NEW YORK, Nov. 18, 2021 /PRNewswire/ -- S&P Dow
Jones Indices, the world's leading index provider, has announced
the launch of the S&P 500 Twitter Sentiment Index Series. Using
the S&P 500® Index as its eligibility universe and a sentiment
scoring model measuring bullish and bearish Tweets containing
Twitter "$cashtags," the indices measure the performance of
constituents with high sentiment scores.
At launch, the S&P 500 Twitter Sentiment Index Series
includes:
- S&P 500 Twitter Sentiment Index. Measures the
performance of 200 S&P 500 constituents with the highest
sentiment scores. Index constituents are float-adjusted market
capitalization (FMC) weighted, subject to a single constituent
weight cap of 10%.
- S&P 500 Twitter Sentiment Select Equal Weight
Index. The index measures the equal-weighted performance
of 50 S&P 500 constituents with the highest sentiment
scores.
The indices measure sentiment daily through an analysis of
Tweets containing "$cashtags" that reference the stock symbol of a
S&P 500 company. Through the Twitter API, S&P Dow Jones
Indices consumes these Tweets in real-time and screens them to
determine an overall "z-score" measuring the level of positive
sentiment surrounding each company. The scoring model is based on a
training database which is used to determine the likelihood that
particular words in a Tweet are positive or negative. Several
filters are applied to eliminate spam Tweets.
The indices rebalance at the beginning of each month with the
top 200 companies by sentiment score being added to the S&P 500
Twitter Sentiment Index and the top 50 being added to the S&P
500 Twitter Sentiment Select Equal Weight Index.
"Factor-based indices are a popular strategy for passive
investors, so we're excited to work with Twitter to bring this
unique tilt to the S&P 500," said Peter Roffman, Global Head of Innovation and
Strategy, S&P Dow Jones Indices. "Social media is impacting
the way information is being conveyed to investors and the
combination of S&P DJI's 125 years of indexing experience with
Twitter's large, growing social media community data set will
provide a compelling barometer for investors looking to capture
market sentiment."
"Twitter has a highly engaged, diverse, and growing community of
people who come to the platform every day to discuss financial
topics," added Jared Podnos,
Strategic Market Development Lead at Twitter. "We're thrilled
to work with S&P Dow Jones Indices, creating an innovative
index powered by Twitter's Developer Platform. The S&P 500
Twitter Sentiment Index gives the finance community on Twitter a
new and exciting way to see the impact of their conversations on a
stock market index."
The conversations taking place and opinions being shared on
social media have an increasingly significant impact on markets. On
Twitter, finance conversations in the US were up more than 26% in
2020 from 2019 according to Twitter internal data, signaling a
growing community on the platform.1 For more
information about the finance community and conversation on
Twitter, visit t.co/sptwitter.
The full methodology and fact sheets, including historical
back-tested performance data, for the S&P 500 Twitter Sentiment
Index Series can be found downloaded at www.spglobal.com/spdji.
ABOUT S&P DOW JONES INDICES
S&P Dow Jones Indices is the largest global resource for
essential index-based concepts, data and research, and home to
iconic financial market indicators, such as the S&P 500® and
the Dow Jones Industrial Average®. More assets are invested in
products based on our indices than products based on indices from
any other provider in the world. Since Charles Dow invented the first index in 1884,
S&P DJI has been innovating and developing indices across the
spectrum of asset classes helping to define the way investors
measure and trade the markets.
S&P Dow Jones Indices is a division of S&P Global (NYSE:
SPGI), which provides essential intelligence for individuals,
companies, and governments to make decisions with confidence. For
more information, visit: www.spglobal.com/spdji.
ABOUT TWITTER
Twitter (NYSE: TWTR) is what's happening and
what people are talking about right now. To learn more, visit
about.twitter.com and follow @Twitter. Let's talk.
1 Source: Twitter Internal Data. From
January 1 to October 31 of 2019 and
2020. Data retrieved November 2020.
US Only.
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SOURCE S&P Dow Jones Indices