Know the Flows…
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GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Know the Flows…
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
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Company OverviewEPFR Global delivers a complete and transparent picture of institutional and individual investor flows driving global markets. Strategists, traders, and investors use EPFR flow and allocation data to gain the most current, global view of changing investor demand and manager positioning. Trading and allocation strategies leverage EPFR historical and current data to improve returns and manage risk.
• Series sourced through direct relationships with fund managers and administrators
• The universe covers over $17 trillion in globally domiciled funds.
• EPFR flows are available at either the asset class aggregate, fund group, investment manager, individual fund and share class levels to support the most granular and informed insights.
• Comprehensive, transparent, and robust daily, weekly, monthly updates available T+1 in addition to historical time series.
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Users of EPFR Data
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Government/Central Banks
Asset Managers Hedge Funds
Banking and Brokerage Strategists Capital Markets Research Analysts
Types of usage: Proprietary trading Directional calls for clients Targeting sales efforts Market analysis
Fund Managers Portfolio Analysts Marketing and Product Development
Types of usage: Factor in investment process Competitive analysis, product dev Asset allocation Quantitative analysis
Regulators Monetary Authorities
Types of usage: Cross-border flow analysis Flows impact on currency as well
as local equity/debt markets
Global Macro/EM/Discretionary
Quantitative Investors
Types of usage: Momentum trading Liquidity analysis Market timing
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
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Uses of EPFR Global Data
• Foreign investor flows can be a useful leading indicator – especially at the country level and particularly in Emerging Markets
• Investors use flows relative strength to help time entry/exit to individual countries
Market Timing
• Country allocation data - global fund manager positioning provides additional data as a momentum signal and is often used in multi-factor models
Momentum Indicators
• Country and sector flows can be leading indicators of broader market direction. Relative strength of flows to favored countries/sectors vs out of favor countries/sectors helps managers decide when to get in or out.
Directional Signals
• Allocators will cross-check their own analysis with investor sentiment based on flows/positioning
• Portfolio managers can compare their allocations with their peers for performance analysis
Asset Allocation & Benchmarking
• Monitoring flows into asset classes provide a useful signal of investor risk appetite. Similarly, fund manager positioning (for example cash positions) indicate changing fund manager risk appetite
Measuring Risk
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
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EPFR Global Key Data Sets
Core Datasets(based on data sourced directly from managers or administrators)
Derived Datasets(based on flows and allocations data)
Fund Flows
Fund manager allocations at month-end across the countries or sectors they invest in.
Equity/Bond Fund Flows Daily/Weekly/Monthly * also includes AUM, Performance
Country Weightings – Monthly Sector / Industry Weightings – Monthly Equity / Bond Fund Holdings – Monthly
Fund Allocations
Country & Sector Flows
The amount of cash flowing into and out of funds world-wide.
Distribution of fund flows by country or sector. Combines data from fund flows and fund allocations.
Country/Sector/Industry Flows Daily/Weekly/Monthly
Regional packages available Daily/Weekly/Monthly
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Fund Flows OverviewLeverage the transparency of the EPFR universe and the granular breakdown of flows
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• Geographic investment focus
• Style/sector
• Bond categories
Asset Class Breakdown
• Institutional vs Retail
• US Domiciled vs Non-US Domiciled
Investor Types Differentiation
• Dedicated Country Funds vs Global, GEM, and Regional Mandates
• Mutual funds vs ETFs
• Active vs Passive
Fund Types Differentiation
Fund Flows
The amount of cash flowing into and out of funds world-wide.
What are Fund Flows?
Calculates “Net Flows” (investor contributions/redemptions) for individual funds and then add these up by asset class
Net Flow calculations exclude portfolio performance and currency fluctuations
Includes funds registered globally not just those domiciled in the US
Updated daily/weekly/monthly
Fund Flows
The amount of cash flowing into and out of funds world-wide.
