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Speculative Flow Index (MANTRA)
Tier 1

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

Overview

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OM Price with Speculative Flow Index

Factor Plot

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

0.61

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 OM 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (MANTRA)Strategy
-98.9%
-85.6%
149.7%
109%
0.66
1.14
-17.3%
98.6%
0.00
0.61
1.00
0.66

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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