Statistical Analysis of ETF Flows

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Aleksander Sobczyk

The rapid growth of exchange traded products (ETP) has generated considerable interest in flows. With over $2 trillion in worldwide assets under management, ETPs are used by sophisticated and retail investors alike to express their views across asset classes and regions. Flows therefore could be very informative about changes in the investor sentiment, yet to the best of our knowledge, there has been no previous systematic statistical analysis of ETP flows across asset classes. In this presentation, Aleksander discusses how his team constructed unique, survivorship-bias free database of daily ETP flow data, and set up the research agenda to understand ETP flow dynamic.

Product Focus

  • MATLAB
  • Econometrics Toolbox
  • Financial Toolbox

Recorded: 9 Apr 2014