Institutional Flow Signal
Money Flow / Trading Signal
The Institutional Flows Signal delivers a one day open-to-open hold time strategy derived based on institutional flow estimation on a daily basis. It provides insight into large iceberg orders hidden from the order books that are usually signs of large institutional flows.
The Institutional Flows Signal is a set of continuous signals that can be used in different ways based on the trading approach. A simple way is to create a target portfolio based on the signal rankings, e.g., long top 50 stocks with the highest signals daily. The signal is also a good resource for watchlists of stocks to long or short. It could also provide insights of large institutional trades for certain individual stocks ahead of time, e.g. identifying Elon Musk’s selling TSLA stock shares in 2022 Q3.
The Signal is ranged from 0 to 1, while closer to 1 indicating buy signals and closer to 0 indicating sell signals.
SUPPORT AND PURCHASE
RELATED RESEARCH AND INSIGHTS
The dollar neutral backtest has a turnover ratio of 75+%, meaning the majority of the time the 75% of the portfolio turns over each day - the hold times being from 1 to 2 days.
From 01/01/2019 to 03/01/2022, the annualized return is 9.30% and the total return of 29.49%, and a Sharpe ratio over 3 (excluding transaction costs). Based on our risk factor analysis, above 90% of the return is idiosyncratic that is independent from market small beta factors.
|Product Type||Trading Signal|
|Geographic Area||U.S. Equities|
|Backtest Start Date||2019-01-01|
|Strategy Start Date||2022-03-01|
|Delivery Time||6AM CT|