EPFR in the news – November 2022
Scroll down to find out where EPFR’s data has been cited this month.
Financial Times – Investors pump almost $16bn in to US corporate bond funds
EPFR Director of Research, Cameron Brandt, comments on investors acting in a yield-starved environment.
Financial Times – Shift from active to passive funds is accelerating, JPMorgan says
World Bank Blogs – The globalization of financial risk: How ETFs make local markets less local
“In a new paper (Converse et al. 2022), we find evidence that investor flows to ETFs are more responsive to global risk factors and less responsive to local factors such as the fiscal and growth performance, relative to investor flows to traditional mutual funds. Consequently, the larger the share of a country’s market capitalization held by ETFs, the greater is the sensitivity of portfolio flows to changes in global financial stress…. To argue this more rigorously, we proceed in two steps. First, we look at monthly fund-level data on investor flows to equity and bond mutual funds and ETFs (sourced from EPFR Global),2 and run a regression of these fund-level flows against one global factor (the St Louis Fed Financial Stress Index, a broad measure of global risk conditions) and one local factor (the median of growth in industrial production across the countries included in each fund’s scope), interacting these two factors with an ETF dummy to capture any differential sensitivity.3 We find that the negative relationship between global risk and investor flows is significantly larger (almost 1.5 times for equity and 1.25 times for bonds) for ETFs, compared to mutual funds investing in emerging markets.”
“The inflation print was the most anticipated data of the month, with investors holding off making big bets in the run-up to it. In the week to Nov. 9 – a day before the report – global equity funds had outflows of $4.6 billion, according to Bank of America citing EPFR data show. US funds had their first redemptions in five weeks. In the same period, investors poured $3 billion into global bond funds and $2.4 billion into cash.”
“Investors bought more bonds than at any time in the last four months in the week to Wednesday as signs emerged that inflation may have peaked, BofA Global Research said on Friday. Investors bought $2.6 billion of bonds in the week to Wednesday, BofA said, citing EPFR data.”