etf comembership contagion
What it checks
When many ETFs increase exposure to the same stock, we treat that as flow pressure and go long.
Mechanism
Aggregate ETF constituent-weight changes proxy flow pressure and common-ownership contagion. Stocks receiving broad ETF weight increases are held long.
Signal rule
Aggregate ETF holding-weight delta >= 90th percentile -> LONG constituent; hold 20/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
etf_holdingsETF holdings and N-PORT constituent-weight panel.
Expected edge
- Paper alpha
- 100-250 bps over 20-60d (modeled)
- Paper window
- 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
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
index rebalance driftEventWhen a stock is added to the S&P 500, index funds must buy it on the effective date. The announcement (typically 3-5 trading days before) triggers a front-running rally averaging +8% by effective date. Deletions show a symmetric -4% drop. Both effects partially reverse in the 20 days after effective date. We trade adds long from (eff_date − 4d) through eff_date and short the reversal for 10-21d after; deletions get a 5d-lagged long for 21-63d on the overdone fade.
liquidity provision premiumMicrostructure5d reversal compensates liquidity providers; scales with VIX.
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