We construct a novel information factor (INFO) using the informed trades of corporate insiders, short sellers, and option traders. INFO strongly predicts future stock returns-a long-short portfolio formed on INFO earns monthly alphas of 1.07%, substantially outperforming existing strategies including momentum. INFO explains hedge fund returns in the time-series and cross-section. Moreover, funds with higher covariation between their returns and INFO outperform by 0.29% per month. The results support theoretical predictions that trading volume contains unique information that is not contained in prices.