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Fund Flows: Asset class breakdownHighly granulated flow data for more than 100 country, regional, sector and asset class categories
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(includes Global & US )
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
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Fund Flows: Drill down to detail view ……………………………………………………………………………..………………………………………………….………….……
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GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Fund Flows: Investor types differentiation US equity fund flows since January‘10
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All investor types US Institutional Investors
US Retail investors Non-US investors in US equity
• Only US institutional investors were the main buyers ‘at the bottom’
• US Retail investors missed the big US Equity rally between Q2/2010 and Q1/2011.
• Non-US investors (US equity funds domiciled ex US) stayed away in Q2/Q3 2010
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Fund Flows: The Big Picture
Global cross-asset allocation
Total Aggregate Equity, Fixed Income, and Money Market Fund Flows
Developed vs. Emerging Market Equity Flows
Developed vs. Emerging Market Fixed Income Flows
Recent flows are still largely in favor of
Fixed Income funds, although the overall
flight from equities has temporarily reversed
course
Until the recent rally, investors have shown
a lack of confidence in equity markets, as
flows continue to remain in the red over
the past year
Demand for Emerging vs. Developed Market debt has skyrocketed this year as investors
search for favorable yields
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Cum
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Flow
YTD
(%
AuM
)
Equity
FixedIncomeMoneyMarket
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5.00%
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Flow
YTD
(%
AuM
) Developed
Emerging
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2012/01/182011/10/262011/08/032011/05/112011/02/16
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Flow
YTD
(%
AuM
) Developed
Emerging
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Fund Flows: Practitioner examples and investment signals
Flows provide additional information useful in the asset allocation process, including:• Future performance of equities vs bonds (using 4 week flows to risky assets vs mm)• Regional equity allocation• Sector allocation within fixed income
Relative value
Comparing strength of flows across regions as a ‘liquidity pulse’• The Liquidity Pulse compares the size of the current flow to a country or region (4-week
average flows as % of assets) with the average size of the flow in the last 13 weeks.• The relative size of the flows is given as standard deviation from the mean. Most
powerful on a cross-sectional (regional) basis.
Equity Trading
Rule
Excess flows are shown to cause predictable and investable inflection points. The rule is based on 4 week total overall flows for GEM equity funds:
• Outflow total greater than or equal to - $8bn ‘buy’ signal• Inflows greater than or equal to $6.5bn ‘sell’ signal
Global cross-asset allocation
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Practitioner Example: Global risk indicator
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Best call:On May 6th 2010 – BofA backtestingindicates that GFSI would have flashed"sell.” Risk assets sold off over the next 30 days, as equities corrected 5.5%,commodities fell 8.1% and HY bonds lost 2.6%
Chart 4 shows a backtested chart of the GFSI sell indicator and the performance of major asset classes. The GFSI would have warned of a major correction in risk assets on 6th May 2010.
Source: BofA Merrill Lynch Global Research, EPFR Global, Bloomberg; indexed to 100 in Oct’09
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Practitioner Example: Global cross-asset allocation
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Chart 10 shows that the results of the monthly ‘best-of-two’ strategy for global equities and global bonds are similarly convincing. The strategy would have generated an excess return of roughly 8pp per year before costs, and total return was more than twice the benchmark return with lower volatility. The strategy therefore clearly dominates the equally-weighted benchmark.
Using money market returns as risk-free rate, the strategy has had a Sharpe ratio of 1.3 since 2004, while the benchmark only had a Sharpe ratio of 0.2. On average, funds would have to be switched between global equities and global bonds three times per year; so even including transaction costs, a significant excess return would have been earned.
These results clearly suggest that the direction of flows into or out of risk assets and into or out of money market funds contains information about future performance of equities versus bonds.
Source: EPFR, Datastream, Commerzbank Corporates & Markets
Chart 10: End-of-month ‘best-of-two’ strategy for global equities vs global bonds based on the four-week average fund flows as a percentage of AuM into risk assets and money market funds
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Practitioner Example: Credit research analysis
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US Credit Outlook
Support from the deepThe ‘hidden force’ supporting asset prices is, of course, the flood of liquidity from the Fed. In his most recent testimony and elsewhere, Bernanke has deemed the fact that “equity prices have risen significantly, volatility in the equity market has fallen, [and] corporate bond spreads have narrowed” as evidence “that the Federal Reserve’s recent actions have been effective.”
