State Street Expands MediaStats Offering with Macro Linkages Indicators
November 18 2019 - 1:21PM
Business Wire
New Macro Linkages Indicators to Help Investors Gauge
Inter-Asset Connectedness across Global Equity Markets and
Currencies
State Street Corporation (NYSE:STT) today announced the launch
of 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 behavior 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,” said Will
Kinlaw, 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,” said 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.
About State Street Corporation State Street Corporation
(NYSE: STT) is the world's leading provider of financial services
to institutional investors including investment servicing,
investment management and investment research and trading. With
$32.90 trillion in assets under custody and administration and
$2.95 trillion* in assets under management as of September 30,
2019, State Street operates globally in more than 100 geographic
markets and employs approximately 40,000 worldwide. For more
information, visit State Street's website at
www.statestreet.com.
* Assets under management include the assets of the SPDR® Gold
ETF and the SPDR® Long Dollar Gold Trust ETF (approximately $44
billion as of September 30, 2019), for which State Street Global
Advisors Funds Distributors, LLC (SSGA FD) serves as marketing
agent; SSGA FD and State Street Global Advisors are affiliated.
About MKT MediaStats, LLC State Street partner MKT
MediaStats, LLC is a technology and data analytics company, which
combines expertise in data science and financial economics to
extract financial markets insights from unique sets of untapped big
data sources. MKT MediaStats LLC was founded by Gideon Ozik,
affiliate professor at École des Hautes Etudes Commerciales du Nord
(EDHEC) Business School and former hedge fund manager at Société
Générale; Professor Ronnie Sadka, chair of the Finance Department
at Boston College’s Carroll School of Management; Hadar Shezifi,
technology entrepreneur and former architect at Neustar; and
Professor Ken Froot, of Harvard Business School, who is also a
founding partner of State Street Associates.
State Street Corporation One Lincoln Street, Boston, MA
02111-2900.
© 2019 State Street Corporation - All Rights Reserved
Expiration Date: 11/30/2020
2830113.1.1.GBL.RTL
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Brendan Paul +1 401 644 9182 Bpaul2@statestreet.com
@StateStreet
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