- What is the S&P 500 Twitter Sentiment Index Series? The S&P 500 Twitter Sentiment Index Series screens the S&P 500 through the use of sentiment scores derived from Tweets containing $cashtags that reference the equity symbols of S&P 500 index constituents. These Tweets are screened and scored via machine learning and natural language processing (NLP) to calculate a daily score for each stock in the S&P 500 and select the top constituents to include in each of the S&P 500 Twitter Sentiment Indices at monthly rebalance. For more information about the S&P 500 Twitter Sentiment Indices, please see the index methodology:
- Why was the S&P 500 Twitter Sentiment Index Series created? The S&P 500 Twitter Sentiment Index Series was created to reflect the performance of the names with the most positive sentiment within the S&P 500 over a given period of time.
- What specific indices are included in the S&P 500 Twitter Sentiment Index Series? As of Nov. 18, 2021, the index series consists of the following indices:
S&P 500 Twitter Sentiment Index: This index is designed to track the performance of the 200 constituents with the most positive sentiment from the S&P 500, which are weighted on a float-adjusted market capitalization (FMC) basis, with a 10% cap at rebalance.
S&P 500 Twitter Sentiment Select Equal Weight Index: This index is designed to track the performance of a selection of the 50 constituents with the most positive sentiment from the S&P 500, which have been equally weighted at rebalance.
Note that in order to be considered for either index, each company must have a sufficient number of Tweets containing $cashtags that reference the equity symbol of the company over the last month (after filtering for spam has been applied) for that sentiment score to be considered robust enough for inclusion. The number of companies without sufficient Tweet volume may vary from month to month depending on market conditions. Both indices have a decay factor applied to their daily scores at rebalance in order to ensure the most recent information is given higher importance.
- What is Twitter’s role in the S&P 500 Twitter Sentiment Indices? S&P DJI teamed up Twitter to create this index. In addition to co-branding, Twitter supplies the data necessary to score the S&P 500 members' sentiment on a daily basis.
- How does the scoring of the S&P 500 constituents work? At each rebalancing, the index selects constituents from the S&P 500 universe that have the most positive sentiment over a fixed time period and have sufficient Tweet volume to be scored. Sentiment scores are derived from an analysis of a daily feed of Tweets containing $cashtags that reference the equity symbol of a company. Each stock is scored daily, and these stocks' scores are aggregated on a monthly basis, with more recent activity receiving higher weights, given that recent sentiment often has a greater impact. All of these final monthly scores are ranked in order to create the index reconstitution for the next monthly time period.