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Institutional Flows Stable After Last Week’s #Coronavirus Sell Off

The Coronavirus has undoubtedly affected institutional investors and their respective investment plans. AbleMarkets Institutional Activity Index indicates that, after the initial sell-off, institutions are net buying again in the markets.

AbleMarkets Institutional Activity Index (IAI) tracks microstructure-based flows of funds. The models are probabilistic, but based on decades of microstructure research and thorough testing against various open data sources. While the AbleMarkets IAI does not identify individual institutions by name, their aggregate activity impacts the price movements in the markets for the following days and even weeks. Figures 1-5 show predictability of the AbleMarkets AIA during the Coronavirus crisis for selected stocks. In particular, AAPL and SPY are notoriously hard to forecast, yet are predicted well by the AbleMarkets AIA.

As Figure 3 shows, the continuing drop in AIG is presently NOT driven by institutional investors, according to AbleMarkets IAI. Similarly, the continuing rise in Guggenheim CurrencyShares Euro Trust (NYSEARCA: FXE) is unwarranted from the institutional perspective, as shown in Figure 4. Since the movement in FXE has been shown to be tightly with the changes in EUR/USD, the institutional activity as shown by AbleMarkets IAI suggests that both FXE and EUR/USD have been overbought.

 

The AbleMarkets AIA is available on the intraday, daily and monthly basis via subscription. The index covers U.S. equities, ETFs, currencies and selected commodity futures. For more information, please email Irene@AbleMarkets.com.