In European ETF markets, RFQ (Request for Quote) activity is more than just a measure of secondary market liquidity - it can serve as an early signal of investor positioning
Elevated RFQ activity - particularly large block trades - has in some cases preceded net outflows in the days that followed, suggesting a potential leading relationship worth monitoring.
Across Emerging Markets ETFs traded in Europe over recent weeks, we observe a negative relationship between RFQ traded value and subsequent fund flows. When large block trades cluster on the secondary market, net outflows have tended to follow within a few days.
Zooming into a single ETF makes the dynamics more concrete. Here is IUSP as an example:
On 3 March and 11 March, two significant RFQ spikes were followed by fund outflows at T+2 settlement. While such signals are not always straightforward to interpret, we’ve built a model at xyt that estimates the likely direction of each RFQ transaction. The final chart shows how the xyt algo can highlight secondary trading direction from the data in the previous chart.