EPFR Stock Factors

Quantitative analysts at EPFR have created 13 different proof-of-concept stock factors using EPFR’s monthly holdings data and daily or monthly flows, which provide insight to various trends in the market. By identifying and following these trends, users can make better informed investment decisions. Below is a list of EPFR’s 7 daily and 6 monthly proof-of-concept factors that use stock level data used to create a signal:

Daily Factors:

• Flow Momentum
  1. FloMo
• Smart Money
  2. FloTrend
  3. FloDiff
  4. FloDiff2
  5. ActWtTrend
  6. ActWtDiff
  7. ActWtDiff2

Monthly Factors:

• Manager momentum
  1. AllocMo
  2. AllocTrend
  3. AllocDiff
• Ownership Dispersion
  4. Herfindahl
  5. Fund Count
• Conviction
  6. AllocSkew