Retail Flow

The market-neutral Retail Flow portfolio is designed to measure and respond to retail investor activity. By analyzing order book and positioning data sourced from exchanges, the strategy identifies assets heavily influenced by retail participation. It then takes systematically contrarian positions—shorting overbought assets and going long under-owned ones—seeking to exploit predictable patterns of overreaction and herding behavior. With balanced long and short exposure, the portfolio minimizes directional risk while monetizing behavioral inefficiencies, offering a unique edge in volatile, sentiment-driven markets.

Its universe consists of the most liquid and actively traded assets, identified on rolling basis - various techniques employed to keep it both stable and relevant, as well as survivorship-bias free.

To balance each asset's risk contribution, positions are scaled according to the inverse of their rolling volatility.

The portfolio is rebalanced daily, at midnight UTC, weights are calculated at 11:55am UTC.

The backtest displayed here assumes fixed 0.5% transaction costs.