State Street Corporation (NYSE:STT) has launched State Street MediaStats Macro Linkages, a new set of quantitative investment insights derived from digital media.
First launched in 2016 with State Street partner MKT MediaStats, LLC, the new solution collects unstructured data from tens of thousands of curated media sources in order to quantify leading indicators of market behaviour with respect to price and risk across global equity and foreign exchange markets.
“Better access to information influences the way investors behave and academic research shows that economic linkages play a vital role in asset pricing and security co-movement,” says Will Kinlaw (pictured), head of State Street Associates. “State Street MediaStats scours traditional media, social media and corporate communications to understand how—and how often—currencies and equity markets are being jointly discussed in media. By aggregating media co-mentions between assets, we are able to offer our clients consumable insights on macroeconomic trends and connection points between assets, enabling more informed investment decisions.”
State Street MediaStats’ full range of indicators now includes:
• FX and Country Equity Media Indicators that use natural language processing and machine learning to analyze large sets of unstructured media data, comprising international and domestic media, social media, business news and trading media. These proprietary indicators derive standardized measures of intensity, sentiment and disagreement in media coverage to assist portfolio managers in assessing the outlook for 33 foreign currencies and 44 global equity markets.
• Macro Linkages Indicators that track inter-asset connectedness among country equity markets and currencies.
• Company Media Indicators that provide insights into company dynamics using proprietary algorithms to measure the abnormal intensity, conditional sentiment and disagreement in media coverage of approximately 3,000 US listed individual companies.
• Company Linkages Indicators that gauge the strength and impact of inter-company relationships based on company co-mentions in media for approximately 500 US listed large cap companies.
• Aggregate Media Indicators that generate measures of the abnormal intensity, conditional sentiment and disagreement in media coverage of US sectors, industry groups and industries.
• Aggregate Linkages Indicators that track the dynamic relationships between sectors, industry groups and industries based on constituent company co-mentions in media coverage.
• Earnings Prediction Technology, or EPTech, which analyzes large sets of consumer data to gauge patterns of digital consumption for approximately 350 large US listed firms. These patterns, reflective of consumer behavior in the real economy, can provide investors with an additional, distilled input as they formulate quarterly earnings estimates.
“In an environment of increasing market volatility, investors need to constantly innovate in order to build competitive investment strategies,” says Dr. Gideon Ozik, founder of MKT MediaStats. “These new macro linkages indicators provide a unique opportunity for investors to form an uncorrelated perspective on currencies and global equity markets based on vast amounts of alternative data sources.”
The State Street MediaStats indicators build on the capabilities of State Street’s academic think tank, State Street Associates (SSA), a division of State Street Global Markets. SSA bridges the worlds of financial theory and practice, develops proprietary investment indicators, differentiated analytics applications and tailored investment strategies for institutional investors around the world.