9 Overview
Quantitative analysts at EPFR have created 13 different proof-of-concept stock factors that can be used in single stock rotation strategies, and have been backtested in universes such as S&P 500, Russell 2000, MSCI EM.
Data Location
Users can create backtests for their desired universe of securities using the .txt files EPFR provides, which are generally updated daily by 5:00 PM EST with a T+1 day lag, or monthly by 5:00 PM EST with a T+26 day lag, and are available in the user’s EPFR FTP connection under the Stock Flows folder Quantitative Factors.
The user will find all aggregate history for each of EPFRs daily and monthly stock factors, as well as history broken down by Active, Passive, ETF and Mutual funds in this folder.
Data Derivation
EPFR’s stock factors are derived from the following variables within EPFR’s holdings and flow database:
Holdings:
\(\begin{align} \omega & \equiv \text{% weight held by a fund in a security} \\ \Delta \omega & \equiv \text{change in weight from prior month} \\ \omega^{+} & \equiv \text{the difference between each fund’s reported weight in a stock and the fund-weighted average of a peer group of funds with the same geographic mandate} \\ \sigma & \equiv \text{shares held in that stock by a fund} \end{align}\)
EPFR releases stock allocations of all funds on the \(26^{\text{th}}\) of each month (or the next available business day) at a monthly frequency. Hence, our calculation assumes constant security weightings between two consecutive release dates within the month.
Flows:
\(\begin{align} \varphi & \equiv \text{dollar flow into a fund} \\ \alpha & \equiv \text{dollar starting assets of a fund} \\ A & \equiv \text{dollar ending assets of a fund} \end{align}\)
Note: there are many possible factors that can be derived from these data sets. Users looking to test a different hypothesis can work with the team of Quantitative analysts at EPFR to create other factors.
Coverage
Equity funds which report their daily flows and stock allocations, are only a subset of those that report their fund flows to EPFR. The figure below shows EPFR’s daily coverage for these funds over time compared to our total monthly and daily coverage as well as cross-section of country and sector allocations.
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AUM ($BB) of Equity funds
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Reporting Flows
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Reporting Flows Daily flow & allocations to:
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| Monthly | Daily | Country | Sector | Stock | |
| 2007 | 6,241 | 2,717 | 1,990 | 588 | |
| 2008 | 5,798 | 2,743 | 1,982 | 515 | |
| 2009 | 4,794 | 2,273 | 1,689 | 525 | |
| 2010 | 5,889 | 2,840 | 2,059 | 738 | 234 |
| 2011 | 7,595 | 3,932 | 2,780 | 986 | 622 |
| 2012 | 7,945 | 4,107 | 2,965 | 1,013 | 664 |
| 2013 | 10,109 | 5,525 | 4,167 | 1,807 | 995 |
| 2014 | 12,488 | 6,879 | 5,173 | 2,660 | 1,595 |
| 2015 | 13,561 | 7,575 | 5,747 | 3,008 | 2,234 |
| 2016 | 13,748 | 7,672 | 5,802 | 3,496 | 2,511 |
| 2017 | 16,148 | 9,385 | 7,055 | 4,604 | 3,434 |
| 2018 | 18,459 | 10,845 | 8,202 | 5,559 | 4,197 |
| 2019 | 19,075 | 11,096 | 8,751 | 6,327 | 4,614 |
| 2020 | 20,245 | 12,247 | 9,540 | 7,179 | 5,377 |
| 2021 | 28,451 | 17,390 | 13,508 | 10,313 | 8,235 |
| 2022 | 25,406 | 15,694 | 12,473 | 9,261 | 8,497 |
| 2023 | 28,154 | 17,451 | 13,925 | 10,399 | 9,710 |
| * Updated at the end of July each year | |||||