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Global Navigator: 2Q22 ending with more than a whimper
Global Navigator: 2Q22 ending with more than a whimper

Against a backdrop of market volatility, slowing economic growth in Europe and North America, gasoline prices and mortgage rates in the US firmly above $5 a gallon and 5%, respectively, continued fighting in Ukraine and ongoing Covid-related disruptions to China-based supply chains, investors pulled over $45 billion from EPFR-tracked Equity, Bond, Alternative and Balanced Funds during the third week of June.

Quants Corner: Seeking balance in an underused fund group
Quants Corner: Seeking balance in an underused fund group

Balanced Funds, also known as hybrid or multi-asset funds, are a class of funds that contain both a debt and equity within a single portfolio. These funds offer investors diversified exposure that can be adjusted over time — either on a discretionary basis or in response to predetermined markers — and are an important tool for target-date retirement planning.

Global Navigator: Investors parse the meaning of transitory
Global Navigator: Investors parse the meaning of transitory

Hopes that the impact of Covid’s Omicron variant will prove transitory, concern that it will not, and fears that inflation is here to stay whip-sawed global markets during the final days of November. Concerns about the latter issue were crystalized by recently reappointed US Federal Reserve Chair Jerome Powell’s admission that price pressures could spur the Fed to accelerate the tapering of its asset purchases.

EPFR Papers: China Evergrande – Fixed on its fate
EPFR Papers: China Evergrande – Fixed on its fate

The fate of China’s Evergrande, the second-largest developer in China by sales, could have a knock-on effect on China’s real estate sector and the international markets, in what doomsayers have warned could well be another Lehman moment for financial markets.

EPFR Webinar: EPFR’s 2021 Q1 wrap
EPFR Webinar: EPFR’s 2021 Q1 wrap

The first quarter of 2021 saw the global reflation vs. inflation story develop. February brought with it a record number of flows into equity funds and as we move through March, our research team continues to compile EPFR-tracked fund flows and allocations data to ascertain whether global reflation will trigger higher-than-expected inflation.

Economist Insights: EPFR data tells us likelihood of volatility
Economist Insights: EPFR data tells us likelihood of volatility

Funds offering exposure to the most widely followed measure of US equity market volatility, the Chicago Board Options Exchange’s CBOE Volatility Index (VIX), are seeing a surge in flows as investors pencil in a much bumpier ride in 2021 than they’ve experienced since the 2008-12 post-financial crisis period.

Quants Corner: Is volatility coming out of the doldrums?
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 intraday low of 8.56. Although CBOE noted that it was a glitch, and November 27, 2017, ended with the VIX well above 9, it highlighted the degree to which volatility had gone AWOL.

EPFR Papers: The global low-volatility investment
EPFR Papers: The global low-volatility investment

Asset managers are responding to this demand. According to data from Informa Financial Intelligence’s EPFR, by mid-2Q19 there were 204 low-volatility funds globally with a total Asset under Management (AuM) of over US$130 billion.

Quants Corner: Low-volatility investing continues to shine
Quants Corner: Low-volatility investing continues to shine

In my last post ‘Understanding the rise of low volatility strategies in asset management’, we looked at the evolution of low-volatility funds within the last decade, through statistical analysis. This week, we will ‘deep dive’ into the performances of funds following low-volatility strategies.