Quants Corner – Inflation: A mythical beast of antiquity?
When readers of this blog were young, their bedtime fare probably included tales featuring dragons and the people who either slew or bonded with...
Quants Corner
Quants Corner – Is volatility coming out of the doldrums?
It feels like a long time, but it was only three years ago when the VIX index, the benchmark for measuring market volatility, hit an all-time...
Quants Corner – In 2021, backing those closest to the light
Mapping fund flows to the progression of a truly global pandemic is something that EPFR – thankfully – has not had to deal with for most of its...
Quants Corner – Animal spirits arise in retail investors
After years of pulling money out of equity funds, retail investors are starting to step back in. EPFR-tracked Equity Funds ended 2020 with eight...
Quants Corner – ESG: The climate has changed
EPFR started tracking equity fund flows in the first quarter of 1996. It started tracking its first funds with socially responsible (SRI) or...
Quants Corner – Finding value in negative flows
Despite the strong rebound seen during November, this year has been a tough year – in flow terms – for both Emerging and Developed Markets Equity...
Quants Corner – EPFR’s 2020 wrap: Signing off on a crazy year
After more than two decades of tracking mutual fund flows and allocation data, we’ve come to believe that each year, or indeed each time period, has...
Following the IGM deal flow to capture alpha in the corporate bond market
According to Informa Global Markets (IGM), their Deals Database shows total year-to-date bond issuance hit €2.36 trillion through the end of...
The run-up to election day: Reading the fund tea leaves
With less than a week to go before America chooses a president, what are the flow and return numbers saying? The flows and returns for EPFR-tracked...
Quants Corner – Japan: Ex-Asia but not ex-Alpha
For decades, global investors have become conditioned to the term Asia ex(cluding) Japan. It’s a term that reflects Japan’s individual place in the...
FX allocations quantitative strategy
With a daily [trading] volume of over $5 trillion, the foreign exchange (FX) market is the largest investible market. One of the keys to success in...
Quants Corner – Frugality: A virtue whose time has come or gone?
The freedom to deploy fiscal policy unfettered by the European Union’s budgetary rules may prove to be a godsend for the UK as it battles the...
Quants Corner – Factor flow: Augmenting the toolkit
EPFR subscribers have traditionally looked at the kinds of funds money is moving into. Active or passive? ETF or mutual fund? Equity or Bond? Energy...
Fund flows as currency allocator: Predicting the fall of the dollar?
Can quantitative lightning strike twice? Srimurthy et al. demonstrated the utility of fund flows as a predictor for equity markets at the country...
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...