基金流向 - EPFR Global

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Company Overview
公司简介
………………………………………………………………………………...
EPFR Global provides fund flow and asset allocation data to financial
institutions around the world. EPFR Global delivers a complete picture of
institutional and individual investor flows and fund manager allocation
driving global markets.
EPFR Global 公司致力于及时向全球金融机构提供基金流向和资产分配数据。
EPFR Global 提供金融机构和个人投资动向和主导全球市场的基金经理的投资分布。
 Data sourced through direct relationships with fund managers and
administrators
数据直接来自于基金公司和管理机构
 The EPFR universe covers $11 trillion in globally domiciled funds
EPFR数据库涵盖了来自全球11万亿美元的注册基金
 Daily, weekly, monthly updates plus historical time series
丰富的历史数据并按照日,周,月更新
1
EPFR Global Data Services
EPFR Global 数据服务
……………………………………………………………………………….................................................
Core EPFR datasets
(based on data sourced directly from managers or administrators)
Fund Flows
Fund Allocations
基金流向
基金投资分布
Derived datasets
Country/Sector/
Industry Flows
国家/行业/产业基金流向
The amount of
cash flowing
into and out of
funds worldwide.
Fund manager
allocations at monthend across the
countries or sectors
they invest in.
Distribution of fund
flows by country or
sector. Combines
data from fund flows
and fund allocations.
世界范围内买入
和卖出基金的成
交数量
基金经理在月末对不同
国家和行业的投资分配
结合总体基金流向和投
资分布得出国家或行业
的基金流向分布
 Equity/Bond Fund Flows –
Daily/Weekly/Monthly
*also includes AUM, Performance
 Fund Country Weightings – Monthly
 Sector/Industry Weightings – Monthly
 Equity/Bond Fund Holdings – Monthly
Country/Sector/Industry Flows –
Daily/Weekly/Monthly
 Regional packages available –
Daily/Weekly/Monthly
2
Users of EPFR Global Data
公司数据的用户
………………………………………………………………………...…………………………………........
Banking and Brokerage
银行业务及经纪
Government/Central Banks
政府/中央银行
 Strategists 投资策略师
 Capital Markets 资本市场
 Research Analysts 研究分析员
 Regulators 监管机构
 Monetary Authorities 金融管理局
Types of usage 数据应用方式 :
 Proprietary trading 自营交易
 Directional calls for clients 为客户提供方向性指示
 Targeting sales efforts 针对性销售
 Market analysis 市场分析
Types of usage 数据应用方式 :
 Cross-border flow analysis 跨国基金流向分析
 Flows impact on currency as well as
local equity/debt markets
基金流向对货币及当地股票/债务市场的影响
Asset Managers
资产管理者
 Fund Managers 基金经理
 Portfolio Analysts 投资组合分析员
 Marketing and Product Development
市场开拓和产品研发
Types of usage 数据应用方式 :
 Factor in investment process 影响投资过程的因素
 Competitive analysis, product dev elopment
竞争力分析和产品研发
 Asset allocation 资产分配
 Quantitative analysis 定量分析
Hedge Funds
对冲基金
 Global Macro/EM/Discretionary
环球宏观/新兴市场/全权委托
 Quantitative Investors 定量投资者
Types of usage 数据应用方式 :
 Momentum trading 动量交易
 Liquidity analysis 流动性分析
