Insider & Flow#351tier 1experimental liveNew

`mutual fund fire sale`

cadence: Quarterlydata: mediumshort onlylong only

2007

Coval, J.D., Stafford, E. (2007). "Asset Fire Sales (and Purchases) in Equity Markets." Journal of Financial Economics, 86, 479-512.

Read the paper →

What it checks

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.

Mechanism

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.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

delta_n_filers AND delta_shares both in bottom 20th percentile of trailing 20-quarter own-history -> SHORT press leg T+1 after the 45-day filing lag (hold 20/40d); LONG reversion leg fires 90d later for 60/90d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_13f_aggregate
Worker data table — see services/worker schema.

Expected edge

Paper alpha: ~7-10% reversion long (CS 2007)
Paper window: 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

META NFLX PYPL ROKU

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

Related families

thirteen f breadth overpriced shortInsider & Flow

Under Miller (1977) short-sale constraints, only optimists set prices. When the number of distinct institutional holders jumps sharply (top-decile of own history), the marginal optimist tail has saturated and forward returns fade. Chen-Hong-Stein document the asymmetry — breadth-jumps predict negative drift; breadth-drops predict positive.

crowded long unwindMicrostructure

Heavy institutional ownership (top 5% n_filers in 13F) + recent vol expansion + negative price trend + crowded sector → setup for forced-deleveraging unwind. Mirror image of short-squeeze: too many longs holding the bag, first selloff cascades. Short signal.

earnings revision reversalMacro

Analyst-revision drift decays sharply — most return in first 30 days.

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mutual fund fire sale