Introduction to Social Media Indexes
The Cboe Options Exchange (Cboe) and Social Market Analytics (SMA) are partnering in the development of a suite of innovative indexes based on SMA data, the Cboe-SMA Index Suite. SMA applies its patented account certification algorithm to extract predictive signals from Twitter traffic by passing tweets through their proprietary NLP architecture to generate different S-Factors that reflect investors' sentiment about stocks. Cboe SMA Indexes are designed to provide unique measures of the premia generated by a new "social media momentum" factor. Each index in the Cboe-SMA Index Suite will track the performance of a portfolio of stocks or options referenced to a defined universe of stocks. Each portfolio will be rebalanced frequently, e.g. on a daily or weekly basis, to maximize the value of SMA signals.