Transparent by design

Methodology

Sector Flow reconstructs investor creations and redemptions from daily changes in ETF shares outstanding, then compares that activity across the eleven Select Sector SPDR funds.

Fund-flow calculation

Daily flow equals the change in split-adjusted shares outstanding multiplied by the current day’s NAV. Flow as a percentage of AUM divides that result by prior-day assets. We do not use the change in AUM alone because market movement changes AUM even when investors do nothing.

flow = (shares today − adjusted shares prior) × NAV today

Scores

The Flow Score blends cross-sector percentile ranks for 20-day flow/AUM (40%), 60-day flow/AUM (30%), positive flow days (20%), and five-day acceleration (10%). The DCA Score blends Flow Score (60%), 60-day relative return versus SPY (30%), and inverse volatility (10%).

Quality controls

Rows are flagged when NAV, shares, or assets are invalid; NAV × shares materially disagrees with reported assets; or a large unexplained flow suggests a parsing or split issue. Common split ratios adjust prior shares before flow is calculated.

Backtest assumptions

Monthly strategies require 252 trading days of history, freeze signals at the prior month end, and trade after the selected one-to-twenty-day execution delay. Adjusted closing prices include splits and distributions. Transaction costs apply when allocations change.

Momentum ranks sectors by trailing 12-month adjusted-price return. SPY-core strategies retain 70% in SPY and place 30% in three equal active slots. The flow-confirmed variant standardizes each sector’s 20-day flow/AUM against its own prior 60 observations; unconfirmed slots remain in SPY.

Limitations

Issuer data and adjusted prices can be revised. Scores are relative, not forecasts. Backtests omit taxes, slippage beyond the selected cost, and capacity constraints. This site is general research, not personalized investment advice.