Global Investment Flows

EPFR - fund flow & allocations data

EPFR – Rebound vs. Recovery; looking beyond reflation

By Cameron Brandt 29 Apr 2021

Looking beyond reflation… Coming into 2021 investors were seeking exposure to the green-tinged global reflation story they expect in the second half of this year and hedging against the inflation they fear will accompany renewed growth. This tension between reflationary and inflationary expectations also kept volatility in the spotlight. These themes have persisted during the first quarter. Equity funds with global mandates have posted inflows every week year-to-date, as have equity and bond funds with funds with socially responsible (SRI) or environmental, social and governance (ESG) mandates. At the same time Inflation Protected Bond Funds have absorbed fresh money for 20 straight weeks and Bank Loan Funds, traditionally used to play rising short-term interest rates, for 14 consecutive weeks...

EPFR - fund flow & allocations data

Less than smooth sailing... What EPFR data and analysis tells us about the likelihood of greater volatility.

31 Mar 2021

The VIX is in... Funds offering exposure to the most widely followed measure of US equity market volatility, the Chicago Board Options Exchange's CBOE Volatility Index (VIX), are seeing a surge in flows as investors pencil in a much bumpier ride in 2021 than they’ve experienced since the 2008-12 post-financial crisis period. Fears that global reflation will trigger higher-than-expected inflation, growing appetite for emerging markets exposure and the surge in retail involvement are among the factors fuelling this reassessment of likely volatility. On the surface, fear of volatility is running ahead of market – or realized – volatility. But analysis by EPFR, which will be discussed in future segments, suggests that by other measures underlying volatility is indeed picking up at a time when receptiveness to central bank guidance and actions is diminishing...

EPFR - fund flow & allocations data

Ownership Dispersion and Volatility in 2020

By Cameron Brandt 28 Mar 2021

Ownership Dispersion and Volatility in 2020 In an ideal world, the mechanics of buying and selling - irrespective of the amounts involved – will not influence the price of those securities. But in the real world the positioning of a security is an important factor in its own right, at least in the short term. A striking example of this was the ‘Flash Crash’ of May 6, 2010, where one benchmark US index lost around 9% of its value in under 10 minutes. Neither classical theory nor fundamental information provided any warning ahead of the event. The post-mortem focused on a wide range of issues from high frequency trading (through changes in market structure), to concentration of ownership...

EPFR - fund flow & allocations data

A rising tide lifts some (Japanese) boats: The Bank of Japan’s ETF purchases and their impact on market signals for individual stocks

By Steven Xinlei Shen 28 Mar 2021

A rising tide lifts some (Japanese) boats “Purchases [of Japanese ETFs] by the Bank of Japan have been increasing. Such large and longstanding purchases of stocks by a central bank are rare in the world. It must be important to examine the effects of purchases of ETFs by the central bank,” Hideki Hanaeda, and Toshio Serita observed in the preamble to their paper, Effects of Nikkei 225 ETFs on Stock Markets: Impacts of Purchases by Bank of Japan, that was presented at the 30th Australasian Finance and Banking Conference in 2017. At the time of their presentation the BOJ was seven years into its ETF Purchasing Program, launched in early 4Q10 and expanded in 2013 as part of the “three arrows” policy launched by then Prime Minister Shinzo Abe to snap Japan out of the deflationary slowdown that started in 1991 and came to be known as the lost decades. It’s ETF holdings at the end of the year totaled some $175 billion with unrealized gains that added another $50 billion to the value of those holdings...