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Shared-ETF Contagion

Updated weeklyData needs: mediumlong only

paper

2014

Source

Extends Anton and Polk (2014) common ownership and ETF-flow contagion evidence using ETF holdings/N-PORT panels.

Read the paper →

In plain terms

When many ETFs increase exposure to the same stock, we treat that as flow pressure and go long.

How it works

Aggregate ETF constituent-weight changes proxy flow pressure and common-ownership contagion. Stocks receiving broad ETF weight increases are held long.

Live results

25 times picked on its own · 61 times inside a blend (54 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 61 such blended picks (54 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
ETF holdings
ETF holdings and N-PORT constituent-weight panel.

Expected edge

Reported return: 100-250 bps over 20-60d (modeled)
Tested over: T+1 to T+60d

Anton-Polk style common-ownership/flow pressure; internal target 100-250 bps over 20-60d.

Example tickers where this is likely to fire

AAPL MSFT NVDA SPY QQQ

Illustrative only, the signal fires based on the live data, not a fixed list.

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Explore Shared-ETF Contagion on alphactor.ai

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