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NEW! AI for Regulatory Filings

AbleMarkets Corporate Filings AI Index for AXP for 20220716

We read and process ALL the regulatory announcements for you, so you can just receive an alert! (Email, text or app)

Available history: from January 2015

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NEW! News AI

AbleMarkets NewsAI Top Words Driving the Markets on 20220816

We process all news and rank their application to all stocks, so you can spend more time on other things.

Available history: from February 2020

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Aggressive HFT Index

AbleMarkets: AHFT sellers dominated AHFT buyers in Crude Oil Futures at 1230 on 20220816

Stop worrying about HFT and get the facts. We identify and track the latest HFT algos. Intraday. Predictive.

Available history: from 2016

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Institutional Investor Activity

AbleMarkets: Institutional buyers dominated sellers in the U.S. stocks at 1130 on 20220816

We reverse-engineer institutional execution algos so you can track and benchmark performance intraday. Predictive.

Available history: from 2017

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Latest Research


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Equities with the highest Aggressive HFT participation (average of buy and sell daily AHFT flows) in the U.S. markets as of August 15, 2022:

DSGN: 53.64%
GRMN: 48.15%
EWTX: 42.21%

Equities with the highest Institutional Activity (average of buy and sell daily institutional flows) in the U.S. markets as of August 15, 2022:

JHG: 99.43%
CLPT: 98.52%
SBRA: 97.77%

August 5, 2022

AbleMarkets Institutional Activity Index outperforms the S&P 500 by nearly 30% this year
  • AbleMarkets Institutional Activity Index: +15% YTD equally-weighted across the entire Russell 3000
  • S&P 500 index continues to perform poorly as a whole.
  • The return of risk appetite and volatility has been a boon for quant portfolio managers.
  • Quant Portfolio Managers are experiencing exceptional returns with a simple rebalancing strategy, 40%+ above the S&P 500!
Contact us today!


March 17, 2022

Institutional flows highly predictive on the day-ahead basis
  • AbleMarkets Institutional flows data continues helping investors beat the market.
  • With a cumulative return of 283.12% and a Sharpe ratio of 2.20 since 2018, a Russell 3000 strategy based on AbleMarkets Institutional Activity Index posted +6.77% gains for January and February 2022 (as opposed to -8% for the S&P 500).
  • AbleMarkets Institutional Activity Index identifies, aggregates and distributes net buy and sell institutional flows observed in the public markets.
  • Sign up today to see what your competition is doing.
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March 1, 2022

Institutional activity quarterly reversal Leads to high quarter-long profitability
  • AbleMarkets Institutional Investor Activity (IIA) index tracks institutional flows on the intraday and daily basis.
  • A 60-day moving average (MA) in the institutional flows is highly predictive of the following 60-day returns, out of sample.
  • A 60-day IIA-MA based Russell 3,000 long-short strategy delivered 22% per annum on average from January 2021 through Feb 28, 2022, all based on the 60-day holding period.
  • A 60-day IIA-MA based S&P 500 long-short strategy delivered 21% per annum on average from January 2021 through Feb 28, 2022, all based on the 60-day holding period.
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February 15, 2022

NEW PRODUCT ALERT: AbleMarkets RegAI Index summarizes regulatory filings on a convenient "likely to drive price up" 0-100 scale. Cumulative performance across Russell 3000 shown below. Contact us today!


February 1, 2022

Optimizing Execution and Market-Making with Daily SmartVWAP by AbleMarkets.

Abstract: Following AbleMarkets flows in U.S. equities helped execution managers outperform VWAP by $0.5-$0.90 per share over the past year. The exact performance varies from stock to stock. Below is the 2021 SmartVWAP performance for some of the widely held issues:

  • SPY: ~$0.50 per share or 0.11% ($1,100 per every $1,000,000 traded)
  • AAPL: ~$0.06 per share or ~0.05% ($500 per every $1,000,000 traded)
  • PFE: ~$0.02 per share or ~0.05% ($500 per every $1,000,000 traded)

October 11, 2021

AHFT participation varies over time. AHFTs prefer higher-priced stocks.


July 2021

Concentrated Portfolio Implementation with AbleMarkets Institutional Investor Activity (IIA) Index

Abstract: AbleMarkets Institutional Investor Activity (IIA) index provides quant researchers the ability to construct flexible portfolios depending on the mandate:

  • Portfolios based on a large difference in buy vs. sell flows result in concentrated portfolios, minimizing transaction costs.
  • Portfolios based on a small difference in buy vs. sell flows produce diversified portfolios with higher turnover.
  • The IIA index can be used in many ways depending on the target portfolio construction goals. Portfolio performance can be further optimized with intraday execution.
  • Perfect for: portable alpha, currency hedging in a portfolio, hedging of EUR-based positions, risk management of EUR/USD trading or investing, option trading, much more.

May 2021

AbleMarkets Institutional Activity Predicts 5-, 10-, 20 and 60-Day Beta

Abstract: Beta is commonly used in portfolio management, hedging and other risk management, options trading and more. In this paper, we show that market-microstructure derived identification of institutional flows are highly predictive of future beta realizations computed out-of-sample over 5-, 10, 20- and even 60-days ahead. We present the results of the predictability analysis along with a sample use case: a successful market-neutral strategy utilizing the analysis. We find that AbleMarkets institutional activity, both buy and sell, the difference in AbleMarkets Aggressive HFT activity and the security in-sample return are highly predictive of future beta realizations. Prior betas are not predictive of future betas in most cases. The sample risk-neutral portfolio built with AbleMarkets Institutional Activity index and AbleMarkets Aggressive HFT index generates over 50% per annum in all market conditions, including the COVID crash.


May 2021

Case Study: How Daily Flows Impact EUR/USD Prices

Abstract Institutional and Aggressive HFT flows are highly predictive of impending price changes across a range of financial instruments. This study shows the flow predictability of EUR/USD foreign exchange currency pair prices over the last five years. As the study shows:

  • Simple conditional strategies based on daily AHFT and IIA activity for EUR/USD deliver 35%+ annual return and Sharpe of 5+.
  • Simple conditional strategies based on daily institutional participation alone in EUR/USD deliver 22-26% annual return and Sharpe of 4.2-4.6 over the past five years.
  • Simple conditional strategies based on daily AHFT flows alone in EUR/USD deliver 26%+ annual return and Sharpe of 4.7+ over the past five years.
  • All strategies have minimal maximum drawdown of 2%-4% over the five years testing period.
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