What Is The ‘Volfefe Index’? JPMorgan To Track How Trump’s Twitter Comments Impact Markets

President Trump’s predilection for tweeting about things like trade conflicts and companies has often sparked market volatility. The effects of Trump’s tweets will soon be tracked for the benefit of businesses and investors.

Analysts at JPMorgan Chase and Co. have created what they call the “Volfefe Index” to track the effect Trump’s Twitter musings have on U.S. interest rates and Treasury yields. The name derives from the finance term volatility and “covfefe,” a typo Trump notoriously tweeted in 2017 when attempting to discuss negative media coverage.

Analysts explained that the number of Trump tweets that caused market volatility increased in August, prompting a need to pay more attention to their effects.

“The subject of these tweets has increasingly turned toward market-moving topics, most prominently trade and monetary policy,” the analysts said about the need for the Volfefe Index. “And we find strong evidence that tweets have increasingly moved U.S. rates markets immediately after publication.”

The analysts also noted that "a broad swath of assets from single-name stocks to macro products have found their price dynamics increasingly beholden to a handful of tweets from the commander in chief."

According to CNN, JPMorgan did not specify any tweets as examples of what they might track but did identify certain trigger words that tend to signal market shifts, including “billion,” “China” and “products.”

Bloomberg cited Citigroup quantitative foreign-exchange strategist Sukrita Chatterji's statistic that about "10% of the president’s tweets since his November 2016 election pertain to subjects of importance to U.S. markets."

CNBC Washington correspondent Eamon Javers noted on Twitter that the White House has not issued a statement on the index’s creation.

Trump has posted 10,000 tweets since his inauguration in 2017.

JPMorgan said that they are confident in the model’s efficacy, calling its results “firmly statistically significant.”