EPFR Fund Flows

Has latest Equity to Bond rotation run its course?

By Cameron Brandt 19 Jul 2019

Has latest Equity to Bond rotation run its course? The week ending July 17 saw EPFR-tracked Equity Funds post their fourth inflow in the past six weeks, suggesting that investors are finally responding to expectations of lower fixed income yields and the recent records set by benchmark US equity indexes. Between the beginning of December and first week of June, those Equity Funds only recorded five weekly inflows while investors steered over $160 billion into Bond Funds during the same period.

Topic Industry News

Zephyr Portfolio Analytics

Longevity: Does 4% Withstand the Test of Time?

By Ryan Nauman 19 Jul 2019

A primary concern for investors nearing retirement is if they will outlive their savings. Not only do they have to plan for the ever-changing investment environment, but people are living longer today than ever before, with current life expectancies reaching 79 years, according to the World Bank. Living longer is great news to most, however, it poses a risk – outliving your money...

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PSN Enterprise - Separate Account Analytics Software, Zephyr...

Ryan Nauman's Weekly Recap 07.16.19

By Ryan Nauman 16 Jul 2019

The week ahead marks the beginning of the second quarter earnings cycle and is also a busy one for economic data. We will get information on the health of the consumer (retail sales), which has been a primary driver of the current economic expansion, while on the flip side, we will get information about the struggling manufacturing sector. As long as trade uncertainties continue, I expect the manufacturing sector to struggle. Personally, I am glad earnings season is starting, as it gives us a chance to get back to fundamentals. Expectations for this cycle remain muted, with most expecting earnings growth of around negative 2% for the quarter. Read more from Ryan Nauman's Weekly Recap and subscribe to have it delivered to your inbox each week!

Topic Industry News

IGM Credit, IGM FX and Rates

China Insight: Government May Re-focus on Deleveraging Later This Year?

By Tim Cheung 16 Jul 2019

PBOC's takeover of Baoshang Bank for one year due to serious credit risk in May and its provision of credit enhancement to a NCD issue by Bank of Jinzhou in June, suggest some Chinese small banks are suffering a deterioration of their balance sheet quality. The main reason for that, we think, is a growing difficulty of small banks' debtors to meet their debt obligations.

Topic Industry News

EPFR Fund Flows

All eyes on the FOMC in early July

By Cameron Brandt 16 Jul 2019

All eyes on the FOMC in early July Flows into the riskier Bond Fund groups picked up during the seven days ending July 10 and over $40 billion piled up in Money Market Funds as investors looked ahead to the US Federal Reserve’s Open Markets Committee meeting at the end of the month. The FOMC is expected to confirm its shift to an easing bias with a 0.25% cut in short term interest rates, and a significant minority of investors think a 50-basis point cut is possible.

Topic Industry News

EPFR Fund Flows

Quants Corner

By Sayad Baronyan 16 Jul 2019

Low-Volatility Investing Continues to Shine in the Sun- A Quant Fund & Benchmark Performance Comparison In my last post ‘Understanding the rise of low volatility strategies in asset management’, we looked at the evolution of low-volatility funds within the last decade, through statistical analysis. This week, we will ‘deep dive’ into the performances of funds following low-volatility strategies. 

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EPFR Fund Flows

The Global Evolution of Low Volatility Investment in Asset Management

By Sayad Baronyan 16 Jul 2019

In recent years, investors scarred by the wild market and asset prices swings that followed the bursting of the dot.com bubble, the sub-prime debt implosion and the European debt crisis have developed a healthy – and growing appetite for low-volatility strategies. Asset managers are responding to this demand. According to data from Informa Financial Intelligence’s EPFR, by mid-2Q19 there were 204 low-volatility funds globally with a total Asset under Management (AuM) of over US$130 billion. US-based firms account for three-quarters of the current total, but interest is growing in other parts of the world and the number of globally mandated low-volatility funds has increased significantly in recent years. This has been accompanied by an increase in the number of benchmark indices, highlighting the fact that the current spectrum of low-volatility strategies is underpinned by multiple methodologies.

