1 Company Overview EPFR Global delivers a complete and transparent picture of institutional and individual investor flows driving global markets Strategists traders and investors use ID: 286326
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Slide1
Know the Flows…Slide2
1
Company Overview
EPFR 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.Slide3
Users of EPFR Data
2
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 AuthoritiesTypes 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 timingSlide4
3
Uses of EPFR Global DataSlide5
4
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/MonthlySlide6
Fund Flows OverviewLeverage the transparency of the EPFR universe and the granular breakdown of flows
5
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. Slide7
Fund Flows: Asset class breakdownHighly granulated flow data for more than 100 country, regional, sector and asset class categories
6
(includes Global & US )Slide8
7
Fund Flows:
Drill down to detail view
……………………………………………………………………………..………………………………………………….………….……
7Slide9
Fund Flows: Investor types differentiation US equity fund flows since January‘10
8
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 2010Slide10
9
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 yieldsSlide11
10
Fund Flows:
Practitioner examples and investment signals
Global
cross-asset allocationSlide12
Practitioner Example: Global risk indicator
11
Best call:
On May 6th 2010 – BofA backtesting
indicates 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’09Slide13
Practitioner Example: Global cross-asset allocation
12
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 fundsSlide14
Practitioner Example: Credit research analysis 13
US Credit Outlook
Support from the deep
The ‘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 Slide15
14
Fund Allocations
Fund 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 OverviewSlide16
15
Actual country and regional weightings (in % of AUM)
Country Allocations:
Overview
15Slide17
Country Allocations: Relative Country Weights
16
Non-ETF Global Equity Fund Active Weights vs. MSCI ACWI ETF
Pacific
Europe & Middle East
Americas
Latin America
EMEA
AsiaSlide18
Country & Sector Flows Overview
17
Fund Allocations
Fund 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 allocationsSlide19
Practitioner Examples: Sector Flows
18
Cumulative Sector Flows are still in the red for the most part, with the Materials sector being the only exception
Consumer Discretionary
Consumer Stapes
EnergyHealthcareIT
Telecom
Financials
Industrials
Materials
Utilities
Cumulative
52 Week
Flows
Weekly Flows
(%
AuM
)Slide20
Practitioner Examples:
Global Country Allocation Model
19
Utilizing Flows in Multi-Factor Asset Allocation
Global Country Selection Model
In this report, we demonstrate how utilizing EPFR Country Flows alongside standard investment factors add value to country allocation strategies
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
Slide21
New research based on EPFR Global data
20Slide22
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 Rees
Head of Investment Process Research
Schroders, London
“Emerging market mutual funds' country allocations appear to contain information on future equity returns beyond that contained in standard valuation and momentum indicators.”
Analyst
Global Asset Allocation Research Team
Salomon 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 Aham
Portfolio Manager
State Street Global Advisors
Sell Side
Buy Side
Government/MediaSlide23
Company History
22Slide24
Key Contacts
23
Dwight Ingalsbe
Managing Director/Co-Founder
Tel: (+1-617) 864-4999 ext. 26
Email: ingalsbe@epfr.com
Brad Durham
Managing Director/Co-Founder
Tel: (+1-617) 864-4999 ext. 24
Email: durham@epfr.com
Ian Wilson
Managing Director, Fund Data
Tel: (+1-804) 217-8653
Email: ian.wilson@epfr.com
Simon Ringrose
Managing Director, Sales
Tel: (+1-617) 864-4999 ext. 30
Email: simon.ringrose@epfr.com
Cameron Brandt
Director, Research
Tel: (+1-617) 864-4999 ext. 22
Email: brandt@epfr.com
Patrick Paradiso
Sales (Latin America)
Tel: (+1-917) 543-6181
Email: patrick.paradiso@epfr.com
Jean-Claude Moos
Sales Executive
Tel: (+1-212) 907-5814
Email: jcmoos@epfr.com
Rikolv Hatlehol-Desai
Sales Director (EMEA)
Tel: (+44) 7766 805657
Email: rikolv@epfr.com
Bin Peng
Sales Director (North China)
Tel:
(+86) 10 6562 5321
Email: bin.peng@epfr.com
Robert Sheridan
Business Development Manager, Asia
Tel: (+65) 8484 1094
Email: robert.sheridan@epfr.com
Young-
il
Sunwoo
Sales (Korea)
Tel:
(+821) 9608-0101
Email: yisunwoo@dreamwiz.com
Todd Willits
Manager, Client Services
Tel: (+1-617) 864-4999 ext. 27
Email: todd@epfr.com