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Speculative Flow Index (Aave)
Tier 1

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.

Overview

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AAVE Price with Speculative Flow Index

Factor Plot

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▆ Very Low▆ Low▆ Moderate▆ High▆ Very High

0.27

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.

Components

US Cloud Computing Sector Momentum SpilloverTech Sector Momentum SpilloverHigh Yield Bond Momentum Spillover
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Scatter plot - Speculative Flow Index and AAVE 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Aave)Strategy
-92.2%
-62%
112.7%
78.3%
0.93
1.19
52.4%
88.1%
0.00
0.27
1.00
0.62

Predictive factors are designed to be translated into simple long-only strategy, with simulated past performance:

  • 100% Long when the predictive factor is close to 1, with a position size equivalent to the predictive factor value.
  • Flat when the predictive factor is close to 0, with a position size equivalent to the predictive factor value.

The strategy is rebalanced daily, on a continuous basis. There are 0.05% transaction costs applied on each position adjustment.

Replicate the backtest

Get started by replicating the historical performance with our code snippets.

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