Topic Industry News

IGM Credit, IGM FX and Rates

The Context 07.15.19

15 Jul 2019

Inside this week’s edition of The Context, Financial Intelligence thought leaders discuss: Turkish Vulnerabilities Back Under The Spotlight Turkish banks' reduced level of liquid FX assets and growing deposit dollarisation means that the next time Turkey faces a crisis, banks are likely to fare a lot worse. There remains a risk that unorthodox monetary policy could trigger a banking crisis, not just deeper distress in firms with FX debt. USD Bears Becoming More Vocal Though the broader Dollar has been showing some resilience in the most recent sessions (on the firmer than forecast US core CPI at 2.1% y/y and less than dovish Fed speak from Barkin and Bostic) we're hearing some pretty bearish stuff from elsewhere... Countertrend And Earnings Season Cometh A back-up in rates has sent yields higher in several jurisdictions this last week. This without much in the way of improving macro data and CBs firmly on the easing path. Read more from The Context and subscribe to have it delivered to your inbox each week!

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EPFR Fund Flows

Fund Flows as Country Allocator

10 Jul 2019

In this article, the authors find significant positive returns over a forward one-month holding period for strategies that buy in countries that have attracted indirect investment via equity fund flows and sell in countries that have not. They find that the profitability of these strategies is independent of the momentum effect as well as the size effect.

Topic Industry News

IGM Credit, IGM FX and Rates

China Insight: What Will Happen to Major Chinese Assets Post G20?

By Tim Cheung 09 Jul 2019

The outcome of the meeting between Trump and Xi at the recent G20 summit was mostly as expected, with a delay in pending US tariff increases agreed while negotiations continue. No surprising progress was announced on the main issues in the dispute, except partial easing of US restrictions on exports to Huawei.

Topic Industry News

IGM Credit, IGM FX and Rates

The Context 07.08.19

08 Jul 2019

Inside this week’s edition of The Context, Financial Intelligence thought leaders discuss: A Couple of Afternoons With Jerome The Fed Chief’s 2-part testimony on The Hill (Wednesday-Thursday), with the FOMC minutes (also Wednesday) form the crux of the upcoming week’s CB action. The GBP Week – Bias is Bearish We find it intriguing that current BOE rate cut in 2019 probability stands at 44% vs last week's (3rd) peak of 53%. Perhaps that's the difference between soft and hard data... Euro Corp Snapshot: Primary Remains a Seller’s Market The week's EUR7.95bn of paper attracted combined demand of EUR24.3bn (had peaked at EUR27.35bn) with the average cover ratio standing at a healthy 3.29x, suggesting that plenty cash remains available to support primary offerings. Read more from The Context and subscribe to have it delivered to your inbox each week!

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EPFR Fund Flows

Start of third quarter 2019 mirrors the previous one

By Cameron Brandt 08 Jul 2019

Start of third quarter 2019 mirrors the previous one In late June mutual fund investors responded to the S&P 500’s latest record high by redeeming another $300 million from US Equity Funds. During the week ending July 3 the Dow Jones Industrial Average hit a new high and investors pulled over $11 billion from those funds, sustaining a major rotation from Equity to Bond and Money Market Funds that began in early January.

Topic Industry News

EPFR Fund Flows

Quants Corner

By Sayad Baronyan 08 Jul 2019

Understanding the rise of low volatility strategies in asset management The rise of passive investment and ETFs are helping people to increase spread across investment types. However it is quantitative investment strategies that are having their golden moment, with a record high number of investors directly using results to increase efficiency, and risk adjust returns. Over the past decade, quantitative investment strategies or –popularly named Smart Beta strategies- have seen the most interest aided by the rise in passive investment and ETFs.

Topic Industry News

EPFR Fund Flows

Quants Corner

By Steven Xinlei Shen 02 Jul 2019

EPFR Investment strategy 2019 : Established model telling investors not to climb on any EM bandwagons Of the 40 fastest growing economies in 2018 only one, Ireland, was a recognized developed market. Emerging Markets also have something of a monopoly on reform stories. So, the persistent underperformance of emerging markets compared to the developed markets counterparts over the past 12 months presents quantitative and ‘quantamental’ investors with a dilemma when it comes to selecting and deploying strategies.

Topic Industry News

IGM Credit, IGM FX and Rates

China Insight: Re-leveraging Already Kicks-Off, Good For LGFVs

By Tim Cheung 02 Jul 2019

The State Council in early-June released a document allowing local government special bonds to be used as project capital for infrastructure projects, and also encourages financial institutions to support those projects (e.g. through bank loans). Amid the ongoing US-China trade war, we believe these measures demonstrate Beijing's incremental efforts to counter downside risks, by supporting infrastructure investment in the coming months.

Topic Industry News