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Quantitative Analyst
UK
+14 year(s) experience
EPFR - fund flow & allocations data
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 and Allocation Data and Insights
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 Flows
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 Flows
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 Flows
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 Flows
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 Flows
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 Flows
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 Flows
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 Flows
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
EPFR Fund Flows
The Global oil market: winners and losers, following the Saudi facility attack – a fund flow perspective During the first quarter of this year officials from Tadawul, Saudi Arabia’s main stock exchange, told Reuters that they were anticipating significant flows into the kingdom’s equity markets. The reason for their optimism was Saudi Arabia’s promotion from frontier to emerging markets status, with the attendant expected inclusion of Saudi stocks in major emerging market benchmarks.
Topic Industry News
EPFR Fund Flows
Waking up in a house you own free and clear, with any mortgage fully paid off, is a dream for most of us these days. But what about waking up in a house that pays you to own it?
Topic Industry News
EPFR Fund Flows
Possibility of First Rate cut in more than a decade – What to expect in terms of Flows? Going into the US Federal Reserve’s next policy meeting at the end of July, Fed Chair Jerome Powell has made it clear that (a) rising trade tensions are sapping both the US and global economies and (b) Fed policymakers are willing to cut short term interest rates to sustain the current, decade-long recovery. As a result, markets are expecting the FOMC will deliver its first rate cut since 2008.
Topic Industry News
EPFR Fund Flows
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
EPFR Fund Flows
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.
Topic Industry News
