Predictive Strength
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Predictive Strength
Retail MMF inflows often signal risk aversion in traditional markets, while outflows suggest capital seeking higher returns. Crypto markets exhibit amplified sensitivity to these shifts due to retail crypto investors' documented tendency to chase momentum and high-risk assets
The data for Retail Money Market Funds is sourced through direct fund reporting platofrms, aggregating flow data from institutional and retail funds. Regulatory filings (e.g., SEC's Form N-MFP) provide structured asset allocation and category breakdowns, while aggregated reports from the Investment Company Institute (ICI) and Federal Reserve track weekly asset levels.
To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
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Predictive Strength
Predictive Strength
Predictive Strength