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Fund Market Factors


Factors built from aggregate fund holding information




EPFR has a monthly database of self-reported stock-level equity fund 

holdings. We aggregate the fund level holding information provided to 
us, preserving the anonymity of the data providers, and produce factors 
that can be used by financial professionals.


Successful investors are always on the lookout for data that provides
them with unique insights – EPFR data tracks the percentage ownership
of equity securities by fund groups based on criteria such as geographic
focus, style/sector, active vs. passive, and ETF vs. mutual fund.

Fund Flows. Market Hot Spots.


EPFR Fund Flow 

Each month, we look at Factor Flows - % of AUM, Equity Funds.
Our monthly Factor Flows Dashboard offers insight across 9 key factors:

  • Style - growth versus value funds (based on the prospectus)
  • Momentum - top versus bottom third of funds ranked on
    forty-eight-week return lagged four weeks
  • Large Cap vs. Small Cap - large versus small funds (based
    on the prospectus)
  • Volatility - top versus bottom third of funds ranked on standard
    deviation of fifty-two-week return
  • Beta - top versus bottom third of funds ranked on beta versus the
    S&P 500 over the prior fifty-two-weeks
  • Reversal - top versus bottom third of funds ranked on four-week
    return reversal
  • Flows % - top versus bottom third of funds ranked on prior four-week
    Flows expressed as a percentage of assets under management
  • Oil Sensitivity - top versus bottom third of funds ranked on the
    coefficient on Brent Crude from the regression of fund return against
    those of Brent Crude and the S&P 500 over the prior fifty-two weeks
  • Social Responsibility - socially responsible versus other funds
    (based on the prospectus)


SRI | ESG Funds. Outperforming the Market.



The SRI/ESG designation is good for the asset gathering of
the funds that adopt it…

Corporations have found value in catering to the needs and tastes
of Generations X, Y and Z, identifying and understanding their
values and embracing socially responsible (SRI) and environmental,
social and governance (ESG) criteria goals. Tech giants such as
Google claims they are “Raising the bar in making smart use of the
Earth’s resources, expecting the highest ethical standards throughout
our supply chain and creating products with people and the planet in mind”.

These sentiments certainly mesh with large segments of their customer
base, which is not shy about demanding that they strive for these standards.
Efforts such as these are being rewarded by mutual fund managers. Over
the past six years, ESG funds have experienced far more success attracting
fresh money than their non-ESG counterparts.

EPFR Fund Flow

Fund Manager Focus. Market Intelligence.


Understand Fund Performance.


Our macro and stock level insights helps portfolio managers, asset allocators, strategists and research teams understand where money is moving, how fund managers are investing that money, and what impact those shifts are having on geographies, sectors, industries and securities. Clients use EPFR Fund Flows and Allocation data to generate alpha in both discretionary and quantitative investment processes, as an input in top-down asset allocation decisions, as well as bottom-up stock screening strategies.


EPFR Fund Focus 

  EPFR Fund Focus   EPFR Fund Focus

What EPFR customers say…


“If you are a macro-strategy team EPFR is a ‘must’. I don’t think there is a better flow and allocation data provider in the market.”

Main Sponsor,
Financial Services Provider
          “EPFR is a data set that is useful as a  comparison across markets, regions and asset classes. The data will tell you what is happening from one region to another meaning you can better understand investor sentiment."

Kenneth Chan, SVP Global Quantitative Strategist,
Jefferies Hong Kong Limited


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