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Timely, granular data on investor actions

 

 

 Volatility

 

Volatility

Download! EPFR Volatility Snapshots.

             

Monitor volatility & mitigate risk with EPFR
Every day, investment professionals around the world rely on
EPFR for unique Fund Flows and Allocations data and insight,
accessing global tracked mutual fund and ETF asset data from
several thousand sources. EPFR currently tracks approximately
135,000 traditional and alternative funds domiciled globally,
and over $49.5 trn assets under management.

 

Standing on the threshold of a new era of volatility
The volatility tide certainly appears to be turning, and it is not
only classic measures such as the VIX index that are capturing
the shift.

 

Measuring volatility by asset class rotation speed
EPFR has developed a measure of volatility which links price
volatility and the intensity with which investors rotate between
asset classes, showing multi-asset rotation speed.

The results demonstrate that volatility has been picking up for
over a year. In their search for the key drivers, our quant team
found that the spread between US 10 and 2-year Treasuries –
a classic measure of inflationary expectations – has the tightest
correlation with the asset rotation measure.


Global reflation, inflation expectations, and economic growth

 

Quantify the collective actions of investors.


  • Funds offering exposure to the most widely followed measure of US equity market volatility, the Chicago Board Options Exchange's CBOE Volatility Index (VIX), are seeing a surge in flows as investors pencil in a much bumpier ride in 2021 than they’ve experienced since the 2008-12 post-financial crisis period.
  • Fears that global reflation will trigger higher-than-expected inflation, growing appetite for emerging markets exposure and the surge in retail involvement are among the factors fueling this reassessment of likely volatility.
  • On the surface, fear of volatility is running ahead of market – or realized – volatility. However, analysis by EPFR suggests that, by other measures, underlying volatility is indeed picking up at a time when receptiveness to central bank guidance and actions is diminishing.
  • Funds dedicated to the world’s second largest economy have seen retail money flood in since the middle of last year. The last two times retail interest in China Equity Funds took off the influx was followed by a sharp market correction. In 2015 the correction saw the benchmark A Shares index lost a third of its value in a month and, at the peak of the sell off, global markets experienced significant falls.

 

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Discover more with EPFR Fund Flows and Allocation Data

 

 

Derive Alpha. Mitigate Beta. Macro and Stock Level Insight.

EPFR Fund Flows and Allocations data helps financial professionals
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.

Use our 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        

  

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

 

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