Financial markets move fast. It’s tough to stay ahead of the curve and find the information that will give you an edge. That’s where we come in, providing strategists, traders, researchers and investors with the most current global view of changing investor demand and manager positioning to help mitigate risk and increase return.
“For portfolio investors, [portfolio flows] data from… EPFR… have a powerful appeal. According to one strategist, 'it is almost a crutch – they want to know the data, just because this is their business.'” –Source: Flows have powerful appeal, even as picture of the past, Financial Times
EPFR
Mapping fund flows to the progression of a truly global pandemic is something that EPFR – thankfully – has not had to deal with for most of its existence. But that changed with a vengeance last year, bringing with it lockdowns, stimulus checks, social distancing, closed borders and remote working. In this new social and economic environment different dots need to be connected to unlock value. This blog will explore one topical avenue, the link between individual country’s progress vaccinating their populations against COVID-19 – with the leaders presumed to be closer to a return to economic normality – and the flows into and returns for countries. The current poster child for this thesis is Israel, which is not only the leader in the global vaccination race but offers a secondary cyber-security expertise story that is playing well given recent revelations of hacking on an international scale...
Topic Industry News
EPFR
After years of pulling money out of equity funds, retail investors are starting to step back in. EPFR-tracked Equity Funds ended 2020 with eight straight weeks of retail inflows, their longest such run since 2Q06. In this, retail investors are several years behind the institutional money and, as a result, have missed out on strong market returns four of the past five years. Global Equity Funds have been the biggest beneficiaries of this latest surge in retail interest. During 2019 this group recorded retail inflows 19 of the year’s 52 weeks. In 2020 they posted retail inflows 44 times. The last time there was such a concentration of retail money going into a single fund category was 2016, and before that 2015. In both cases, the rush into Australia and China Equity Funds ended badly for retail investors. Are Global Funds headed for the same comeuppance? Have they missed the bus? Prior to 2020, the chance of a positive retail flow into Equity Funds ranged from one week in every nine during 2014 to one in 25 during 2016. Last year this group attracted retail money two out of every five weeks...
Topic industry-news
EPFR
After more than two decades of tracking mutual fund flows and allocation data, we’ve come to believe that each year, or indeed each time period, has its own special “data signature”. It could be said that 2020 has one of the most unique signatures we've seen in a long time. Our 2020 wrap takes a look at this past year, we discuss the reactions we saw in the fund flows and allocations data to the pandemic, China, the US election, the continued demand for greener investing and more. As we position our sights on the year ahead, we discuss the outlook for ESG, Emerging Markets and Japan.
Topic Industry News
EPFR
EPFR started tracking equity fund flows in the first quarter of 1996. It started tracking its first funds with socially responsible (SRI) or environmental, social and governance (ESG) mandates in 2000. But it was not until late 2016 when flows into SRI/ESG Equity Funds really took off. That take off has been followed by astonishing acceleration, both in terms of flows to these funds and the assets they manage. After more than a decade of being incidental, the AUM of SRI/ESG Equity Funds has grown to the point where they represent approximately 4.17% of all the assets managed by all EPFR-tracked Equity Funds...
Topic industry-news
EPFR
Despite the strong rebound seen during November, this year has been a tough year – in flow terms – for both Emerging and Developed Markets Equity Funds. With one month of 2020 to go, net redemptions from all EM Equity Funds totalled $32 billion, while DM Equity Funds have seen $171 billion flow out. The net figure for DM Equity Funds would now be positive if a net $223 billion had not been pulled out of US Equity Funds. Although this group has been experiencing structural outflows for some time as retiring Baby Boomers rotate to less volatile asset classes, the sheer volume of the outflows is surprising given the performance of US equity markets...
Topic Industry News
EPFR
Signing off on a crazy year After more than two decades of tracking mutual fund flows and allocation data, we’ve come to believe that each year, or indeed each time period, has its own special “data signature”. If, for instance, you plot the cumulative weekly flow into EPFR-tracked equity funds against those into bond funds -- expressing both as a percentage of assets under management -- you end up with a random trail that reflects the uncertainty or confidence felt by markets over a given period of time. By that measure, 2020 has been a crazy one indeed, as befits a year that has seen the COVID-19 pandemic and the swansong of Donald Trump’s presidency. In contrast to most of the blogs that appear on Quant’s Corner, this one will spend more time looking at the writing on the 2020 wall than trying to translate it through quantitative analysis into actionable strategies, signals and models...
Topic Industry News
EPFR
Join EPFR Director of Research, Cameron Brandt, Forbes Columnist, Kenneth Rapoza and EPFR Manager of Quant Strategies, Steven X. Shen, CQF as they discuss how managers are navigating retail currents, geopolitical reefs, the pandemic tide and rebalanced ballasts, the debate about China’s future as an asset class, and the economic relationship between China and the US in our latest webinar playback. CSCA data, and EPFR Fund and Country Flow data, illustrates the desire of many investors - and some fund managers - to get exposure to China’s growth story with a minimum of direct involvement in China’s retail-driven domestic markets. Foreign listed Chinese shares remain the only group where EPFR-tracked managers are overweight the benchmark and, at times this year, flows have bypassed dedicated China Equity Funds in favour of Greater China and Taiwan Equity Funds.
