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Speculative Flow Index (Aptos)
Tier 1

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

Overview

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APT Price with Speculative Flow Index

Factor Plot

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

Our Methodology
-0.03

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 APT 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Aptos)Strategy
-78.6%
-70.6%
103.3%
83.8%
0.53
0.39
4.1%
-1.1%
0.00
-0.03
1.00
0.81

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 0.5% 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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