Mutual Fund Fire Sale
In plain terms
When mutual funds get hit with redemptions, they dump stocks regardless of fundamentals. The press lasts 20-40 days (short opportunity), then prices recover over the next 60-180 days (long opportunity). The 13F-aggregate drop in filers and shares is our proxy for outflow-driven distress.
How it works
Mutual fund outflow-driven liquidations push prices below fundamentals (the 'press' leg, days 0-40) and then mean-revert over the subsequent 60-180 days (the reversion leg — CS's main published alpha of ~7-10%). Joint-bottom-quintile drops in both 13F filer count and shares (per the aggregate table) proxy for the outflow-driven distress.
Live results
2 times picked on its own · 15 times inside a blend (5 beat the stock) · updated 2026-06-06Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- SEC 13f aggregate
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~7-10% reversion long (CS 2007)
- Tested over
- Press: T+45 to T+85d; Reversion: T+135 to T+225d
~7-10% on reversion long over 60-180d (CS 2007 published alpha); ~-3% on short press leg.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
When the number of institutional investors holding a stock drops sharply in a single quarter, short-sale constraints are binding: the pessimists are locked out and only optimists set the price. The stock is overpriced, so short it for the next 2-3 months.
When 13F filer concentration is at multi-year highs AND price is rolling over with vol expansion, expect forced-deleveraging cascade. Mirror of squeeze.
Analyst target revisions drift for ~30 days then stop.
Explore Mutual Fund Fire Sale on alphactor.ai
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