EPFR

EPFR

Quants Corner - Getting the right balance on commodities exposure

By vikram-srimurthy 19 Feb 2020

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

11 Feb 2020

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?  

Topic industry-news

EPFR

Quants Corner

27 Jan 2020

When EPFR announced last November that the assets managed by the Exchange Traded Funds (ETFs) it tracks had crossed the $6 trillion mark, it came as a limited surprise to most investors and financial professionals. Flows into these vehicles, which generally track an index or other benchmark and aim to replicate its performance, have surged since the 2008-09 financial crisis and the subsequent compression of yields as policymakers struggled to contain the damage. Both institutional and retail investors have warmed to the combination of transparency, liquidity and low fees offered by ETFs (see Chart 1).  

Topic industry-news

EPFR

Quants Corner

By vikram-srimurthy 14 Jan 2020

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

By vikram-srimurthy 19 Dec 2019

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

Quants Corner

16 Dec 2019

Skyscrapers are always a good indication of growth in a country. For instance, Mirante do Vale is a vast office building built in 1960 in downtown São Paulo, it used to be the tallest building in Brazil until 2014, when the Millennium Palace in Balneário Camboriú, Santa Catarina took over its place. The Millennium Palace will not remain the tallest for five decades like its predecessor, as there are at least four different projects at the completion state across Brazil, with buildings much higher than the Millennium Palace.

Topic industry-news

EPFR

Quants Corner

By Steven Xinlei Shen 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.

Topic industry-news

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.

Topic industry-news

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.

Topic industry-news

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.

Topic industry-news

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.

Topic industry-news

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!

Topic Industry News

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.

Topic industry-news

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.

Topic Industry News

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.

Topic industry-news