State Street expands MediaStats offering with central bank and thematic indicators
State Street Corporation has launched State Street MediaStats Central Bank Indicators and State Street MediaStats Thematic Indicators - two new quantitative investment insights derived from digital media.
The new indicators collect unstructured data from tens of thousands of curated media sources to quantify market behaviour with respect to price and risk across interest rate yields and foreign exchange.
“The tone of central banks influences the way investors behave,” says Rajeev Bhargava, head of the Investor Behavior Research Team at State Street Associates. “Academic research shows that monetary tones may play a vital role in asset pricing and help anticipate changes in yields. Our newest indicator scours traditional media, social media, and company communications to measure aggregated monetary tones of media coverage for a specific central bank—and ultimately, gauge the degree of hawkishness in its monetary policies. By aggregating monetary tones in media coverage, we are now able to offer our clients insights on global currencies and yields, and broad macroeconomic trends.”
“In today’s evolving market environment, investors need to constantly pay attention to macro narratives and be able to quickly assess their impact on investment strategies,” says Dr Gideon Ozik, managing partner and founder of MKT MediaStats. “Thus our new thematic indicators provide a unique opportunity for investors to obtain a differentiated perspective across asset classes based on vast amounts of alternative data sources.”
State Street MediaStats’ full range of indicators now includes:
• Central Bank Indicators that gauge the degree of hawkishness in the monetary tones of 12 global central banks.
• Thematic Indicators that track 76 overall broad market narratives.
• FX and Country Equity Media Indicators that use natural language processing and machine learning to analyse large sets of unstructured media data, comprising international and domestic media, social media, business news and trading media. These indicators measure 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.
• Media Indicators that generate measures of the abnormal intensity, conditional sentiment and disagreement in media coverage of US sectors, industry groups and industries.
• 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 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 analyses large sets of consumer data to gauge patterns of digital consumption for approximately 350 large US listed firms. These patterns, reflective of consumer behaviour in the real economy, can provide investors with an additional, distilled input as they formulate quarterly earnings estimates.