By holding interest rates on cash at zero even as the economy has continued to recover, the Fed has left investors scrambling for return wherever they can find it. Much of the rally has been justified by the recovery in the economy, of course. Yet the fall in yields to their lowest levels since the 1960s, the simultaneous rally in gold and recent sell-off in the dollar, leave us thinking that this is about more than just fundamentals. In some ways the fund flows speak louder than the actual market movements: investors have been selling cash assets to buy almost anything else. In 2010, much of this liquidity was making its way into EM; now that investors are growing nervous about political stability, it has again been channeled into US and developed markets (Figure 5). Even IG at 3% starts to look interesting when cash deposits and money market funds are yielding virtually nothing.
Source: Citi Investment Research and Analysis, EPFR
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• Using overall country weights against benchmark as a momentum signal
Momentum Indicators
• Comparing country/sector/cash positions with peer group
Benchmarking
• Tracking the ‘smart money’ – how funds get in/out at the optimal time
Market Timing
Fund Allocation
sFund manager allocations at month-end across the countries or sectors they invest in.
What are Fund Allocations? Monthly data reported by managers or
administrators (based on holdings, fund factsheets)
Fund level detail includes total fund assets, % weight in cash, % weight by country
Includes funds registered globally not just US
Country & Sector Allocations Overview
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Actual country and regional weightings (in % of AUM)
• Country Allocations: Overview
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Country Allocations: Relative Country Weights
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Non-ETF Global Equity Fund Active Weights vs. MSCI ACWI ETF
PacificEurope & Middle EastAmericas
Latin AmericaEMEAAsia
Europe, ME 10.11%
UK 3.28%
Germany 1.76%
France 1.72%
Netherlands 1.39%
Switzerland 0.96%
Ireland 0.58%
Norway 0.49%
Austria 0.31%
Israel 0.26%
Italy 0.07%
Greece 0.01%
Portugal -0.03%
Sweden -0.04%
Finland -0.04%
Belgium -0.05%
Denmark -0.09%
Spain -0.46%
-12.0% -8.0% -4.0% 0.0% 4.0% 8.0% 12.0%
Americas -13.79%
Canada -2.30%
USA -11.49%
-20.0% -10.0% 0.0% 10.0% 20.0%
Latam -0.65%
Brazil 0.23%
Peru 0.03%
Colombia -0.13%
Chile -0.23%
Mexico -0.56%
-1.0% -0.5% 0.0% 0.5% 1.0%
Asia -0.36%
Korea (South) 0.56%
Malaysia 0.27%
Taiwan 0.00%
Philippines -0.11%
Thailand -0.14%
India -0.23%
Indonesia -0.26%
China -0.45%
-1.0% -0.5% 0.0% 0.5% 1.0%
EMEA -0.50%
Turkey 0.40%
Russia 0.29%
Morocco 0.00%
Egypt -0.02%
Poland -0.02%
Czechrepublic -0.07%
Hungary -0.07%
South Africa -1.03%
-1.5% -0.5% 0.5% 1.5%
Pacific -1.12%
Singapore 1.28%
Hongkong 0.18%
Newzealand 0.00%
Australia -0.21%
Japan -2.37%
-3.0% -1.0% 1.0% 3.0%
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Country & Sector Flows Overview
Derived data based on Fund Flows and Fund Allocations
Updated daily, weekly, monthly
Unique high frequency view of cross border portfolio flows – driving valuations in FX, Equity, Bonds.
Measures relative strength of flows at a Sector or Country level
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Fund Allocation
sFund manager allocations at month-end across the countries or sectors they invest in.
What are Country Flows/Sector Flows ?
