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Director of Quantitative Research
UK
16+ years of experience
Sayad analyzes the firm’s vast EPFR database, which tracks around 135,000 share classes and represents roughly $40 trillion of assets under management, to discover new applications of quantitative data for portfolio managers. In addition to generating reports on his research for journal papers and other publications, he also focuses on building a quant network around the firm’s EPFR database.
Before joining Informa, Sayad headed the multi-asset funds desk at HSBC Global Asset Management in Istanbul, where he managed roughly $500 million dollars of assets under management, as well as a range of products in the multi-asset space. He leverages his portfolio management background to offer deeper insights to clients.
Outside the office, Sayad, a native of Istanbul, is an avid football fan and prolific reader of financial economics who devotes most of time to his wife and infant daughter, Eva.
“I analyze fund flows and allocations. I isolate key behaviors and financial anomalies. I form hypotheses, build statistical evidence, and test data to generate new trading strategies and investment ideas. Informa is my laboratory to detect market shifts—before they happen. And I love my job.”
EPFR - fund flow & allocations data
By Sayad Baronyan 20 May 2021
As vaccination numbers around the world creep up, US consumers find themselves awash in cheap credit – and, in some cases, ‘helicopter money’ – and growth forecasts for some emerging markets are still in the 8-12% range, the case for cyclical stocks and sectors grows more compelling by the day. On the other hand, the case for staying on the defensive can still be made. The spread of new COVID-19 variants has cast a shadow over the expected pace of the world’s recovery. Moreover, despite the closures in retail, services, and travel, and move to remote working over a year ago, the anticipated outperformance by defensive sectors such as Health Care and Consumer Staples never materialized. Cyclicals pushed above and beyond from mid-May 2020 onwards. Read more...
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 11 Feb 2021
It feels like a long time, but it was only three years ago when the VIX index, the benchmark for measuring market volatility, hit an all-time intraday low of 8.56. Although CBOE noted that it was a glitch, and November 27, 2017 ended with the VIX well above 9, it highlighted the degree to which volatility had gone AWOL. That was reinforced six days later when the historical realized volatility of the S&P 500 index recorded its all-time low of 6.87. Although investors were slow to accept the fact, as the chart below shows, volatility had by then been declining for the better part of a decade in the face of massive quantitative easing spearheaded by the US Federal Reserve, European Central Bank and Bank of Japan. This involved the provision of enormous liquidity, slashing interest rates to zero -- or below -- and the consistent issuance of strong verbal forward guidance aimed at suppressing volatility. Because volatility is a very important input in most of the traditional models for asset pricing and portfolio construction, this has created significant questions and challenges for investors and money managers. In this blog we look at two of these questions. First, is volatility returning? Second, if it is, what is the best way to measure it? Read more here…
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 01 Dec 2020
Despite the strong rebound seen during November, this year has been a tough year – in flow terms – for both Emerging and Developed Markets Equity Funds. With one month of 2020 to go, net redemptions from all EM Equity Funds totalled $32 billion, while DM Equity Funds have seen $171 billion flow out. The net figure for DM Equity Funds would now be positive if a net $223 billion had not been pulled out of US Equity Funds. Although this group has been experiencing structural outflows for some time as retiring Baby Boomers rotate to less volatile asset classes, the sheer volume of the outflows is surprising given the performance of US equity markets...
Topic Industry News
EPFR - fund flow & allocations data, IGM Credit
By Sayad Baronyan 03 Nov 2020
Corporations and governments around the world have been visiting capital markets with growing regularity since the 2008-09 financial crisis, and the COVID-19 pandemic has reinforced this trend. OECD sovereign issuers tapped markets for $11 trillion during the first five months of 2020 and forecasts for full-year US corporate issuance are around the $2 trillion mark. So far, demand has matched supply. This is largely thanks to yield hunger, a rotation away from equity by retiring baby boomers, and the support - both implicit and explicit - of major central banks. But the flood of issuance, allied to the financially repressive policies being pursued by the US Federal Reserve, Bank of Japan, European Central Bank and other major central banks, has muffled many of the classic signals that fixed income investors used to chart a profitable path...
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 07 Oct 2020
The freedom to deploy fiscal policy unfettered by the European Union’s budgetary rules may prove to be a godsend for the UK as it battles the economic impacts of the current pandemic. On the other side of the channel, however, this ‘fiscal space’ is scarcer. It is also the subject of heated debates between that markets hardest hit by COVID-19 and a group of fiscally conservative countries who believe the EU’s rules represent a vital bulwark against rampant abuse of the social contract between taxpayers and governments.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 21 Jul 2020
With economic growth hammered globally in March, April and May by the COVID-19 pandemic, investors have been on the lookout for – and hopeful about – a V-shaped economic recovery...
