Retail Flow
retail_flowRetail order-flow imbalance inferred from venue-level trade prints.
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 vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Retail Flow's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | EW avg | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.00% | — | — | — | 0% |
| 3 months | +0.00% | — | — | — | 0% |
| Year to date | +0.00% | — | — | — | 0% |
| 1 year | +0.00% | — | 0% | 0.00 | 0% |
| Since inception | +0.00% | — | 0% | 0.00 | 0% |