Strategy #0000000129 · Mean reversion and reversal
Flow-induced fire sales
Enter fund outflows, target holding, market depth, an impact proxy, assumed rebound and costs.
Fund redemptions can force managers to sell liquid holdings, creating temporary price pressure; flow research also finds that some holdings may rebound after flows reverse. This calculator uses fund outflows, holding weight and market depth as a mechanical pressure proxy, while the later rebound is a separate input. It does not predict actual sales or price impact.
No fund holdings, flow or trading data are loaded; this cannot identify who will be forced to sell.
Three ways in
Understand the story. Then inspect the risk.
Start with a familiar situation, check the payoff, then test how the numbers change.
The idea · in two minutes
How large are fund outflows relative to holdings and depth, and can an assumed rebound cover costs?
Fund redemptions can force managers to sell liquid holdings, creating temporary price pressure; flow research also finds that some holdings may rebound after flows reverse. This calculator uses fund outflows, holding weight and market depth as a mechanical pressure proxy, while the later rebound is a separate input. It does not predict actual sales or price impact.
Enter fund outflows, target holding, market depth, an impact proxy, assumed rebound and costs.
No fund holdings, flow or trading data are loaded; this cannot identify who will be forced to sell.
- Input assumptionsEnter fund outflows, target holding, market depth, an impact proxy, assumed rebound and costs.
- Model outputNo fund holdings, flow or trading data are loaded; this cannot identify who will be forced to sell.
Illustrative research examples only. They are not live signals or a recommendation.
The mechanics · payoff and exposure
Pressure=Outflow\times HoldingWeight/MarketDepth,\quad R_{buy}=Rebound-C
Market depth and price impact per flow unit are user assumptions; only the post-pressure buy scenario uses the rebound return.
Greeks: the directional intuition
- 模型
- Measures sensitivity to implied volatility.
- 合約
- Measures sensitivity to implied volatility.
- 執行
- Measures sensitivity to implied volatility.
Pressure=Outflow\times HoldingWeight/MarketDepth,\quad R_{buy}=Rebound-C
Practical context · published observations
Flow-induced fire sales: read the record with its caveats.
The chart uses the published figures or explicitly labelled study inputs below. A historical index or model replay is not the same as an investor’s realised account return.
No fund holdings, flow or trading data are loaded; this cannot identify who will be forced to sell. Source ↗ · Methodology ↗
Change assumptions and inspect the scenario
Inputs illustrate the strategy mechanics; they are not live quotes, forecasts or investment advice.
Variants · same family, different risk levers
Models, contract terms and implementation can change results.
Compare relevant mechanisms and execution assumptions.
| Related strategy | Relationship | What changes | New cost or risk |
|---|---|---|---|
| Base scenario | Manual inputs | Fund redemptions can force managers to sell liquid holdings, creating temporary price pressure; flow research also finds that some holdings may rebound after flows reverse. This calculator uses fund outflows, holding weight and market depth as a mechanical pressure proxy, while the later rebound is a separate input. It does not predict actual sales or price impact. | No fund holdings, flow or trading data are loaded; this cannot identify who will be forced to sell. |
| Conservative version | Higher cost/loss | Stress higher costs, larger losses or lower liquidity. | May lower scenario returns. |
| Validation version | Data review | Test model inputs with consistent contracts and timestamps. | Needs licensed, representative data. |
No fund holdings, flow or trading data are loaded; this cannot identify who will be forced to sell.
Read beyond the summary
References
Primary sources and research used to describe the strategy and its limits.