New Indicators Will Help Investors Generate Timely Insights Based on Tone of Global Central Banks and Broad Market Narratives
BOSTON--(BUSINESS WIRE)-- State Street Corporation (NYSE:STT) today announced the launch of 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 behavior with respect to price and risk across interest rate yields and foreign exchange.
“The tone of central banks influences the way investors behave,” said 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,” said 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 analyze 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 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.
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.
Click here to learn more about these indicators and to register for ‘State Street LIVE: Research Retreat on November 18 and 19. Our State Street LIVE events feature FinTech thought leaders, capital markets experts and industry changemakers who discuss how innovations in data and technology, global financial markets, culture, and values are transforming the future of finance.
About State Street Corporation
State Street Corporation (NYSE: STT) is one of the world's leading providers of financial services to institutional investors including investment servicing, investment management and investment research and trading. With $36.6 trillion in assets under custody and/or administration and $3.1 trillion* in assets under management as of September 30, 2020, State Street operates globally in more than 100 geographic markets and employs approximately 39,000 worldwide. For more information, visit State Street's website at www.statestreet.com.
*Assets under management as of September 30, 2020 includes approximately $81 billion of assets with respect to SPDR® products for which State Street Global Advisors Funds Distributors, LLC (SSGA FD) acts solely as the 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.
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