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October 11, 2021

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

July 2021

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

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

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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