Speculative Flow Index (Arbitrum)
Index

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

Overview

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ARB Price with Speculative Flow Index

Factor Plot

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Our Methodology

-0.08

Overall

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

Components

US Cloud Computing Sector Momentum Spillover Tech Sector Momentum Spillover High Yield Bond Momentum Spillover Corporate Bond Momentum Spillover Inflation Linked Bonds Momentum Spillover

Scatter plot - Speculative Flow Index and ARB 30 and 90 Day Average Returns

Backtest - Strategy Performance

	Benchmark (Arbitrum)	Strategy
Max Drawdown	-88.3%	-80.3%
Volatility	92.8%	72%
Sharpe Ratio	-0.17	-0.38
CAGR	-44.3%	-41.1%
Alpha	0.00	-0.07
Beta	1.00	0.76

To understand a predictive factors predictive power, we create a simple long-only strategy and simulate its past performance (with daily rebalancing):

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.

Reproduce the backtest using our API

Get started by validating the historical performance of this factor with our transparent code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.