Filings, Insiders & OwnershipExtended setexperimental liveNew

ETF Creation Redemption Flow

Updated monthlyData needs: mediumlong onlyshort only

2017

Petajisto, A. (2017). "Inefficiencies in the pricing of exchange-traded funds." Financial Analysts Journal 73(1), 24-54. + Ben-David, Franzoni & Moussawi (2018) JF.

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In plain terms

When ETFs collectively buy more shares of a stock (creation units), the flow pressure tends to drift the price up over weeks; redemption flows do the opposite.

How it works

ETF creation-unit flows transmit non-fundamental demand into constituents (Petajisto 2017). Ben-David et al 2018 show flow-driven ETF demand predicts short-horizon drift. We proxy flow via delta shares-held across N-PORT snapshots.

Live results

6 times picked on its own · 22 times inside a blend (15 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 22 such blended picks (15 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)

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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

Petajisto/Ben-David ETF flow passthrough; internal target 100-250 bps over 20-60d.

Example tickers where this is likely to fire

AAPL MSFT NVDA TSLA AMZN

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

Related families

Shared-ETF ContagionFilings, Insiders & Ownership

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

ETF Premium Discount RevertFilings, Insiders & Ownership

When an ETF trades at a premium or discount to its underlying basket, the gap closes within 1-3 days as arbitrageurs step in - we fade the deviation.

Index-Rebalance DriftCompany Events & Earnings

When a stock is added to the S&P 500, index funds must buy it on the effective date — front-runners earn +8% by then. Symmetric -4% on deletions.

Explore ETF Creation Redemption Flow on alphactor.ai

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