EPFR

EPFR

Quants Corner

11 Dec 2019

Trade Wars: US vs China Trade talks between the world’s two dominant economies, China and the US, have proceeded inconclusively for the better part of three years. Going into December a firm agreement to resolve the numerous issues dividing the two countries remained elusive, leaving investors scratching their heads as they try to figure out how to extract meaningful signals from the oceans of data, tweets, diplomatic communiques, commentary and news that the Sino-US trade war generates on a daily, weekly and monthly basis.

EPFR

Equity Funds with SRI/ESG mandates retain momentum as 2019 winds down

By cameron-brandt 06 Dec 2019

A week after they posted their third inflow record since the beginning of September, Equity Funds with socially responsible (SRI) or environmental, social and governance (ESG) mandates took in another $2 billion coming into December as they extended an inflow streak stretching back to the first week of the year. Assets managed by these funds now total over $500 billion, a more than six-fold increase since 4Q15.

EPFR

ESG/SRI Investing in the Digital Age for Gen XYZ

By vikram-srimurthy 02 Dec 2019

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.

EPFR

Quants Corner

By vikram-srimurthy 02 Dec 2019

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.

EPFR

Trade, policy debates and weak growth weigh on Europe Funds

By cameron-brandt 22 Nov 2019

The third week of November saw Europe Equity Funds longest inflow streak since 1Q18 come to an end and redemptions from Europe Bond Funds jump to a 49-week high as investors responded to policy divisions within the continent, slowing economic growth and the continuing headwinds generated by the more protectionist US stance on trade. Spain’s recent election, which saw populist parties make gains and left the region’s fifth largest economy in the hands of a caretaker government, gave investors further reasons for caution. Investors also took a modest step back from some fund groups dedicated to riskier asset classes, with Emerging Markets Bond Funds recording outflows for the first time in six weeks and High Yield Bond Funds posting consecutive weekly outflows for the first time since early June. Overall, EPFR-tracked Bond Funds posted a collective inflow of $6.9 billion during the week ending November while $1.5 billion flowed out of Equity Funds despite the third highest inflow on record for Equity Funds with socially responsible (SRI) or environmental, social and governance (ESG) mandates and positive flows to Dividend Equity Funds for the ninth time in the past 10 weeks. The latest week was also marked by a new milestone for the Exchange Traded Funds (ETFs) tracked by EPFR, with the collective AUM of those tracked both daily and monthly hitting the $6 trillion mark.

EPFR

Quants Corner

12 Nov 2019

Investors: Capture the wisdom of the crowds ahead of UK Elections UK General Elections have had a long-standing tradition of running on a Thursday. The most cited reasons for the election falling on a Thursday, has been town ‘market’ days which increased the chances of footfall, another, there appears to be a concomitant increase in voter turnout. No one wants elections, for instance, on a Friday, where pay days could lead to a rise in the number of newly-paid, and newly inebriated, voters at the polls!

EPFR

Does today’s monetary policy leave investors in purgatory or hell? A view from industry experts

By cameron-brandt 11 Nov 2019

Does today’s monetary policy leave investors in purgatory or hell? A view from industry experts Last month Informa, EPFR and Fintech company ClearMacro held an evening event: The 2020 Road to Returns, where industry experts were presented with the question, “Does the current monetary policy environment leave investors and financial professionals in purgatory or hell,” the panelists were split down the middle.

EPFR

With US rate cut in the bag, focus shifts back to trade

By cameron-brandt 11 Nov 2019

With US rate cut in the bag, focus shifts back to trade Mutual fund investors got a rate cut for Halloween. Will they get a Sino-US trade deal for Thanksgiving? Hopes of an end to the bruising trade war rose during the first week of November, propelling US benchmark indexes to new record highs and the Euro Stoxx 50 to levels last seen in 1Q18. Fund flows during the first week of November reflected this optimism, with US Equity Funds chalking up their third inflow in the past four weeks and Asia ex-Japan Equity Funds posting consecutive weekly inflows for the first time since early July while Emerging Markets Bond and Equity Funds both attracted fresh money. Funds with diversified global mandates were the biggest beneficiaries of this shift in sentiment: Global Bond Funds recorded their third largest inflow year-to-date and Global Equity Funds their biggest since the fourth week of 2018.

EPFR

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

By vikram-srimurthy 07 Nov 2019

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.

EPFR

Quants Corner

By vikram-srimurthy 05 Nov 2019

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).

EPFR

US Equity Funds record first retail inflow since late 2Q17

By cameron-brandt 01 Nov 2019

US Equity Funds record first retail inflow since late 2Q17 The final week of October saw the Federal Reserve cut short term US interest rates by another 25 basis points, the benchmark S&P 500 index set a fresh record high and EPFR-tracked US Equity Funds post their first retail inflow in nearly 28 months. With the latest US rate cut in hand and trade and Brexit deals still visible in the bushes, investors also stepped up their commitments to Emerging Markets Equity Funds and allowed Europe Equity Funds to record their first consecutive weekly inflows since 1Q18. Increasing optimism and higher risk appetite translated into the first back-to-back outflows since mid-May for Gold Funds, which had a 15-week inflow streak snapped during the previous week, and Silver Funds experienced net redemptions for the third week in a row. Overall, EPFR-tracked Equity Funds took in $6 billion during the week ending Oct.30 while investors steered $770 million into Alternative Funds, $7.8 billion into Bond Funds and $24.2 billion into Money Market Funds. It was another good week for Dividend Equity Funds, which chalked up their biggest weekly inflow since March, and the assets managed by all EPFR-tracked ETFs moved over the $5.8 trillion mark.

EPFR

EPFR & ClearMacro Panel Event Excerpt

By cameron-brandt 25 Oct 2019

EPFR & ClearMacro Panel Event Excerpt Does the current monetary policy environment leave investors and financial professionals in purgatory or hell? Presented with the question, “Does the current monetary policy environment leave investors and financial professionals in purgatory or hell?” a group of panelists assembled by Informa Financial Intelligence’s EPFR and Fintech company, ClearMacro, earlier this month in London were split down the middle.

EPFR

Europe Equity Funds enjoy a rare inflow as perceptions of Brexit shift

By cameron-brandt 25 Oct 2019

Europe Equity Funds enjoy a rare inflow as perceptions of Brexit shift Although yet another Brexit ‘deadline looks set to pass without the UK leaving the European Union, hopes that the drawn-out process is nearing the end helped EPFR-tracked Europe Equity Funds post only their fourth weekly inflow since the beginning of 2Q18 during the third week of October. UK Equity Funds, meanwhile, posted their third largest inflow year-to-date. The belief that the end of Brexit saga is finally in sight also helped to sustain the modest rise in risk appetite seen the previous week. Flows into High Yield and Emerging Markets Bond Funds climbed to five-week highs, Frontier Markets Equity Funds posted their third inflow since the beginning of March, Alternative Funds took in over $1 billion and flows to major Sector Fund groups tilted towards those with less defensive reputations. But overall, investors continued their year-long rotation from Equity Funds to Bond and Money Market Funds, pulling another $3.8 billion out of the former and committing a combined $22 billion to the latter fund groups.

EPFR

Quants Corner

By vikram-srimurthy 22 Oct 2019

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.

EPFR

Flow of Funds Infographic

21 Oct 2019