EPFR FX Allocations dataset

Translate signals into market views and trade action

EPFR FX Allocations data and insight add significant value
to existing trading strategies, improving predictive power
when considering future price movement.

Our FX Allocations dataset offers:

• Access to the allocations of funds to individual currencies
  
• The ability to identify trends by:
  • Knowing the current positioning at individual currency level
  • Making historical comparisons
• Available at a monthly frequency, the month after next on
  the first business day after the eighth (~T+38)

Collecting the allocations of funds to currencies
EPFR collects data on allocations of funds to currencies and has done so since 2015. These allocations can be used to drive several
remunerative quantitative strategies. The data for a given month is available one month and eight to 11 days later (T+38-42).

Emerging Market Bullish Sentiment Indicator
EPFR’s Bullish Sentiment Indicator, applied to currencies, is the percentage of active funds overweight that currency vis-à-vis
that fund’s own benchmark. 
The table below shows the average return difference between the top and bottom fifth of Emerging Market currencies,
sorted on the Bullish Indicator, averaged over the latest three months, for various holding periods.

FX Allocations. Net FX positioning. Currency flows.

• Precise metric - Fund level data offers a timely and precise picture of Forex exposure.
• Broad coverage - Bond, Equity and Balanced fund FX positioning covering more than 30 currencies.
• Privileged data - Based on a unique and proprietary data resource.
• Transparent methodology - Flows are in nominal USD and allocations in percentages, both at the fund level.

An understanding of Forex market positioning

EPFR’s unique FX Allocation dataset captures global, real-money currency exposures. This insight fills a critical gap for investors with global exposure –we track positioning at a fund level with unrivalled granularity as part of our unique information dataset.

Strategies and models developed by EPFR on a proof-of-concept basis show the dataset can be used to generate excess returns. A Bullish Sentiment Indicator, based on ranking Emerging Market currencies by the percentage of funds that are overweight their benchmark for a given currency, generates back tested excess returns around 5% over a monthly holding period.