Macro Strategy Signals

The two different types of signals discussed in the macro strategies section of this notebook are flow momentum and active/passive indicator. However these are not the only signals that can be created.

For each of the strategies discussed in this notebook, we provide the time series files available for download. To access the files you can find them readily available in the user’s EPFR FTP connection under the strategies folder, or click here to email our team for assistance.

Flow Momentum

Using EPFR’s daily, weekly, or monthly flows we can create momentum signals, which gives insight to where money is flowing in the market. By identifying where positive flows are moving and driving the market up and the opposite with negative flows, we can make informed decisions to go long or short by following these flow trends. Below is a list of EPFR’s proof-of-concept strategies that are based on flow momentum and the data used to create the signal:

  1. Multi-Asset Strategy - (daily flows)

  2. FX Strategy - (daily flows, country allocations)

  3. Flow-Percentage Country Strategy - (daily flows, country allocations)

  4. Flow-Percentage Sector Strategy - (daily flows, sector allocations, country allocations)

  5. Flow-Percentage DM Rates Strategy - (daily flows, country allocations)

Active/Passive Indicator

Using EPFR’s monthly allocations data we can create active/passive indicators, which gives insight to where managers are placing the money within their funds. By identifying which countries, sectors, industries, and securities the funds have overweight and underweight positions in, we are able to make informed decisions to follow the active positioning of the aggregate asset management community. Below is a list of EPFR’s proof-of-concept strategies that are based on an active/passive indicator and the data used to create the signal:

  1. Active/Passive Country Strategy - (country allocations)

  2. Active/Passive Sector Strategy - (sector allocations)