of inputs.  The number of Tweets related to securities and products has increased – better inputs. Our dictionary has evolved and grown over time.  More inputs, better inputs and better parsing has resulted in more predictive power!  To learn more please reach out to us and I wish everyone a health and prosperous 2018.

Regards,

Joe

 

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.