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Social Media: A New Source Of Useful Data For Capital Markets

www.SocialMarketAnalytics.com

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Why The Fidelity Community Should Be Interested

The SMA Social Media Framework & Process

What The Fidelity Community Will See

Agenda

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Key SMA Value Propositions

• Properly Analyzed Social Media Data Can Provide – New Content For Alpha Generation – Consistent, Quantifiable Metrics – Investment/Trading Idea Generation – A Measure Of The Impact Of Breaking News – Algorithmic Execution Enhancement – Early Warning Of Potential Market Moves – Updated Sentiment on Companies And Their Competitors

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Selerity Research Study

Selerity, A Content Analytics And Media Company, Recently Published An Analysis Of Breaking Mergers And Acquisitions (M&A) News Events And Their First Mention On The Social Network, Twitter. Prior To Twitter, Investors Had To Rely On Professional Newswires And Market Data Products (“Pro-sources”) To Learn First About Breaking M&A News, Some Of The Most Highly-watched And Anticipated Events On Wall Street.

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• What Is Being Said In Social Media (Twitter) • Who Is Saying It • Sophisticated Natural Language Processing • Complex Statistical Analysis Over Look Back Period These Four Elements Result In SMA’s Being Able To Establish The “Normal” Level Of Social Media Conversations For Equities.

What SMA Then Does Is To Calculate Sentiment (or “S-”) Factors That Measure Significant Changes (Either Positive Or Negative) In Those Social Media Conversations. These S-Factors Are A New Useful Source Of Information.

The SMA Social Media Framework: Key Elements

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SMA Social Media Framework

SMA’s Patented Technology Generates Predictive Indicators Of Market Behavior Based On Social Media Sentiment And Provides Its Customers With Actionable Intelligence To

Discover Real-time Investing Opportunities

Raw Materials Actionable Intelligence

Soci

al M

edia

Dat

a Extractor Evaluator Calculator

Extracts All Tweets For Designated Securities

No Filtering

Removes Spam And Assesses Relevance Of

Data

Calculation Engine Quantifies Relevance Based

On Indicative Data

>90% of Tweets Filtered Out

SMA S-Factors:

A New Powerful Tool For The Fidelity Community.

A New View Of What Is Being Said

“Meaningfully” On Social Media About Equities

Quantified Real-time

Sentiment Data For Securities

Continuous Feedback

S-Score S-Delta

SV-Score S-Dispersion

Extractor

• Source Agnostic Retrieval Platform • All U.S. Equities, Commodities, Forex & ETFs • Message, Source, Posting Account, Location Data

Evaluator

• Financial Tuned Lexicon

• Identification Of Professional Investors

• Identification Of Relevant Tweets

Patented Technology

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SMA Social Media Framework – Patent Allowance

Raw Materials

High S-Score Stocks Outperform And Low S-Score Stocks Underperform.

• Daily Open-To-Close Returns • Universe Is Full Active Equity Universe Each Day • Market Benchmark Is S&P 500 • Beta S-Score > 2 = 1.03 Vs SP S-score <-2 = 1.08

-60.00%

-40.00%

-20.00%

0.00%

20.00%

40.00%

60.00%

80.00%

100.00%

120.00%

140.00%

160.00%

12/1/2011

2/1/2012

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mul

ativ

e Re

turn

s

Date

|S-Score|> 2 and Price > 5 Long Portfolio O-C Returns Twitter Derived 09:10 AM Sentiment

12/1/2011-02/05/2016

S-Score > 2 Return Twitter SPY Returns S-Score < -2 Return Twitter

S-Score Cum. Rtn. Sharpe Ratio Sortino RatioS-Score > 2 113.73% 1.44 2.33SPY 17.02% 0.42 0.64S-Score < -2 -40.74% -0.80 -1.23LongShort 252.59% 3.58 7.10

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The Fidelity SMA Sentiment Factors(“S-Factor”) Subset

S-Score TM

S-Delta TM

SV-Score TM

S-Dispersion TM

The Normalized Representation Of A Security’s Sentiment Time Series Over A Look Back Period. • S-Score is the core S-Factor, it describes the tone of the conversation relative to historical

benchmarks. Is the conversation about the security significantly more positive or negative than normal.

The Change In A Security’s S-Score TM Level At An Observation Time Relative To An Earlier Time

The Normalized Representation Of A Stock’s Indicative Tweet Volume Time Series Over A Look Back Period

A Measure Of The Diversity Of Twitter Sources Contributing To A Security’s S-ScoreTM

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Independent Verification: SMA New And Unique Data

Markit White Paper: “#Alpha: Extracting Sentiment From 140 Characters”

– Extremely Low Correlation With Top Momentum Indicators Indicate SMA S-factors Are A New And Unique Indicator For Short Term Alpha.

Factor Correlation60-Month Beta 0.005-Day Industry Relative Return -0.08Most Recent Earnings Surprise -0.01Net Number of Revisions for Fiscal Year 1 0.00ATM Put Volatility - ATM Call Volatility -0.02Implied Volatility 0.06Short Interest 0.001-Month Change in Short Interest 0.01

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TWTR Tweets from Selerity

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S-Score Behavior after TWTR Tweets

Selerity Tweets S-Score

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The Intel Altera Windfall Trade Tweet

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Twitter Is A Leading Indicator Of Positive And Negative Stock Movement.

