Where ETF Flow Figures Come From and Why They Disagree

Two reputable sources frequently report different net flow figures for the same trading day. Neither is wrong. They are measuring on different schedules.

The sources

Issuer disclosures. Each fund publishes daily holdings and shares outstanding. This is the primary data and the most reliable.

Aggregators. Services that collect issuer data and publish a combined figure. Convenient, and dependent on when each issuer updates.

Exchange data. Share creation and redemption activity reported through market infrastructure, on a different timetable again.

Why the numbers differ

Cut-off times. Issuers publish at different hours. An aggregator compiling at a fixed time captures some issuers’ current-day figures and others’ previous-day figures.

Settlement versus trade date. Creations are agreed on one day and settle on another. Reporting on trade date and on settlement date produces different daily figures that reconcile over a week.

Estimated versus final. Some sources publish an estimate intraday and revise it later. The revision is rarely covered.

Currency and valuation. Flows in dollar terms depend on the price used to value the underlying. Different valuation timestamps produce different dollar figures for identical unit flows.

How to use the data without being misled

Prefer unit flows over dollar flows for comparisons over time. Coins in and out of the fund is a clean number. Its dollar value moves with the price and conflates two things.

Use a multi-day window. Single-day figures are dominated by settlement timing. Three to five day sums are far more stable and far more informative.

Go to the issuer for anything you intend to publish. Aggregators are for convenience, not for citation.

Compare against something. A flow figure in isolation means little. Against daily issuance it shows how demand compares to new supply. Against spot volume it shows whether the flow could plausibly have moved the price.

The interpretation trap

Not all creations are directional. A meaningful share at times reflects arbitrage between the spot product and futures, capturing a spread. That flow reverses when the spread closes and carries no view on price.

Distinguishing the two is not possible from flow data alone. It requires looking at futures basis alongside it, and any commentary treating every creation as a bullish signal is ignoring that.

The denominator worth using

For the question “was this flow large”, the useful comparison is spot volume across major venues on the same day. Flow that is small relative to ordinary turnover did not move the market regardless of the headline.

Venue-level volume is published by the exchanges themselves, including retail venues covering the pair, and using exchange-reported figures rather than aggregated totals avoids the long-standing problem of inflated volume on smaller venues distorting the denominator.