Real-Time Streaming AI Finance Research

September 13, 2022

Momentum and Mean-Reversion with AbleMarkets Aggressive HFT Index

• In the short term (1-5 trading days), HFTs drive momentum in prices of financial instruments. In the longer term (10-20 trading days), HFT behavior triggers a reversal in prices.
• Momentum and reversals are two of the most important aspects of trading. It's crucial to be able to identify when a trend is starting so you can hop on board, and equally important to know when a trend has ended so you can get out before things go too far.
• The AbleMarkets Aggressive HFT Index tracks flows generated by high frequency traders as a proportion of overall market flows. This index will help you determine when HFTs are driving the market and identify potential momentum or reversal opportunities.

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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!

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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!

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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)

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October 11, 2021

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

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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.

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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.

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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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