 Market timing 把握市场时机
3
Fund Flows: Overview
基金流向:概览
……………………………………………………………………………………….…...
Net inflows/outflows after removing
market performance and currency impact
排除市场表现和货币影响后的净基金流入/流出量
Weekly flows as a % of AUM
周流量占总资产值的百分比
Image from UI of a standard
(A)
rep
4
Fund Flows: Top down views of countries, sectors, style / capitalization
基金流向:国家(或地区),行业,投资风格/市值自上而下一览图
…………………………………………………………………………………………………………………………………………………………………………………………….…………………………………………………………....
(includes Global & US )
5
Fund Flows: Drill down to detail view
基金流向:细节解读
……………………………………………………………………………..………………………………………………….…………………
6
Country Weightings: Overview
国家投资权重:概览
Actual country and regional weightings (in % of AUM)
实际国家和地区资金权重(占总产值的百分比)
…………………………………………………………………………………………………………………
7
Sector/Industry Allocations: Overview
行业/产业配置:概览
Actual sector and industry weightings (in % of AUM)
实际行业和产业的投资权重(占总产值的百分比)
……………………………………………………………………………………………………………………………………………..
Sector Allocations (GICS Level I)
Industry Allocations (GICS Level II)
8
New! High Frequency Data: Country/Sector/Industry Flows
最新!高频数据:国家/行业/产业基金流向
………………………………………………………………………………………………………………………………………………………………………………………………………………………………..………….
Country Flows
Sector / Industry Flows (GICS Level I & II)
9
Universe Coverage: Equity Fund Flows
数据库覆盖范围:股票型基金流向
……………………………………………………………………………………………………………………………………………….
Equity Fund
Flows
Equity Fund
Category
Daily Report
Weekly Report
Monthly Report
# of
Funds
$US
billions
# of
Funds
$US
billions
# of
Funds
$US
billions
GEM
665
146.93
673
163.19
809
228.84
Asia
ex-Japan
942
128.59
965
136.25
1,226
189.57
Latin
America
190
27.27
192
29.30
212
40.30
EMEA
417
19.40
434
21.09
519
29.76
Global
2,657
471.74
2,711
492.35
3,583
1,257.52
Pacific
146
14.05
148
14.05
210
29.39
Japan
500
24.66
507
25.39
621
37.59
Western
Europe
1,633
193.52
1,657
199.18
2,061
345.28
USA
5,343
1,160.58
5,492
1,290.55
6,653
2,613.71
Sector
Funds
1,446
156.65
1,469
164.61
1,838
273.10
TOTAL
13,939
2,343.39
14,248
2,535.96
17,732
5045.06
• Calculates “Net Flows” (investor
contributions/redemptions) for individual
funds and for various fund categories
计算个别基金和多种基金类别的“净流量”(投
资者投资/赎回)
• Net Flows calculations exclude portfolio
performance and currency fluctuations
排除投资组合表现和币值波动的净流量计算
• Reports are organized by fund category
基金分类报告
• History sheet shows weekly/monthly aggregate
flows year- to-date by fund category
历史记录显示按照基金类别的“本年迄今”周/月
的总基金流
• Includes funds registered globally (including
US-registered funds) and tracks global investor
flows rather than just that of US investors
包括全球注册基金(包括美国注册基金)并且追踪
全球(不仅是美国)投资者基金流
Other value-added qualitative
fields include:

