The predictive power of EPFR – Webinar

Since the start of its ETF purchasing program in 4Q10, the combined value of the Bank Of Japan’s (BOJ) domestic ETF holdings has ballooned to over $450 billion. It owns over 5% of the total market capitalization of the TOPIX index and, by some estimates, has acquired 70% of the total ETFs eligible under the terms of its current program. This makes it the largest shareholder, institutional or otherwise, in Japan, and the question of what this is doing to classic price, value, and volatility metrics has taken on a new urgency.

In EPFR’s 2021 paper, ‘A rising tide lifts some (Japanese) boats: The Bank of Japan’s ETF purchases and their impact on market signals for individual stocks’, members of the EPFR research team utilized EPFR’s database to examine the degree to which the BOJ program is affecting Japanese stock prices – their research shows clearly that it does – and develop a factor that allows investors to compensate for, and profit from, the presence of a large, price-insensitive buyer in Japan’s equity markets. The results of the team’s work which added to the body of evidence following the BoJ’s pattern and volume of ETF purchases create an additional alpha source in the cross-section of Japanese stocks.

The webinar discusses how EPFR fund flows and data can be harnessed to analyze the macro environment and gain a clearer picture of the market, to make data-driven investible decisions. In addition to the impact of the BOJ’s ETF purchases, EPFR Research Director Cameron Brandt and Steven Shen, Manager of Quantitative Strategies will illustrate how these impacts — and other insights gleaned from EPFR’s databases — can be utilized to predict shifts at the stock, thematic and macro levels.

Learn more in this 40min webinar, ‘The Predictive Power of EPFR’, English language only.

 


日本銀行が2010年第4四半期に上場投資信託(ETF)買入政策を開始して以来、日本銀行の国内ETF保有額は、TOPIX時価総額の5%以上となる4,500億ドル超に膨らんでいます。また、現在のプログラムでは対象となるETFの70%を取得しているとの試算もあります。このように、世界的にもまれな中央銀行による大規模で長年にわたる株式購入がどのような影響をもたらしているのかという話題に関心が高まっております。

EPFRの2021年論文「A rising tide lifts some (Japanese) boats:日銀のETF買い入れと個別銘柄の市場シグナルへの影響について」では、EPFRリサーチチームが、自社のデータベースを活用し、日銀プログラムが日本の株価にどの程度影響を及ぼしているかを調査し(彼らの調査によると影響は明らか)、日本の株式市場で利益を得るためのファクターを開発したことが掲載されています。日銀のETF購入のパターンとボリュームを示すとともに、このウェビナーでは日本株のクロスセクションに新たなアルファ源を生み出す彼らの研究結果をご紹介します。

このウェビナーでは、EPFRのファンドフローとデータを活用したマクロ環境を分析し、市場をより明確に把握することによって、データに基づく投資判断を行う方法について解説します。また、EPFRリサーチ・ディレクターのキャメロン・ブラントとクォンツ・ストラテジー・マネージャーのスティーブン・シェンが、日銀のETF購入の影響に加え、EPFRのデータベースから得られるその他のインサイトを、株式、テーマ、マクロレベルでの変化を予測する方法を解説します。

詳しくは、2月24日午前11時30分(東京時間)より開催されるウェビナー「The Predictive Power of EPFR」でご案内いたします。
なお、このウェビナーは英語での開催となります。

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