EPFR

EPFR

Quants Corner - Stock flows: Building the best mouse trap

EPFR has a long history of helping clients understand where money is moving and how fund managers are investing that money. These insights started at the regional, country and sector level. In recent years, this coverage has been extended to the industry and single security level...

EPFR

Quants Corner - The pandemic’s legacy: More thumbs on more scales

With economic growth hammered globally in March, April and May by the COVID-19 pandemic, investors have been on the lookout for – and hopeful about – a V-shaped economic recovery...

EPFR

Central Banks and the visible hand: Policy moves and their impact during the COVID-19 crisis.

EPFR

Quants Corner - China Share Classes: Keep calm and watch Letter A

In the previous quants corner piece released in May, Chinese Share Classes: Getting past the letter A, we noted the increasing allocation by active fund managers to Hong Kong listed Chinese securities (H shares, Red chips and P chips) and, as a result, the steady drop in their underweight relative to the benchmark...

EPFR

Quants Corner - South Korea: Success containing pandemic not translating into flows

The first case of the virus now designated COVID-19 was detected last December. The epidemic, which became a global pandemic during 1Q20, had an immediate impact on nearby South Korea. At first markets viewed Korea, whose response to the pandemic garnered widespread accolades, as a haven. By late March, however, the bloom had come off the Korean rose with Korean Equity Funds compiling a 12-week, $10 billion outflow streak that ran into mid-June...

EPFR

Quants Corner - A strategy for times when the flow needle is stuck

The COVID-19 pandemic, a resurgence of Sino US trade tensions and protests against police brutality in the US have not stopped global equity markets from zigzagging higher. From a mutual fund perspective, the correlation between equity fund flows to and from developed markets and benchmark performance remains relatively stable – 38.4% YTD -- and recent inflows are pushing the markets back to where it was four months ago...

EPFR

Quants Corner - The other side of the FX Allocations coin

In our previous Quant’s Corner, Bulls in an FX Shop, we discussed how isolating bullish positions in EPFR’s new FX Allocations dataset can generate excess returns. In this one, we explore what happens when we use the new dataset to drive models created to harness EPFR’s country allocations data. This work was driven by the need to address a frequently asked question: What does FX Allocations offer that utilizing EPFR’s well established Country Allocations data does not? In the course of our comparative work we isolated a promising contrarian signal that offers a new way to extract value from existing, Country Allocations-based models.

EPFR

Quants Corner - Bulls in an FX shop

Getting good data that produces valid, timely signals is a cornerstone of profitable investing across all asset classes. Investors, asset managers and other financial professionals focused on foreign exchange have long been hobbled by the dearth of good data in key areas. One such area is the positions that asset managers are building (or shrinking) in foreign markets. As managers change their positions, they create fluctuations in foreign exchange markets due to their changing demand for currencies to establish their positions. Knowing about these positions is crucial, but the available datasets in the market are generally noisy, imprecise estimates of the actual reality. Some rely on surveys which are prone to biases like representativeness and responsiveness of the respondents. Others rely on the positioning data in exchanges. EPFR has now begun collecting data on the actual allocations of funds to currencies. It has also been exploring ways to unlock the value of this data. One approach that yields good initial results is a simple one: run with the bulls

EPFR

Quants Corner - When it comes to stock values, ESG Funds count for more

Corporations have found value in catering to the needs and tastes of Generations X, Y and Z, identifying and understanding their values and embracing 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”. 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 - Chinese share classes: Getting past the letter A

Over the past two decades China has been steadily increased foreign access to its domestic A and B Share markets. This process started in 2002 with the Qualified Foreign Institutional Investor (QFII) program – greatly expanded in 2012 – and was followed by the Hong Kong-Shanghai and Hong Kong-Shenzhen connect program for qualified investors in 2014 and 2016.

EPFR

Exploring Hedge fund Short positioning in European Sectors before the market sell-off using Caretta Data

Since the COVID-19 pandemic started accelerating in Italy in late February, European markets have tumbled. Almost all European stocks are in negative territory year-to-date irrespective of sector, industry, or country of origin. In terms of scale, the quarterly drop is the highest in 33 years, and the intensity of it is unusually high - more than 35% of the total market capitalization has been lost in only three weeks.  

EPFR

Quants Corner - Money Market Fund flows: Fear is not their only signal

With the impact of the COVID-19 virus on day-to-day life and the global economy growing by leaps and bounds, fund flows are reflecting the biggest flight to safety by investors since the financial crisis in 2007-08.  

EPFR

Quants Corner - Knowing when to jump: risk management in extraordinary times - Crossing to safety in extraordinary market conditions

What had been a relatively measured response to the coronavirus outbreak that started in China around the New Year became an increasingly disorderly stampede for the exits in late February. As COVID-19 spread across the globe, US stock market took a series of hits culminating in a 7% drop on March 6 that triggered the so-called “circuit breaker” – suspension of trading – for only the third time since its adoption.  

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.  

EPFR

Quants Corner - Brexit and UK markets: Picking your moment with the right tools

More than two decades have passed since then Prime Minister Margaret Thatcher gave the speech that many view as the catalyst for the UK’s exit from the European Union earlier this year. Speaking in the Belgium city of Bruges, Thatcher spelled out her opposition to further European integration. "We have not successfully rolled back the frontiers of the state in Britain, only to see them re-imposed at a European level, with a European super-state exercising a new dominance from Brussels,” said Thatcher, who had previously supported Britain’s involvement in the European Union. Brexit became a reality on the 31st of January 2020, after three and a half years marked by two general elections, two prime ministers, endless discussions about hard versus soft exits from the EU and the testing of British constitutional norms. How did this noisy saga play out when viewed through the lens of mutual fund flows? And does the fund flow perspective shed light on the investment case – and climate -- for the UK in the years ahead?