Bringing you live news and features since 2013
Bringing you news, views and analysis since 2013
One finger

21665

CBOE launches first in series of social media-based strategy benchmark indices

RELATED TOPICS​

Chicago Board Options Exchange (CBOE) has launched the CBOE-SMA Large Cap Index (SMLC Index), the first of a series of sentiment-based strategy benchmark indexes that measure short-term market momentum based on Social Market Analytics’ (SMA) social media metrics.

CBOE announced in June that it entered into an exclusive licensing agreement with SMA to develop a series of sentiment-based strategy benchmark indexes. 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.
 
Chicago-based SMA is a provider of actionable intelligence from social media sources.
 
The SMLC Index is designed to track the performance of a hypothetical strategy that on a daily basis buys an equally weighted portfolio of 25 stocks with high SMA S-Scores.
 
S-Scores, extracted from Twitter traffic by SMA algorithms, reflect investors’ sentiment about stocks and are believed to be predictive market signals.
 
The SMLC Index stock portfolio is constituted daily at 8:30 am CT from CBOE’s Large-Cap Universe on the basis of SMA S-Scores at 8:10 am CT. Stocks in CBOE’s Large-Cap Universe are in the top 15 per cent capitalisation tranche of underlying shares for options listed on CBOE (approximately 3,000 stocks) and have market capitalisations that are greater than or equal to USD10 billion.
 
The SMLC Index is calculated by CBOE each business day at 3:00 pm CT. The hypothetical value of the index is held in cash until 8:30 am CT the following business day, when it is reinvested in the next SMLC portfolio. 

Latest News

Data provider Preqin has published its Deal Flow Monitor: Q1 2024 report, examining trends in..
Global index revenues increased 9.3 per cent in 2023, totalling a record USD5.8 billion, according..
Octopus Investments (Octopus) has announced it has launched a Natural Capital Strategy...

Related Articles

Trends
The trend to buyout among the UK’s smaller defined benefit (DB) schemes continues with a slew of new sub GBP100 million deals announced this month alone...
The trend to buyout among the UK’s smaller defined benefit (DB) schemes continues with a slew of new sub GBP100..
Different flavours
In what is believed to be the first survey of its kind in the UK market, Nedgroup Investments, the investment-led, multi-boutique global asset manager with over USD20 billion under management, recently undertook a survey with 204 UK investment professionals, seeking insights into their perceptions and attitudes towards boutique asset managers...
In what is believed to be the first survey of its kind in the UK market, Nedgroup Investments, the investment-led,..
UK map
UK local government pension schemes (LGPS) are leading the charge on investment in private markets issuing tenders set to be worth billions of pounds in the coming years...
UK local government pension schemes (LGPS) are leading the charge on investment in private markets issuing tenders set to be..
The trend of private equity firms acquiring businesses in the professional services sector continues with CVC Capital Partners eyeing a possible buyout of EY’s Italian consulting branch...
The trend of private equity firms acquiring businesses in the professional services sector continues with CVC Capital Partners eyeing a..
Subscribe to the Institutional Asset Manager newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by