EPFR multiplies the most recently available Fund group allocations (to a country or sector) x Flows into that Fund Group - to estimate overall flows at a country or sector level.
Allows users to analyze flows by fund group, ETF vs MF, and by domicile
Includes funds registered globally not just those domiciled in the US
EPFR also tracks flows to dedicated Sector Funds, as an alternative measure of demand for individual sectors
Country or Sector Flows
Distribution of fund flows by country or sector. Combines data from fund flows and fund allocations
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Practitioner Examples: Sector Flows
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Cumulative Sector Flows are still in the red for the most part, with the Materials sector being the only exception
Consumer Discretionary Consumer Stapes
Energy
Healthcare
IT
Telecom
Financials
Industrials
Materials
Utilities
Cumulative 52 Week
Flows
Weekly Flows(% AuM)
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Practitioner Examples: Global Country Allocation Model
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Utilizing Flows in Multi-Factor Asset AllocationGlobal Country Selection Model
In this report, we demonstrate how utilizing EPFR Country Flows alongside standard investment factors add value to country allocation strategies
49% Scale: 50%Factor Weight Year Return Volatility Year Return Benchmark Excess TEActive Country Flow 50% 2002 7.0% 4.2% 2002 -6.4% -18.9% 12.6% 4.7%Regional Fund Flow 0% 2003 4.9% 3.3% 2003 46.0% 34.6% 11.4% 3.9%GEM Country Flows 0% 2004 5.0% 3.2% 2004 28.9% 15.7% 13.3% 4.9%AIS 0% 2005 1.8% 3.4% 2005 21.9% 11.3% 10.6% 5.4%Price to Book 25% 2006 3.5% 4.1% 2006 31.3% 21.5% 9.8% 3.3%Relative P/B 0% 2007 2.1% 3.2% 2007 20.0% 12.1% 7.9% 4.9%T. Price to Earnings 25% 2008 2.1% 2.9% 2008 -44.1% -41.8% -2.3% 2.5%Forward P/E 0% 2009 10.2% 4.3% 2009 52.0% 35.4% 16.6% 6.4%Relative P/E 0% 2010 -1.5% 2.0% 2010 13.6% 13.2% 0.4% 2.5%T. Dividend Yield 0% 2011 1.7% 3.1% 2011 -5.2% -3.8% -1.4% 1.8%LT Price Momentum 0%ST Price Momentum 0% Total 42.9% -- Total 209.6% 64.0% 145.6% --Inflation 0% Annualized 3.7% 3.3% Annualized 12.2% 5.2% 7.0% 4.4%Beta 0% IR 1.13 -- IR 1.58 -- -- --Interest Rate 0%Error Correction 0%
Index or ETF?Chart Settings*Emerging Markets Model Only
Asset Allocation
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Strategy Cap-Weighted Benchmark
Multi-Factor Country Model
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'02'03'04'05'06'07'08'09'10'11
Return / Excess Return
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High Relative FlowsLow Relative Flows
Che
apEx
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The Cycle of Value and FlowsEach dot represents a country within the model
Over weight
Under weight
Settings:Model Rank 2011/10/31USA -4.5%J apan -2.6%Canada -1.0%Switzerland -0.7%India -0.4%Hong Kong -0.3%Taiwan -0.3%Singapore -0.2%Indonesia -0.1%Mexico -0.1%Belgium -0.1%Israel -0.1%Malaysia -0.1%Ireland 0.0%Denmark 0.0%Portugal 0.0%Chile 0.0%Philippines 0.0%Greece 0.0%Morocco 0.0%New Zealand 0.0%Egypt 0.0%Colombia 0.0%Australia 0.0%Czech Republic 0.0%Hungary 0.1%Poland 0.1%Peru 0.1%Austria 0.1%Turkey 0.1%Finland 0.1%Thailand 0.1%Norway 0.2%Sweden 0.2%Netherlands 0.3%South Africa 0.3%China 0.4%Italy 0.4%Russia 0.5%Spain 0.7%South Korea 0.7%Brazil 1.0%Germany 1.1%France 1.4%UK 2.6%-- ---- ---- ---- ---- --
USA -4.5%
Japan -2.6%
Canada -1.0%Switzerland -0.7%
India -0.4%
Hong Kong -0.3%