Benchmark/Index

Currency of funds

Domicile

Advisor name
10
Universe Coverage: Bond Fund Flows
数据库覆盖范围:债券型基金流向
…………………………………………………………………………………………………………………………………………………………
Bond Fund
Flows
Bond Fund
Category
Daily
Report
Weekly
Report
Monthly
Report
# of
Funds
$US
billions
# of
Funds
$US
billions
# of
Funds
$US
billions
Emerging
Market
577
37.64
593
45.81
695
62.69
Global
881
160.29
886
164.60
1,085
417.36
High Yield
478
75.66
494
85.08
624
153.00
USA
1,905
454.80
2,060
493.64
2,348
860.23
Money
Market
1,402
2,804.86
1,506
3,101.98
1,704
3,505.62
439
158.46
451
171.61
587
438.44
5,682
3,691.71
5,990
4,062.72
7,043
5,437.34
Balanced
TOTAL
• Calculates “Net Flows” (investor
contributions/redemptions) for individual
funds and for various fund categories
计算个别基金和多种基金类别的“净流量”(投资
者投资/赎回)
• Net Flows calculations exclude portfolio
performance and currency fluctuations
排除投资组合表现和币值波动的净流量计算
• Reports are organized by fund category
基金分类报告
• History sheet shows weekly/monthly aggregate
flows year- to-date by fund category
历史记录显示按照基金类别的“本年迄今”周/月
的总基金流
• Includes funds registered globally (including
US-registered funds) and tracks global investor
flows rather than just that of US investors
包括全球注册基金(包括美国注册基金)并且追踪
全球(不仅是美国)投资者基金流
11
Universe Coverage: Global Sector Fund Flows
数据库覆盖范围:全球行业基金流向
……………………………………………………………………………………………………………………………………………………………………………………..……
Global
Sector Fund
Flows
Daily
Report
Weekly
Report
Monthly
Report
• Calculates “Net Flows” (investor
contributions/redemptions) for individual
funds and for various fund categories
计算个别基金和多种基金类别的“净流量”(投资
者投资/赎回)
Sector Fund
Categories
# of
Funds
$ US
billions
# of
Funds
$ US
billions
# of
Funds
$ US
billions
Commodities
/Materials
154
34.50
153
34.74
185
64.55
• Net Flows calculations exclude portfolio
performance and currency fluctuations
排除投资组合表现和币值波动的净流量计算
Consumer
Goods
84
6.21
85
6.01
103
6.35
• Reports are organized by fund category
基金分类报告
Energy
170
20.64
171
20.80
211
45.04
Financial
119
14.05
121
14.08
155
16.87
Health Care/
Biotech
177
15.53
183
18.33
241
44.79
Real Estate
364
31.49
372
32.86
453
45.36
Technology
226
15.81
230
18.36
286
23.43
Telecom
62
2.43
63
3.51
93
5.53
Utilities
87
15.83
88
15.75
102
19.20
TOTAL
1,443
156.49
1,466
164.44
1,829
271.12
• History sheet shows weekly/monthly aggregate
flows year- to-date by fund category
历史记录显示按照基金类别的“本年迄今”周/月
的总基金流
• Includes funds registered globally (including
US-registered funds) and tracks global investor
flows rather than just that of US investors
包括全球注册基金(包括美国注册基金)并且追踪
全球(不仅是美国)投资者基金流
12
Universe Coverage: Equity/Bond Fund Country Weightings
数据库覆盖范围:股票/债券型基金国别权重
………………………………………………………………………………………………………………………………………………………………………………………………………………………………………..…
Equity Fund Country Weighting
Fund Category
•
Individual funds grouped by fund category (GEM Equity, Global
Equity, Asia ex-Japan Equity, Latin America Equity, EMEA
Equity, Pacific region, EM Bond, Global Bond)
各基金以基金类别分组(全球新兴市场股票型基金, 全球股票型
基金, 除日本以外亚洲股票型基金, 拉丁美洲股票型基金, 欧洲
/中东/非洲发展中国家股票型基金, 太平洋地区股票, 新兴国家
债券型基金, 全球债券型基金)
•
Average weightings of all individual funds and by
investment manager (with multiple funds)
所有单个基金和拥有多个基金的投资经理的平均权重
•
History tabs each month show year-to-date historical country,
regional and sector weighting aggregates by fund category
历史数据显示每月根据基金类别分类的“本年迄今”的国家,
地区和行业的历史总权重
# of Funds
$US
billions
Global Emerging Markets
87
96.53
Global (ex-US)
28
78.40
Global
60
46.33
Asia ex-Japan
102
33.85
Pacific
24
12.01
Latin America
31
13.42
