etf creation redemption flow
What it checks
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.
Mechanism
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.
Signal rule
Per-ticker aggregate shares_held across all covered ETFs; 6-snapshot rolling z of normalized delta-shares; z >= +1 -> LONG, z <= -1 -> SHORT; hold 20/60d.
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
Petajisto/Ben-David ETF flow passthrough; 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
etf comembership contagionETF flowsAggregate ETF constituent-weight changes proxy flow pressure and common-ownership contagion. Stocks receiving broad ETF weight increases are held long.
etf premium discount revertETF flowsETF close-price deviation from NAV is transient - authorized participants arbitrage it back in 1-3 days. Sharpest in mid-liquidity ETFs (sector/factor sleeves), weakest in SPY/QQQ. We approximate NAV via snapshot-weighted constituent close.
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.
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