Taiwan -0.3%Singapore -0.2%
Indonesia -0.1%
Mex ico -0.1%
Belgium -0.1%Israel -0.1%
Malaysia -0.1%
Ireland 0.0%Denmark 0.0%
Portugal 0.0%
Chile 0.0%Philippines 0.0%
Greece 0.0%
Morocco 0.0%New Zealand 0.0%
Egypt 0.0%
Colombia 0.0%
Australia 0.0%Czech Republic 0.0%
Hungary 0.1%
Poland 0.1%Peru 0.1%
Austria 0.1%
Turkey 0.1%
Finland 0.1%Thailand 0.1%
Norway 0.2%
Sweden 0.2%
Netherlands 0.3%South Africa 0.3%
China 0.4%
Italy 0.4%Russia 0.5%
Spain 0.7%
South Korea 0.7%
Brazil 1.0%Germany 1.1%
France 1.4%
UK 2.6%
-5.0% -4.0% -3.0% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0%
Current Model WeightsCountry 2011/10/31Morocco 0.0%New Zealand 0.0%Greece 0.0%Portugal 0.0%Ireland 0.1%Egypt 0.1%Hungary 0.1%Colombia 0.1%Israel 0.2%Czech Republic 0.2%Philippines 0.2%Belgium 0.2%Poland 0.2%Austria 0.2%Peru 0.2%Chile 0.2%Malaysia 0.3%Denmark 0.3%Turkey 0.3%Indonesia 0.4%Singapore 0.4%Thailand 0.4%Finland 0.5%Norway 0.6%India 0.6%Mexico 0.6%Hong Kong 0.8%Taiwan 1.0%Russia 1.4%Sweden 1.4%Netherlands 1.4%Italy 1.4%South Africa 1.6%Spain 2.0%South Korea 2.2%Switzerland 2.4%China 2.8%Brazil 2.9%Canada 3.1%Australia 3.6%Germany 4.3%France 4.9%J apan 5.5%UK 10.8%USA 40.2%-- ---- ---- ---- ---- --
Germany 4.3%
France 4.9%
Japan 5.5%
UK 10.8%
USA 40.2%
0.0% 5.0% 10.0% 15.0% 20 .0% 25.0% 30.0% 35.0% 40.0% 45.0%
Morocco 0.0%New Zealand 0.0%Greece 0.0%
Portugal 0.0%Ireland 0.1%Egypt 0.1%
Hungary 0.1%Colombia 0.1%Israel 0.2%Czech Republic 0.2%Philippines 0.2%Belgium 0.2%Poland 0.2%Austria 0.2%Peru 0.2%Chile 0.2%
Malaysia 0.3%Denmark 0.3%Turkey 0.3%
Indonesia 0.4%Singapore 0.4%Thailand 0.4%
Finland 0.5%Norway 0.6%India 0.6%Mex ico 0.6%
Hong Kong 0.8%Taiwan 1.0%
Russia 1.4%Sweden 1.4%Netherlands 1.4%Italy 1.4%
South Africa 1.6%Spain 2.0%
South Korea 2.2%Switzerland 2.4%
China 2.8%Brazil 2.9%
Canada 3.1%Australia 3.6%
0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0%
Backtests using EPFR Fund Allocations and Fund Flows as factors in a global country selection model yield convincing results
Investment factors
• Active Country Flow compares one country to the cross sectional average
• Active Investor Spread uses EPFR country allocations data to measure active, speculative investor activity in emerging markets
Model Features
• Provides an interactive environment for portfolio managers to backtest strategies with EPFR Fund Flow & Allocations data
• Create custom country portfolios
• Adjustable factor weightings and strategy parameters allow for a high level of adaptability
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
New research based on EPFR Global data
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• What is the impact of fund liquidations (outflows) to equity valuations in emerging markets where foreign funds have big positions – and how can investors can use this information in their investment decisions
Dec 2010 Oxford-MAN paper (Journal of Finance candidate)
• Launched December 2010 the index uses weekly country flows data to improve country allocation and outperform the FTSE EM index
FTSE - EPFR EM Fund Flows Index
• This new (Q4 2010) BofA Merrill index measures global investor risk appetite analyzing daily flows to EM equity, High Yield bond, and Money Market funds
Global Financial Stress Index
• EPFR is developing a suite a investment strategies to aid clients in the utilization of fund flow and allocations data directly in the investment process
Country / Sector / Regional allocation models, FX trading