Topic industry-news
EPFR
With less than a week to go before America chooses a president, what are the flow and return numbers saying? The flows and returns for EPFR-tracked funds, that is. Will incumbent Donald J Trump be re-elected? Or Joe Biden voted into office as the 46th President of the United States? Quantitative analysis of fund flows and returns allows us to craft a new factor, which we are calling the Trump Sensitivity Factor, that unlocks political and future performance signals from the data...
Topic industry-news
EPFR
For decades, global investors have become conditioned to the term Asia ex(cluding) Japan. It’s a term that reflects Japan’s individual place in the current investment universe. In this week’s Quants Corner, we illustrate how Japan’s stock market is different - from a fund flow perspective – compared to the rest of Asia, and how we can generate alpha at a stock level in such a unique market.
Topic industry-news
EPFR
Our latest technical paper discusses China as an asset class from the perspective of the EPFR China Flows and Positioning datasets. China Share Class Allocations (CSCA) is the latest in a progression of datasets offered by EPFR that shed light on China, stretching back to Emerging Markets Equity Fund flows in 1995. CSCA data, and EPFR Fund and Country Flow data, illustrates the desire of many investors - and some fund managers - to get exposure to China’s growth story with a minimum of direct involvement in China’s retail-driven domestic markets. Foreign listed Chinese shares remain the only group where EPFR-tracked managers are overweight the benchmark and, at times this year, flows have bypassed dedicated China Equity Funds in favor of Greater China and Taiwan Equity Funds.
Topic industry-news
EPFR
The freedom to deploy fiscal policy unfettered by the European Union’s budgetary rules may prove to be a godsend for the UK as it battles the economic impacts of the current pandemic. On the other side of the channel, however, this ‘fiscal space’ is scarcer. It is also the subject of heated debates between that markets hardest hit by COVID-19 and a group of fiscally conservative countries who believe the EU’s rules represent a vital bulwark against rampant abuse of the social contract between taxpayers and governments.
Topic industry-news
EPFR
EPFR subscribers have traditionally looked at the kinds of funds money is moving into. Active or passive? ETF or mutual fund? Equity or Bond? Energy or Technology? They have also looked at where: Pacific or Europe, Global or GEM. They have usually overlooked factors. Based on their prospectus, EPFR’s data team classifies funds by Style (Growth/Value/Blend), Size (Large/Mid/Small) and Social Responsibility (ESG/not ESG). However, merely by looking at past returns, it is also possible to also classify funds by Momentum, Reversal, Volatility, Beta and Oil Sensitivity. Finally, to add icing to the cake, it is possible to classify funds based on Flow. This blog details what happens, both in terms of additional information and for returns, when you break down money flow in terms of these factors.
Topic industry-news
EPFR
Can quantitative lightning strike twice? Srimurthy et al.[1] demonstrated the utility of fund flows as a predictor for equity markets at the country level. The model discussed in that paper uses flows into countries -- expressed as a percentage of assets invested by EPFR-tracked equity funds in those countries -- from funds that have a mandate to invest in more than one market, compounded over the latest available four weeks. What happens when you apply the same approach at the currency level? Interestingly, it works. The only change required is that the Eurozone be treated as one big country. To illustrate, we’ll look at the behavior of the US dollar over a period running from mid-June to mid-August. For the four weeks ending July 8, America’s currency enjoyed the highest cross-border equity flows among G10 currencies. Five weeks later, by August 12, the dollar had plummeted to the bottom bucket. This blog explores why this happened and what it might portend for the dollar in future...
Topic industry-news
EPFR
The EPFR Chartbook is our single report comprising of numerical and qualitative snapshots of the major fund groups tracked by EPFR. Flows are illustrated over several timescales with charts and statistical tables, and the pages are annotated with analysis of key factors driving current flow trends.
Topic industry-news
EPFR
Deadlines for Brexit, the UK’s departure from the European Union, have come, been missed and gone with dizzying frequency over the past four years. Another one is rapidly approaching. This one, the terms under which the UK and EU will trade with each other in the years to come, is important. Despite that importance there is – yet again -- no sign for a deal. The hard deadline for reaching an agreement is the final day of the year, and the EU says it wants to reach an agreement by October so that the European Parliament can pass the necessary legislation before the December 31 deadline. The odds of the deadline being met are shrinking. Both the UK and the EU are dealing with the Covid-19 pandemic, and the EU’s attention is focused on the economic problems of its members geopolitical issues such as the rising tensions between Greece and Turkey. So a trade deal, and the economic forecasts that will stem from it, could be in limbo for some time. How can EPFR data help in navigating waters where neither side can agree on where the channel markers should be placed? In this week’s post, we will take a more in-depth look at two options...
Topic Industry News
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