Retail Flow
retail_flowQuantifies retail money flow, positioning, and activity and systematically takes contrarian positions.
How the factor is constructed
Retail Flow measures and responds to retail investor activity. By analyzing individual executed trades sourced from exchanges, it identifies assets heavily influenced by retail participation and takes systematically contrarian positions, seeking to exploit predictable patterns of overreaction and herding. Order sizes and types differentiate retail from institutional activity; five distinct techniques quantify trade imbalances and are combined in an ensemble without optimization or parameter fitting.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Retail Flow
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -3.03% | +5.12% | — | — | -3.4% |
| 3 months | +1.11% | -17.26% | — | — | -4.1% |
| Year to date | +4.35% | -27.77% | — | — | -6.1% |
| 1 year | +0.17% | -45.85% | 10.9% | 0.13 | -8.8% |
| Since inception (CAGR) | +13.59% | +39.55% | 14.5% | 0.95 | -17.2% |