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Unique insight on currency trends

 

 

EPFR FX data and insights

The granularity of EPFR Fund Flows & Allocations data builds a
detailed snapshot of fund exposure to major developed and emerging
currencies. In addition to the FX Allocations dataset (see below),
which opens a window on the currency positioning of real money
investors, EPFR can deliver insight about the clientele of a selected
currency by breaking down the information from:

  • Active/Passive data
  • ETF/ Mutual Fund data
  • Asset Class Mandates data
  • Geographic Focus Mandates data
  • Benchmark & Domicile data

 

The EPFR FX Allocations (FXA) dataset is based on the as-reported
allocations of over 2,000 mutual funds and ETFs that manage a combined
$3 trillion worth of assets. The universe of funds whose FX positioning is
tracked by EPFR encompasses Equity, Bond, Balanced and Convertible
Bond Funds (see table opposite). The FXA dataset includes all G10
currencies, as well as the currencies of over 50 emerging and smaller
developed markets. Allocations are adjusted to compensate for any hedges
or derivatives disclosed by reporting funds, and are released monthly on a
T+38/42 basis.

AUM of five largest groups by geofocus

 

EPFR FX Analysis 

FX Analysis for research, modelling and trading

 

A precise picture of Forex exposure

 

EPFR has begun collecting data on allocations of
funds to currencies. The history goes back to 2014.

 

FX Analysis - at what pace the money is flowing towards currencies?

  • We calculate a fund’s impact on a currency by multiplying that fund’s flow by its FX
    allocation.
  • We calculate the assets held in a currency by
    a fund by multiplying that fund’s assets by
    its FX allocation.
  • Sum assets held in and impact on a FX across funds.
  • Divide total impact on by total assets held in a currency to get daily percentage flow into
    a currency.
                   

EPFR FX Analysis


Learn more – download our FX Allocations Analysis here


 

Bull in an FX shop

 

The allocations of funds to currencies

 

EPFR collects data on the allocations of funds to currencies which can be used to drive several remunerative strategies.
One strategy, a version of EPFR’s bullish sentiment indicator, utilizes the FXA dataset to quantify the over- and
underweights of active fund managers to a given currency or currency pair.

 

FX Analysis: currency pairs

This iteration of the bullish sentiment indicator, applied to a currency pair – such as GBP/EUR – is based on the percentage
of active funds overweight either GBP or the Euro vis-à-vis that fund's benchmark.

We use monthly changes (the first difference of the time series) in those percentages to decide whether to go long or short
the Euro (GBP). The results over the past six years are tabulated below.

 

EPFR FX Analysis 

 


What EPFR customers say…

 

“EPFR is extremely valuable, I will always want to work with this data. I value the flow and allocation insights highly as it really does help me to get a good idea of what is going on in the market.”

Vyacheslav Smolyaninov, Chief Strategist /
Deputy Head Of Research, BCS

 

      “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

 

Any questions?

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