SMA Is Powered By Quantitative Analysts/Developers With Extensive Backgrounds In Trading Technology.

Historical Back Testing Supports The Fact That SMA Insights Are Tradable And Can Deliver Alpha.

The SMA Engine Delivers Clean Sentiment Metrics That Eliminate The Noise From Social Media Data.

SMA Is Proud To Be Of Service To the Fidelity Community.

Summary

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www.socialmarketanalytics.com

@SMAInfo

Introducing the Recognia Technical Summary Score

Peter Ashton VP, Retail and Self-Directed Investing

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Agenda

• Who is Recognia?

• Introduction to Technical Analysis

• Technical Event Types

• Introducing the Technical Summary Score

• Q & A

Who is Recognia?

• Industry leader providing technical, fundamental and quantitative investment research for retail online investors and traders

• Our products help automate the investment decision-making process

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What is Technical Analysis?

• Looking for patterns and relationships in price and volume history that identify attitudes of buyers and sellers

• Shifts in the balance of supply and demand

• To assist in making investment and trading decisions

Market Cycles

Charles Dow compared cycles to

tides, waves and ripples

Intermediate trend 6 weeks to 9 months

Primary trend 9 months to 2 years

Short-term trend 2 to 6 weeks

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• Prices move in trends until … • Something changes to affect supply and demand

An Example…

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• Prices move in trends until … • Something changes to affect supply and demand • Marked by patterns in price and volume history

Head & Shoulders

Bottom

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Types of Technical Events

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Technical Event Classes

• Short-term Patterns • Based on the shape and relationship of

candlesticks or price bars

• Indicators & Oscillators

• Classic Patterns

Hammer

•Hammer Hammer identified

Hammer

Shooting Star

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Technical Event Classes

• Short-term Patterns • Based on the shape and relationship of

candlesticks or price bars • Indicators & Oscillators

• Based on moving averages and various mathematical functions

• Classic Patterns • Distinct price swings forming shape on

chart

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200 day SMA

50 day SMA

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200 day SMA

50 day SMA

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Technical Event Classes

• Short-term Patterns • Based on the shape and relationship of

candlesticks or price bars • Indicators & Oscillators • Classic Patterns

• Distinct price swings forming shape on chart

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Head and Shoulders Bottom

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Head and Shoulders Bottom

Confirmation

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Pattern Height =

Expected Move

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Pattern Duration =

Trading Horizon

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Recognia Technical Events… Classic Chart Patterns • Head and shoulders tops and bottoms

• Symmetrical continuation triangles

• Double tops and bottoms • Ascending continuation triangles

• Descending continuation triangles

• Bottom triangles / wedges • Top triangles / wedges • Continuation diamonds • Continuation wedges • Diamond tops and bottoms • Megaphone tops and bottoms • Triple tops and bottoms • Upside breakouts • Downside breakouts • And more…

Indicators and Oscillators

• Price Crosses Moving Average

• Double moving average crossovers

• Triple moving average crossovers

• MACD (Moving average convergence divergence)

• Momentum • Relative strength indicator (RSI)

• Short-term KST • Intermediate-term KST • Long-term KST • And more…

Short-term Patterns • Gap ups and downs • Hammers • Shooting stars • Bullish engulfing line • Bearish engulfing lines • Gravestones • Hanging man • Inverted hammers • Island bottoms • Island tops • Shooting stars • And more…

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Opportunity Types

• Technical Events can be bullish, bearish or “other”

• Events of type “other” may be bullish or bearish depending on the situation

• Example: Gap Up and Gap Down

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Opportunity Horizon

• Dow defined three market cycles: o Short-term: 2-6 weeks o Intermediate-term: 6 weeks – 9 months o Long-term: 9 months – 2 years

• Technical Events are associated with these cycles – this timeframe is known as the Opportunity Horizon o The opportunity horizon tells us the timeframe in which the

Technical Event is likely to play out o The opportunity horizon is based on the event type, how long

the event took to form and the size of the price bars being used

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Active vs. Inactive Events • Active events are defined as events that are currently

useable for trading

• When an event occurs it is placed in the active state

• An event remains active until: o It gets too old to be useable for trading o It fails (i.e. price moves too far in the wrong direction) o For some event types, the event is cancelled by its

bullish/bearish counterpart

• Inactive events remain in the Recognia system but are not included in the count of Technical Events

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Making Sense of Multiple Events

• A typical instrument will normally have many active Technical Events

How do we best understand the overall technical picture?

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Introducing the Recognia Technical Summary Score • The Recognia Technical Summary Score uses an

algorithm that combines the number of and recency of Technical Events of a give Opportunity Horizon into a numerical score

• Technical summary: o Bullish if TSS > 0 o Bearish if TSS < 0 o Neutral if TSS = 0

• Considers active events only

• All event types taken into consideration

• Opportunity types of “other” are not used in the TSS

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Technical Summary Score Example

Stock A Technical Summary Score Implication Short-term +8 Strong Intermediate-term +1 Strong Long-term -7 Weak

Stock B Technical Summary Score Implication Short-term 0 Neutral Intermediate-term -5 Weak Long-term -7 Weak

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Technical Summary Score Example

• Presentation of Recognia Technical Summary Score within Fidelity.com

Q & A