10 Flow Momentum

Flow momentum shows where flows are moving.

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FloMo

FloMo is calculated by the normalized the dollar flow over AuM.

To calculate the dollar flow to a security, EPFR scales a fund’s flow by multiplying it against its stated stock allocation, on that day. The same procedure is applied to all funds with fund flow and stock allocation information, which are then summed for each security across all funds, to get the total dollar flow into a security.

To normalize this figure EPFR repeats the process across the same fund’s Assets held under Management (AuM), to get the total AuM held in a security.

The final step, to find the flow momentum for a security, the total flow is divided by the total AuM held in a security.

This is repeated this across all securities for the entire history.

\[\text{FlowMo} \equiv \frac{\sum \varphi \times \omega}{\sum \alpha \times \omega}\] where:

\(\begin{align} \varphi & \equiv \text{dollar flow into a fund} \\ \omega & \equiv \text{% weight held by a fund in a security} \\ \alpha & \equiv \text{dollar starting assets of a fund} \end{align}\)

Interpretation FloMo

A positive value indicates money flowing to a security. Similarly a negative value indicates outflow from a security.

Example FloMo

Below shows a snippet of what EPFR’s FloMo Files contain:

Location: '/StockFlows5.0/QuantitativeFactors/Daily/FloMo/Aggregate/FlowMomentum202212.txt'

	ReportDate	HSecurityId	SecurityName	FloMo
135144	12/9/2022 12:00:00 AM	7041220	Apple Inc Common Stock	-0.006029
139968	12/9/2022 12:00:00 AM	7049454	Tesla Inc Common Stock	-0.029265
135032	12/9/2022 12:00:00 AM	7041046	Amazon.com Common Stock	-0.047630
144444	12/9/2022 12:00:00 AM	7057091	Microsoft Corp Common Stock	-0.005219
142952	12/9/2022 12:00:00 AM	7054419	Exxon Mobil Corp Common Stock	-0.030855
144240	12/9/2022 12:00:00 AM	7056752	Netflix Inc Common Stock	-0.023468
148299	12/9/2022 12:00:00 AM	7063679	Visa Inc USA Class A	0.056491

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