Sources and Limitations of Historical ETF Flow Data

Summary

The response surveys possible sources for historical exchange-traded fund data, with particular interest in flows. It names commercial datasets from Lipper, FactSet, and Morningstar, and notes that CRSP’s survivor-bias-free mutual fund database also includes US ETF data. The answer distinguishes flow and holdings information from other ETF research variables, such as discounts to net asset value and creation or redemption baskets, which may not be available in every source.

The central practical lesson is that coverage and fields vary across providers, and the answer characterizes the available options as incomplete compared with established mutual fund data. It suggests requesting sample records and a data dictionary to assess whether a dataset fits a research question. Pricing can be very high for several commercial products, while direct outreach to large market participants may yield less costly but non-exhaustive historical data. These are general pointers from the response, not a current vendor comparison; it does not verify present-day coverage, prices, or data quality.

Key ideas

• ETF flow and holdings datasets are available from several commercial providers and a mutual fund database.
• ETF research may require fields beyond flows, including NAV discounts and creation or redemption basket details.
• Data coverage and available variables differ across vendors.
• Samples and data dictionaries help assess whether a provider’s data suits a study.
• Some commercial datasets are costly, and direct outreach may produce cheaper but incomplete history.

Tags

# Where can I find ETF fund flow data?


# Where can I find ETF fund flow data?












I know mutual fund data can easily be found on CRSP or Thomson Reuters, but where can I find solid ETF data, specifically their flows?

## Answer by lemarin (score 2, accepted)

https://quant.stackexchange.com/a/36988

There is no easy answer to this question. Several providers do provide partial solutions, but nothing that could be considered research-grade like CRSP's mutual fund data. Beyond holdings and flows, there are all sorts of variables one could be interested in when looking at ETFs, e.g. discount to NAV, creation/redemption baskets, etc.

Here's a partial list:

- Thomson Reuters' Lipper, which is now one of the primary sources for CSRP and is more detailed and up to date.

- Factset's ETF Analytics data, which in some cases goes back to 1993.

- Morningstar's historical data, which goes back to 2003.

- CRSP Survivor-Bias-Free US Mutual Fund data, which includes US ETF data. There would be no information about ETF redemption baskets, for example.

Most of these options, except CRSP, cost in the hundreds of thousands of dollars a year. Depending on your purpose/affiliation/profile you could also try reaching out to the largest players and ask for historical data, which would not be exhaustive but probably a lot cheaper.

Note that I do not have access to all of this data and that the coverage can vary quite a bit between vendors. You should reach out to them for a sample and access to the data dictionary for their products. Sadly the marketplace for financial data is not very efficient.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.