Discover and read the best of Twitter Threads about #distortedmarkets
Most recents (1)
Empirical research about index fund flows, ETFs, and a self-reinforcing size factor bias...
$SPY $VOO $IWB $IWM #distortion #distortedmarkets
$SPY $VOO $IWB $IWM #distortion #distortedmarkets
... a 1-sigma spike in fund flows predicts +3.5pp outperformance for size ("SMB" = small minus big)
... dollar volume matters as much as (if not more than) market cap:
e.g. speculators in singlenames can be marginal buyers inflating prices (with asymmetric size bias due to bandwagon a la $aapl $tsla) by reducing supply for more structural ETF demand
e.g. speculators in singlenames can be marginal buyers inflating prices (with asymmetric size bias due to bandwagon a la $aapl $tsla) by reducing supply for more structural ETF demand
