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Analyst Articles

無料解析

  • EPFR

    Quants Corner - The cure for the coronavirus? Investors think it is ESG

    With the coronavirus that originated in China renamed COVID-19 and spreading briskly, the final week of February was a brutal one for global markets. Benchmark equity indexes racked up daily losses at a rate last seen at the height of the 2008-09 financial crisis.  

    Topic industry-news

  • EPFR

    Quants Corner - Getting the right balance on commodities exposure

    It is an article of investible faith that geopolitical and financials crisis, natural disasters and epidemics translate into greater demand for gold and other precious metals. The coronavirus outbreak centered in Wuhan, China certainly fits these criteria and has generated a predictable flight to gold in its various forms. Fund flow data has, over the years, proved useful in confirming surges in demand, measuring the relative strength of that demand and identifying the inflection points that signal a shift in sentiment towards gold (see chart below). But using this information leaves investors making largely qualitative decisions about the optimum exposure to this asset class.  

    Topic Industry News

  • EPFR

    Quants Corner

    In the small hours of January 3, the United States carried out a drone strike on a convoy traveling near Baghdad International Airport. Among the seven people killed instantly was Major General Qasem Soleimani, commander of the Quds Force of the Islamic Revolutionary Guards of Iran. Days later, missiles fired from Iran hit the U.S. Al Asad airbase in Iraq and a civilian aircraft taking off from Tehran was mistaken for a US intruder and engaged by local air defenses, going down in flames with 100% casualties. Geopolitical events such as this have a long history of jolting energy markets. But, with the buffer created over the past decade by US shale oil production muting the classic correlation between events and markets, it requires new quantitative tools to capture the full range of market signals. A tool that we have developed in recent months is a fund-level oil sensitivity factor (OSF), one of many which can be constructed from the EPFR data.

    Topic industry-news

  • EPFR

    Energy Sector: The yin and yang of SRI/ESG

    Energy Sector: The yin and yang of SRI/ESG If you use social media and the entertainment industry as your filter, it doesn’t take long to identify the two dominant conceptions of what it means to be an energy company. One is the classic, extractive behemoth whose mining, drilling and transportation actives destroy the environment and displace communities and whose business operations are punctuated by explosions, spills and the release of greenhouse gases. The other is technologically cutting edge, focused on renewable sources such as wind, solar and tidal and directed by socially conscious management. 

    Topic industry-news

  • EPFR

    ESG/SRI Investing in the Digital Age for Gen XYZ

    ESG/SRI Investing in the Digital Age for Gen XYZ Today’s digital age has changed industries. Leading that charge is the technology sector, whose business model depends on harnessing the needs and tastes of Generations XYZ. Doing so involves identifying and understanding their values. These include the growing embrace by these generations of 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”. A corner of Amazon’s website talks about how the online retail giant is “driving carbon out of our business”. These sentiments certainly mesh with large segments of their customer base, which is not shy about demanding that they strive for these standards.

    Topic industry-news

  • EPFR

    Quants Corner

    Quants Corner

    South Africa: Bond funds go where equities fear to tread When it comes to picking through the fundamentals of Africa’s most developed economy, “pick your poison” often seems a serviceable operating principle. Anemic growth, high levels of household debt, an official unemployment rate of 29%, an energy parastatal struggling under the burden of $31 billion in debt and an investment grade credit rating hanging by a thread are all part of South Africa’s current narrative. For prudent investors, the case for reducing exposure to the country seems increasingly watertight. However, a more nuanced picture emerges when South Africa is viewed through the lens of mutual fund flows and allocations, and through some of the quantitative models derived from these datasets.

    Topic industry-news

  • EPFR

    Data Simply Financial Scores: Getting bang for one’s buck

    EPFR has joined forces with Data Simply to provide investors with better and faster ESG and financial data insights. This blog post will be the first in a series which looks at the added value of ESG Financial Scores. Firstly, Data Simply analyzes corporate SEC filings by word count through a combination of artificial Intelligence and analyst expert. Key words are identified and classified from filings as either positive, neutral or negative. The total word count per sentiment is counted for each company and published as a total financial score on a monthly basis for companies that file with the SEC.

    Topic industry-news

  • EPFR

    Quants Corner

    Finding bear markets -- The separating hyperplane approach In the Quant’s Corner blog that was posted in August, we outlined the basic methodology for a ‘Bear Detector’ based on a combination of flow and volatility data. The model we presented used the data to create a two-dimensional representation, with the points corresponding to the past eight weeks (dark green triangles), to previous bull markets (light green circles) and previous bear markets (gray circles) all colored differently. It was left to the reader to determine by visual inspection whether the latest data point was bear or bull, depending on the density of green or gray dots surrounding the dark green triangles (see chart below).

    Topic industry-news

  • EPFR

    Quants Corner

    The wisdom of strangers: local versus foreign flows as drivers of country-equity market returns A recurring question fielded by EPFR’s quantitative team is, “Are local or foreign-domiciled flows the drivers of return in specific markets”? Most of our clients have their own qualitative view. For instance, those in Japan tell us they view foreign flows as the ‘dumb’ money. But what does a quantitative approach tell us? In this piece we compare foreign versus local fund flows in various markets to see which has more predictive power. The four Nordic countries in continental Europe, Denmark, Sweden, Norway and Finland, are often viewed as a group of homogenous nations on Europe’s northern flank with a shared aversion to conflict, a taste for social democracy and robust welfare states. Investors tend to approach them as a group that offers some comparative insights and uncorrelated exposure relative to the ‘core’ European markets.

    Topic industry-news

  • EPFR

    Quants Corner

    Quants Corner 1015

    Going A Viking The four Nordic countries in continental Europe, Denmark, Sweden, Norway and Finland, are often viewed as a group of homogenous nations on Europe’s northern flank with a shared aversion to conflict, a taste for social democracy and robust welfare states. Investors tend to approach them as a group that offers some comparative insights and uncorrelated exposure relative to the ‘core’ European markets.

    Topic industry-news

  • EPFR

    Quants Corner

    Quants Corner 0917

    This May, Prime Minister Narendra Modi of India returned to office with an increased majority in parliament. In this week’s Quants Corner post, we follow the rise of Modi through the lens of EPFR’s fund flows and look at the response of our quantitative EM rankings to several major ‘events’ during Modi’s time in office.

    Topic Industry News

  • EPFR

    Quants Corner

    Two of the first questions that investors and fund managers ask when confronted with a new data set are, “Does it add value?” and “How do I unlock this value.” Among those that will be available in 4Q19 is EPFR’s FX Allocations data set. In this piece, we look at one quantitative approach using this data set and highlight some promising initial results.

    Topic Industry News

  • EPFR

    Quants Corner

    Investors tend to use different playbooks for different market conditions. The tricky part lies in identifying when the market environment has shifted to the point the current playbook needs to be replaced. In this blog, the use of fund flows to detect one of the most important shifts – from a bull to a bear market -- is illustrated.

    Topic industry-news

  • EPFR

    Quants Corner

    Introduce country positioning into your strategy for improved investment returns Some investors who adopt a quantitative approach struggle to identify which of the bewildering number of strategies, models and indexes actually improve performance. One antidote to this uncertainty is to start afresh, embracing alternative data and using it to build new factors -- such as country positioning -- that are statistically independent of the traditional quantitative mainstays.

    Topic industry-news