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Sample Clients
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"The flow data from EPFR has proved to be a useful source of added value in some quantitative models of equity markets we have constructed. It provides an extra dimension of information to that available from the typical equity market databases used by quants and so affords an edge in performance over much of the competition."Dr. Stephen ReesHead of Investment Process ResearchSchroders, London
“Emerging market mutual funds' country allocations appear to contain information on future equity returns beyond that contained in standard valuation and momentum indicators.”AnalystGlobal Asset Allocation Research TeamSalomon Smith Barney
“I find the EPFR Global Country Weightings Report to be an invaluable tool in helping me track my competitors' regional and country allocations on a monthly basis. The Report is timely and very comprehensive.“Brad AhamPortfolio ManagerState Street Global Advisors
Sell Side Buy Side Government/Media
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Company History
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•EPFR Global founded Cambridge, Massachusetts USA1994
•EPFR Global launches Russia Portfolio, Central Europe Portfolio and Brazil Portfolio: publications serving more than 600 institutional investor clients worldwide.1995-1999
•EPFR Global launches Research and Analysis Services, providing independent research services for investment management firms. 2000
•EPFR Global acquires Emerging Market Funds Research, Inc., a database of global equity and fixed income funds.2001
•EPFR Global expands fund database by four-fold to more than 15,000 equity and fixed income funds with $10 trillion in assets. Client base expanded by nearly 10-fold and includes leading institutional investors, global equity and fixed income analysts, strategists, investment managers, hedge funds, central bankers.
2001-2007
•EPFR Global launches new Web Interface, new Country Flows data set, and Web Services for automated data delivery in trading and investment models.2008
•EPFR Global launches delivery with Haver Analytics to provide weekly and monthly international fund flows data for equities, bonds and money markets.2009
•EPFR Global acquired by Informa PLC2010
GLOBALGLOBAL FUND FLOWS AND ALLOCATIONS DATA
Key Contacts
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Dwight Ingalsbe Managing Director/Co-Founder Tel: (+1-617) 864-4999 ext. 26 Email: [email protected]
Brad Durham Managing Director/Co-Founder Tel: (+1-617) 864-4999 ext. 24 Email: [email protected]
Ian Wilson Managing Director, Fund Data Tel: (+1-804) 217-8653 Email: [email protected]
Simon Ringrose Managing Director, Sales Tel: (+1-617) 864-4999 ext. 30 Email: [email protected]
Cameron Brandt Director, Research Tel: (+1-617) 864-4999 ext. 22 Email: [email protected]
Patrick Paradiso Sales (Latin America) Tel: (+1-917) 543-6181 Email: [email protected]
Jean-Claude Moos Sales Executive Tel: (+1-212) 907-5814 Email: [email protected]
Rikolv Hatlehol-Desai Sales Director (EMEA) Tel: (+44) 7766 805657 Email: [email protected]
Bin Peng Sales Director (North China) Tel: (+86) 10 6562 5321 Email: [email protected]
Robert Sheridan Business Development Manager, Asia Tel: (+65) 8484 1094 Email: [email protected]
Young-il Sunwoo Sales (Korea) Tel: (+821) 9608-0101 Email: [email protected]
Todd Willits Manager, Client Services Tel: (+1-617) 864-4999 ext. 27 Email: [email protected]