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 08 Jun 2020
In our previous Quant’s Corner, Bulls in an FX Shop, we discussed how isolating bullish positions in EPFR’s new FX Allocations dataset can generate excess returns. In this one, we explore what happens when we use the new dataset to drive models created to harness EPFR’s country allocations data. This work was driven by the need to address a frequently asked question: What does FX Allocations offer that utilizing EPFR’s well established Country Allocations data does not? In the course of our comparative work we isolated a promising contrarian signal that offers a new way to extract value from existing, Country Allocations-based models.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 26 May 2020
Getting good data that produces valid, timely signals is a cornerstone of profitable investing across all asset classes. Investors, asset managers and other financial professionals focused on foreign exchange have long been hobbled by the dearth of good data in key areas. One such area is the positions that asset managers are building (or shrinking) in foreign markets. As managers change their positions, they create fluctuations in foreign exchange markets due to their changing demand for currencies to establish their positions. Knowing about these positions is crucial, but the available datasets in the market are generally noisy, imprecise estimates of the actual reality. Some rely on surveys which are prone to biases like representativeness and responsiveness of the respondents. Others rely on the positioning data in exchanges. EPFR has now begun collecting data on the actual allocations of funds to currencies. It has also been exploring ways to unlock the value of this data. One approach that yields good initial results is a simple one: run with the bulls
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 09 Apr 2020
Holding a short position in European equities was a very prescient – or lucky -- bet in March. Looking in detail at Figure-1, some were more fortunate than others in terms of the sectors they shorted.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 08 Apr 2020
As we highlighted in the previous post, one of the few investment vehicles likely to profit from the recent COVID-19 rout of European asset markets are hedge funds with short positions. Analyzing data produced by Caretta Research, a surprising pattern has emerged up in the aggregate short positioning on European stocks. The total short positions, which one would expect to increase in this environment as earnings forecasts are being downgraded, is decreasing. The total short positions, as a percentage of total shares outstanding, has dropped from 4.5% on 20 February to 4.1% on 25 March. Moreover, out of eight sectors, seven saw a decrease in the shorted average total shares numbers during the last month.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 07 Apr 2020
Since the COVID-19 pandemic started accelerating in Italy in late February, European markets have tumbled. Almost all European stocks are in negative territory year-to-date irrespective of sector, industry, or country of origin. In terms of scale, the quarterly drop is the highest in 33 years, and the intensity of it is unusually high - more than 35% of the total market capitalization has been lost in only three weeks.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 25 Mar 2020
With the impact of the COVID-19 virus on day-to-day life and the global economy growing by leaps and bounds, fund flows are reflecting the biggest flight to safety by investors since the financial crisis in 2007-08.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 11 Feb 2020
More than two decades have passed since then Prime Minister Margaret Thatcher gave the speech that many view as the catalyst for the UK’s exit from the European Union earlier this year. Speaking in the Belgium city of Bruges, Thatcher spelled out her opposition to further European integration. "We have not successfully rolled back the frontiers of the state in Britain, only to see them re-imposed at a European level, with a European super-state exercising a new dominance from Brussels,” said Thatcher, who had previously supported Britain’s involvement in the European Union. Brexit became a reality on the 31st of January 2020, after three and a half years marked by two general elections, two prime ministers, endless discussions about hard versus soft exits from the EU and the testing of British constitutional norms. How did this noisy saga play out when viewed through the lens of mutual fund flows? And does the fund flow perspective shed light on the investment case – and climate -- for the UK in the years ahead?
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 16 Dec 2019
Skyscrapers are always a good indication of growth in a country. For instance, Mirante do Vale is a vast office building built in 1960 in downtown São Paulo, it used to be the tallest building in Brazil until 2014, when the Millennium Palace in Balneário Camboriú, Santa Catarina took over its place. The Millennium Palace will not remain the tallest for five decades like its predecessor, as there are at least four different projects at the completion state across Brazil, with buildings much higher than the Millennium Palace.
Topic Industry News
EPFR - fund flow & allocations data
By Sayad Baronyan 12 Nov 2019
Investors: Capture the wisdom of the crowds ahead of UK Elections UK General Elections have had a long-standing tradition of running on a Thursday. The most cited reasons for the election falling on a Thursday, has been town ‘market’ days which increased the chances of footfall, another, there appears to be a concomitant increase in voter turnout. No one wants elections, for instance, on a Friday, where pay days could lead to a rise in the number of newly-paid, and newly inebriated, voters at the polls!
Topic Industry News
