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November 9, 2022

Why the AbleMarkets Institutional Investor Activity Index is a must-follow for quants

• The AbleMarkets Institutional Investor Flow data provides near-real-time estimates of institutional investor activity, which can be used to identify potential buying or selling pressure.
• This data is also crucial for determining whether a stock price is overpriced, underpriced, or at fair value.
• With a Sharpe ratio of 1.57 - 2.5 for 30+ day positions and annualized Sharpe of 14-30 for intraday trades, the AbleMarkets Institutional Investor Flow data is essential for anyone looking to make money in today's markets.

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October 13, 2022

AbleMarkets Aggressive HFT Index: Longer Hold Times + Execution Delays Using Adj Close Reference Data

• In real life portfolio management operations, the same day execution of positions may not be feasible for several reasons:
  1. Large positions may require investment and/or risk committee approvals
  2. Execution of large positions needs to be extended to several days
• In this note, we show how AbleMarkets Daily Aggressive HFT index can be used in a successful longer-term portfolio optimization with positions held 20-30 trading days.
• We test long-range strategies based on the moving averages and trends in the AHFT index and the corresponding impact on the equities using formal Adj Close data from Yahoo! Finance to avoid any data ambiguities.
• We find that all Russell 3000 stocks, but stocks priced at $25/share or below in particular, respond well to the moving average of the AHFT data.
• We obtain 90%+ average returns per annum with Sharpe ratios of 2.5 and higher.

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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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