Introduction

EPFR’s two core data sets capture the flows and allocations of mutual funds and ETFs. Together these data sets provide market insight and illustrate where money is moving across geographies, sectors, industries and securities.

Described in this book are proof-of-concept strategies created by Quantitative Analysts at EPFR. Each of these chapters demonstrates the value and predictive power this data holds for different use cases. The backtesting methodology used across each of these strategies is relatively similar. They are all quintile-based, long/short, and we apply similar lookback periods for our backtests. We use a standard backtest period because we seek to avoid optimizing any one strategy.