12 Manager momentum
EPFR has a set of 3 monthly “Manager Momentum” indicators which aim to capture if there are any trends in changes of allocation, and identify stocks with a positive momentum.
AllocMo
A measure of manager allocation changes towards the stock, in absolute $ terms of AuM, where the change in allocation over the month reflects price pressure from manager-directed trading. By using both start and end AuM in the equation, we neutralize the effect of underlying price changes.
\[\text{AllocMo} \equiv \frac{\sum \Delta \omega \times ( A + \alpha)}{\sum (\omega - \Delta \omega/2) \times ( A + \alpha)}\]
where:
\(\begin{align} \omega & \equiv \text{% weight held by a fund in a security} \\ \Delta \omega & \equiv \text{change in weight from prior month} \\ \alpha & \equiv \text{dollar starting assets of a fund} \\ A & \equiv \text{dollar ending assets of a fund} \end{align}\)
Interpretation AllocMo
A positive value tells us that allocations towards a given stock have increased.
Example AllocMo
Below shows a snippet of what EPFR’s AllocMo Files contain:
Location: '/StockFlows5.0/QuantitativeFactors/Monthly/AllocMo/Aggregate/AllocationMomentum2022Q4.txt'
| ReportDate | HSecurityId | SecurityName | ActWtDiff2 | |
|---|---|---|---|---|
| 384729 | 12/30/2022 12:00:00 AM | 7041220 | Apple Inc Common Stock | -0.07822 |
| 389097 | 12/30/2022 12:00:00 AM | 7049454 | Tesla Inc Common Stock | -0.19218 |
| 384623 | 12/30/2022 12:00:00 AM | 7041046 | Amazon.com Common Stock | -0.21606 |
| 393116 | 12/30/2022 12:00:00 AM | 7057091 | Microsoft Corp Common Stock | -0.12586 |
| 391772 | 12/30/2022 12:00:00 AM | 7054419 | Exxon Mobil Corp Common Stock | -0.09212 |
| 392923 | 12/30/2022 12:00:00 AM | 7056752 | Netflix Inc Common Stock | -0.27254 |
| 396450 | 12/30/2022 12:00:00 AM | 7063679 | Visa Inc USA Class A | -0.24982 |
AllocTrend
A measure of manager allocation changes towards the stock, in scaled $ amounts, where the change in allocation over the month reflects price pressure from manager-directed trading. By using both start and end AuM in the equation, we neutralize the effect of underlying price changes.
\[\text{AllocTrend} \equiv \frac{\sum \Delta \omega \times ( A + \alpha)}{\sum |\Delta \omega \times ( A + \alpha)|}\]
where:
\(\begin{align} \Delta \omega & \equiv \text{change in weight from prior month} \\ \alpha & \equiv \text{dollar starting assets of a fund} \\ A & \equiv \text{dollar ending assets of a fund} \end{align}\)
Interpretation AllocTrend
A positive value tells us that allocations towards a given stock have increased.
Example AllocTrend
Below shows a snippet of what EPFR’s AllocTrend Files contain:
Location: '/StockFlows5.0/QuantitativeFactors/Monthly/AllocTrend/Aggregate/AllocationTrend2022Q4.txt'
| ReportDate | HSecurityId | SecurityName | AllocTrend | |
|---|---|---|---|---|
| 45935 | 12/31/2022 12:00:00 AM | 7041220 | Apple Inc Common Stock | -0.9799 |
| 50788 | 12/31/2022 12:00:00 AM | 7049454 | Tesla Inc Common Stock | -0.9926 |
| 45823 | 12/31/2022 12:00:00 AM | 7041046 | Amazon.com Common Stock | -0.6407 |
| 55270 | 12/31/2022 12:00:00 AM | 7057091 | Microsoft Corp Common Stock | 0.2535 |
| 53776 | 12/31/2022 12:00:00 AM | 7054419 | Exxon Mobil Corp Common Stock | 0.5703 |
| 55068 | 12/31/2022 12:00:00 AM | 7056752 | Netflix Inc Common Stock | 0.3131 |
| 59146 | 12/31/2022 12:00:00 AM | 7063679 | Visa Inc USA Class A | 0.8715 |
AllocDiff
Multiplies a fund’s start and end AuM by the direction of the latest month-on-month change in % allocations towards a given stock. By summing these AuM across all applicable funds, then dividing by the sum of all start and end AuM, we get a normalized metric.
\[\text{AllocDiff} \equiv \frac{\sum sgn(\Delta \omega) \times ( A + \alpha)}{\sum ( A + \alpha)}\]
where:
\(\begin{align} \Delta \omega & \equiv \text{change in weight from prior month} \\ \alpha & \equiv \text{dollar starting assets of a fund} \\ A & \equiv \text{dollar ending assets of a fund} \end{align}\)
Interpretation AllocDiff
A positive value indicates an increase in the amount of AuM invested to the stock, and a negative value indicates a decrease in the AuM invested in the stock.
The more positive the indicator, the larger the increase of AuM invested in the stock relative to other stocks with a less positive indicator. Similarly, a more negative indicator indicates a larger decrease in AuM invested in the stock relative to other stocks with a less negative indicator.
Example AllocDiff
Below shows a snippet of what EPFR’s AllocDiff Files contain:
Location: '/StockFlows5.0/QuantitativeFactors/Monthly/AllocDiff/Aggregate/AllocationDiff2022Q4.txt'
| ReportDate | HSecurityId | SecurityName | AllocDiff | |
|---|---|---|---|---|
| 45935 | 12/31/2022 12:00:00 AM | 7041220 | Apple Inc Common Stock | -0.9393 |
| 50788 | 12/31/2022 12:00:00 AM | 7049454 | Tesla Inc Common Stock | -0.9691 |
| 45823 | 12/31/2022 12:00:00 AM | 7041046 | Amazon.com Common Stock | -0.8690 |
| 55270 | 12/31/2022 12:00:00 AM | 7057091 | Microsoft Corp Common Stock | 0.6164 |
| 53776 | 12/31/2022 12:00:00 AM | 7054419 | Exxon Mobil Corp Common Stock | 0.9193 |
| 55068 | 12/31/2022 12:00:00 AM | 7056752 | Netflix Inc Common Stock | 0.8738 |
| 59146 | 12/31/2022 12:00:00 AM | 7063679 | Visa Inc USA Class A | 0.8384 |