CBOE Unveils Social Media-Based Strategy Benchmark Index

Chicago Board Options Exchange Exchange An exchange is known as a marketplace that supports the trading of derivatives, commodities, securities, and other financial instruments.Generally, an exchange is accessible through a digital platform or sometimes at a tangible address where investors organize to perform trading. Among the chief responsibilities of an exchange would be to uphold honest and fair-trading practices. These are instrumental in making sure that the distribution of supported security rates on that exchange are effectiv An exchange is known as a marketplace that supports the trading of derivatives, commodities, securities, and other financial instruments.Generally, an exchange is accessible through a digital platform or sometimes at a tangible address where investors organize to perform trading. Among the chief responsibilities of an exchange would be to uphold honest and fair-trading practices. These are instrumental in making sure that the distribution of supported security rates on that exchange are effectiv Read this Term (CBOE) announced today that it has just launched the CBOE-SMA Large-Cap Weekly Index (SMLCWSM Index), the second in a series of sentiment-based strategy benchmark indices designed to capitalise on short-term market momentum based on Social Market Analytics Analytics Analytics may be defined as the detection, analysis, and relay of consequential patterns in data. Analytics also seeks to explain or accurately reflect the relationship between data and effective decision-making. In the trading space, analytics are applied in a predictive manner in an attempt to forecast the price more accurately. This predictive model of analytics generally involves the analysis of historical price patterns that are used in an attempt to determine certain price outcomes. Analy Analytics may be defined as the detection, analysis, and relay of consequential patterns in data. Analytics also seeks to explain or accurately reflect the relationship between data and effective decision-making. In the trading space, analytics are applied in a predictive manner in an attempt to forecast the price more accurately. This predictive model of analytics generally involves the analysis of historical price patterns that are used in an attempt to determine certain price outcomes. Analy Read this Term’ (SMA) social media metrics.

SMA is a Chicago-based data analytics firm which provides institutional investors with real-time predictive social media quantitative data analytics across equities, exchange-traded derivatives, FX and ETFs.

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The CBOE-SMLCW Index is reconstituted every Friday and represents a longer-duration portfolio than the CBOE-SMA Large-Cap Index (SMLC), which is reconstituted daily.

CBOE launched the CBOE-SMA Large-Cap Index, the first of its sentiment-based benchmark indexes that measure market momentum based on SMA’s social media metrics, back in August.

Second in Series

In a similar way to the first SMLC Index, the SMLC Weekly Index tracks the return of a hypothetical portfolio strategy designed to monetise the information in SMA S-Scores. SMA derives actionable signals that quantify market sentiment regarding stocks from social media data streams. S-Scores express rising or declining sentiment for different stocks.

The SMLCW Index portfolio comprises 25 equally weighted stocks drawn from the CBOE Large-Cap Universe - usually around 450 stocks, with the highest average 5-period SMA S-Scores. Stocks in this universe are in the top 15 percent capitalisation tranche of stocks that are the underlyings for options listed on the CBOE (approximately 3,000 stocks) and have a market capitalisation greater than or equal to $10 billion. The Large-Cap Universe is reconstituted quarterly on the third Friday of the month.

Performance

According to a back-tested study of recent data, the CBOE-SMLCW Index outperformed the cumulative returns for the S&P 500 Index on a one-month, year-to-date and one-year basis, partly because the returns tend to be independent of bull or bear market cycles.

CBOE entered into an exclusive licensing agreement with SMA to develop a series of sentiment-based strategy benchmark indices back in May 2016.