Emerging Europe/Middle East/Africa
72
10.60
Bond Fund Country
Weighting Fund Category
# of
Funds
$US
billions
Europe
86
34.13
Global Emerging Markets
31
14.80
TOTAL
490
325.27
Global/International
19
18.17
Regional Emerging Markets
12
3.20
TOTAL
62
36.17
13
Universe Coverage: Equity Fund Sector Weightings
数据库覆盖范围:股票型基金行业权重
…………………………………………………………………………………………………………………………………………………………………………………………….………………………….……………
Equity Fund Sector
Weightings Fund Category
Sector Level –
GICS I
Industry Level –
GICS II
# of
Funds
$US
billions
# of
Funds
$US
billions
Global Emerging Markets
66
72.91
50
61.46
Global (ex-US)
19
57.49
13
46.36
Global
62
47.03
31
31.84
Asia ex-Japan
92
29.27
46
14.77
Latin America
23
10.26
10
4.92
E. Europe/Middle East/Africa
40
5.43
15
1.25
W. Europe
85
34.02
43
22.84
Country Funds
253
106.98
139
54.71
TOTAL
640
363.39
347
238.15
•
Individual funds grouped by fund category
(GEM Equity, Global Equity, Asia ex-Japan
Equity, Latin America Equity, EMEA Equity,
Pacific region, EM Bond, Global Bond)
各基金以基金类别分组(全球新兴市场股票
型基金,全球股票型基金,除日本以外亚洲股
票型基金,拉丁美洲股票型基金,欧洲/中东/
非洲发展中国家股票型基金,太平洋地区股
票,新兴国家债券型基金,全球债券型基金)
•
Average weightings of all individual funds
and by investment manager
(with multiple funds)
所有单个基金和拥有多个基金的投资经理的
平均权重
•
History tabs each month show year-to-date
historical country, regional and sector
weighting aggregates by fund category
历史数据每月显示根据基金类别分类的“本
年迄今”的国家,地区和行业的历史总权重
14
Data History
历史数据
……………………………………………………
Weekly Equity/Bond Fund Reports
Available History
Monthly Equity Fund Reports
Available History
Equity Fund Flows: Emerging Mkts &
Global/Intl.
October 2000 - present
Equity Fund Flows: Emerging Mkts &
Global/Int'l.*
January 1995 - present
Equity Fund Flows: Dev. Europe & Japan
January 2002 - present
Equity Fund Flows: Dev. Europe & Japan
January 2002 - present
Equity Fund Flows: USA
Global Sector Fund Flows
Bond Fund Flows: EM, Int'l & High Yield*
May 2003 - present
January 2006 - present
Equity Fund Flows: USA
May 2003 - present
Global Sector Fund Flows
October 2003 - present
Equity Fund Country Flows - Aggregate**
January 1996 - present
Equity Fund Country Weightings ***
January 1995 - present
April 2001 - present
*High Yield Bond Funds: data available from January 2005 - present
Monthly Bond Fund Reports
Available History
Bond Fund Flows: EM, Int'l* & High Yield**
January 1995 - present
Bond Fund Country Flows - Aggregate
January 2004 - present
Equity Fund Sector Weightings****
Equity Fund Performance
Equity Holdings
Bond Fund Country Weightings***
Bond Fund Performance
Bond Holdings
November 2001 - present
January 2004 - present
July 2003 - present
November 2001 - present
January 2004 - present
June 2004 - present
* Int'l Bond Funds: data available from Sept 2000 - present
** High Yield Bond Funds: data available from January 2005 - present
*** Int'l Funds: data available from July 2005 - present
*Global /Int'l Funds: data available from Sept 2000 - present
** For those non-EM funds:
Australia & New Zealand: data available from Jan 2000; Japan: data available from
Jun 2001;
Western Europe, Canada, USA: data available from Nov 2002
***Global /Int'l Funds: data available from January 2001 - present
****Global /Int'l Funds: data available from February 2006 - present
15
Usage Example: Fund Flows Data
使用范例:基金流向数据
…………………………………………………………………………………………………………………………………………
Managers use EPFR Global fund flows data to boost
return and increase alpha by :
基金经理用EPFR Global 流向数据,通过以下方式提高回报
和增加超额收益:

Forecasting Market movements 预测市场走向
Values derived from fund flows are valuable in asset allocation
decision making and serve as an early warning of upturns and
downturns in markets. Flows are also a critical tool in measuring
liquidity.
基金流向对于资产配置决策制定有宝贵价值并且对于市场上升和下降
起到早期预警作用。流向数据同时也是衡量流动性的关键工具。

Enhancing Models 改善模型
Build portfolio strategies based on aggregate net flow data for
regions, sectors or asset classes.
以地区,行业或者资产类别的总净流量为基础建立投资组合策略


Market timing 把握市场时机
Enter early into sectors that show an opportunity for large future
inflows. Use flows data to monitor changes in underlying
demand for the sector.
尽早进入有大量资金流入潜能的行业。利用流向数据监测行业潜在需
求的变化。
Monitoring FX markets 监测外汇市场
Leverage the predictive power of fund flows to anticipate
currency movements. 利用基金流向的预测能力判断货币未来走势
Flows as a predictive Indicator
以基金流向作为预测指标

ING Investment strategist Brian Gendreau illustrates the
predictive power of weekly flows.
ING公司投资策略师Brian Gendreau 阐述了周流量的预测能
力

Using EPFR flow data for emerging markets, Gendreau
developed a trading strategy.
Brian Gendreau 运用EPFR 新兴市场的流向数据设计了一个
交易策略
When back tested this strategy earned annualized gross
returns of 35% vs. 16% for the index.
利用历史数据测试此策略,我们获得了35%的年收益率,而
市场的年收益率为16%

16
Usage Example: Country & Sector Weightings Data
使用范例:国家和行业投资权重数据
…………………………………………………………………………………………………………………………………………………………………………………………………….……….
Find the inflection points 找到转折点
 Future market movements and valuation
未来市场变动和估价
 Tracking “smart money” and what it can reveal?
追踪“精明理财”并且了解它揭示了什么?
Identify liquidity opportunities
确定资金流动机会
 Valuable information on the changing risk
appetite of fund managers.
提供基金经理风险偏好变化的宝贵信息
Analyze market peers 分析市场对手
 Identify industry leading allocation strategies to
enhance your own positioning.
确认产业中领先的配置策略以增强自身定位
图中大意:一个主导性纽约资产管理公司运用了一个包含10个因素的国
家投资分布模型,此模型以EPFR 投资权重数据作为核心的定量投资指
标。
上图表显示了以历史数据测试的模型的每年回报率和以美元为货币的
MSCI All-Country World 指数的对比。
17
Sample Clients 代表性客户
………………………………………………………………
"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.“
“事实证明EPFR 的流向数据对我们建立的
股票市场的定量模型很有价值。”
Dr. Stephen Rees
Head of Investment Process Research
Schroders, London
Sell Side
Buy Side
Government/Media
“Emerging market mutual funds‘
country allocations appear to contain
information on future equity returns
beyond that contained in standard
valuation and momentum indicators.”
“新兴市场共同基金的国家投资分布显示
出它包含了未来股票收益的信息,这是从
标准估价方法和动量指标中无法得到的。”
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.“
“我发现EPFR Global 国家投资权重报告
很有价值,它帮助我按月跟踪竞争对手的
地区和国家投资分布。这报告很及时全
面。”
Brad Aham
Portfolio Manager
State Street Global Advisors
18
Company History 公司发展史
…………………………………………………………..………………………………………………………
1994:
1995-1999:
2000:
2001:
2001-2007:
2008:
EPFR Global founded Cambridge, Massachusetts USA
EPFR Global launches Russia Portfolio, Central Europe Portfolio and Brazil Portfolio: publications serving more
than 600 institutional investor clients worldwide.
EPFR Global launches Research and Analysis Services, providing independent research services for investment
management firms.
EPFR Global acquires Emerging Market Funds Research, Inc., a database of global equity and fixed income funds.
EPFR Global expands fund database by four-fold to more than 15,000 equity and fixed income funds with $10 trillion in
assets. Client base expanded by nearly 10-fold and includes leading institutional investors, global equity and fixed income
analysts, strategists, investment managers, hedge funds, central bankers, etc.
EPFR Global launches new Web Interface, new Country Flows data set, and Web Services for automated data delivery in
trading and investment models.
Key Contacts 主要联系人
……………………………..……………………………………………………………………
Dwight Ingalsbe
Managing Director/Co-Founder
Tel: (+1-617) 864-4999 ext. 26
Email: [email protected]
Brad Durham
Managing Director/Co-Founder
Tel: (+1-617) 864-4999 ext. 24
Email: [email protected]
Ian Wilson
Managing Director, Fund Data
Tel: (+1-804) 217-8653
Email: [email protected]
Cameron Brandt
Director, Global Markets Analyst
Tel: (+1-617) 864-4999 ext. 22
Email: [email protected]
Simon Ringrose
Managing Director, Sales
Tel: (+1-617) 864-4999 ext. 30
Email: [email protected]
Robert Magri
Director, Sales & Business Dev.
Tel: (+1-781) 562-1441
Email: [email protected]
Patrick Paradiso
Sales (Latin America)
Tel: (+1-917) 543-6181
Email: [email protected]
Rikolv Hatlehol-Desai
Sales Director (EMEA)
Tel: (+44) 7766 805657
Email: [email protected]
William Lai
Sales Director (Asia Pacific)
Tel: (+852) 3796-7116
Email: [email protected]
Young-il Sunwoo
Sales (Korea)
Tel: (+821) 10-7683-0016
Email: [email protected]
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