NYSSA High Yield Bond Seminar June 2013 - EPFR Global · NYSSA High Yield Bond Seminar EPFR Global...
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NYSSA High Yield Bond Seminar EPFR Global An Informa plc Company +1.617.864.4999 Adam Longenecker Director, Quantitative Research [email protected] JC Moos Director, Sales [email protected] Company & Data Overview Market Commentary EPFR Global - Fund Flow & Allocations Data [email protected] Know the Flows. NYSSA High Yield Bond Seminar – June 2013
Transcript of NYSSA High Yield Bond Seminar June 2013 - EPFR Global · NYSSA High Yield Bond Seminar EPFR Global...
NYSSA High Yield Bond Seminar
EPFR Global
An Informa plc Company
+1.617.864.4999
Adam Longenecker Director, Quantitative Research
JC Moos
Director, Sales
Company & Data Overview
Market Commentary
EPFR Global - Fund Flow & Allocations Data [email protected]
Know the Flows.
NYSSA High Yield Bond Seminar – June 2013
NYSSA High Yield Bond Seminar
Company Overview
Introduction to EFPR Data
EPFR Global – Fund Flow & Allocations Data -2- Know The Flows.
EPFR Global delivers a complete and transparent picture of institutional and retail
investor flows driving global markets. Portfolio Managers and Traders use EPFR
data and research to gain the most current, global view of changes to investor
demand and manager positioning. Trading and allocation strategies leverage this
information to improve portfolio returns and manage risk.
• Data sourced through direct relationships with fund managers and
administrators
• Global universe covers $20 trillion of globally domiciled funds
• Flows at either the asset class level or, detailed view by individual fund or fund
manager level. With more granular, transparent data users make more
informed decisions
• Timely intra-day, daily, weekly, monthly updates in addition to historical time
series
NYSSA High Yield Bond Seminar
What are the key data sets, and why are they different?
Introduction to EFPR Data
Core Datasets (based on data sourced directly from managers or administrators)
Derived Datasets (based on flows and allocations data)
Fund
Flows
Fund manager
allocations at month-
end across countries
or sectors
Equity/Bond Fund Flows
Daily/Weekly/Monthly
* also includes AUM, Performance
Country Weightings – Monthly
Sector / Industry Weightings – Monthly
Equity / Bond Fund Holdings – Monthly
Fund
Allocations
Country &
Sector Flows
The amount of
cash flowing into a
globally domiciled
database of funds
Distribution of fund
flows by country or
sector. Combines data
from fund flows and
fund allocations
Country/Sector/Industry Flows
Daily/Weekly/Monthly
Regional packages available
Daily/Weekly/Monthly
EPFR Global – Fund Flow & Allocations Data -3- Know The Flows.
NYSSA High Yield Bond Seminar
Granular Detail
Overview of EPFR High Yield Data
EPFR Global – Fund Flow & Allocations Data -4- Know The Flows.
All High Yield Funds
USA Global Europe
Retail Inst. Retail Inst. Retail Inst.
High Frequency
Monthly Weekly Daily Intraday
Fund AuM: 579 B
History: 2003 – YTD
Lag: T+16
Fund AuM: 395 B
History: 2003 – YTD
Lag: T+1
Fund AuM: 372 B
History: 2007 – YTD
Lag: T+1
Fund Level Detail
Mutual Fund vs
ETF?
NYSSA High Yield Bond Seminar
0
50000
100000
150000
200000
250000
300000
350000
400000
450000
0
50
100
150
200
250
300
350
400
1/2/2008 1/2/2009 1/2/2010 1/2/2011 1/2/2012 1/2/2013
Tota
l Ass
ets
of F
und
s
# o
f Fu
nd
s
# of funds Total AUM
High Fund Flows since 2008
Overview of EPFR High Yield Data
EPFR Global – Fund Flow & Allocations Data -5- Know The Flows.
-$4,000
-$3,000
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$0
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$4,000
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-$3,000
-$2,000
-$1,000
$0
$1,000
$2,000
$3,000
$4,000
Dynamic, Growing Database of Funds
Since the GFC, High
Yield Bond funds have
been one of the most
popular asset classes,
especially among fixed
income
The EPFR database
does not track a static
group of funds, but
rather matches the
growth of the asset
class EPFR keeps up with growth of
fund group
1Q08 1Q10 1Q13 1Q09 1Q11 1Q12
NYSSA High Yield Bond Seminar
The Growing Role of ETFs
Overview of EPFR High Yield Data
ETFs are a growing
percentage of the total
assets of the database,
and are highly
correlated with mutual
fund flows
-$4,000
-$3,000
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$4,000
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ETF
Mutual Fund
Fu
nd
Flo
ws
(US
D m
il)
0%
2%
4%
6%
8%
10%
12%
14%
01/02/08 01/02/09 01/02/10 01/02/11 01/02/12 01/02/13
ETF Asses as a % of All High Yield
EPFR Global – Fund Flow & Allocations Data -6- Know The Flows.
ETFs As a % of All High Yield
ETFs are a growing
portion of the database. Now
about 10%
Their inclusion has increase the volatility and speed of
shifts in market direction.
1Q08 1Q10 1Q13 1Q09 1Q11 1Q12
NYSSA High Yield Bond Seminar
The Growing Role of ETFs
Overview of EPFR High Yield Data
EPFR Global – Fund Flow & Allocations Data -7- Know The Flows.
-$4,000
-$3,000
-$2,000
-$1,000
$0
$1,000
$2,000
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ETF
Mutual Fund
The past three routs in
high yield flows have
been led by ETF flows,
rather than mutual funds
ETF fund flows have led the past 3 major exoduses from HY
We’ll get to why this is significant
later
1Q13 1Q12
NYSSA High Yield Bond Seminar
-$160,000
-$120,000
-$80,000
-$40,000
$0
$40,000
$80,000
$120,000
$160,000
-$40,000
-$30,000
-$20,000
-$10,000
$0
$10,000
$20,000
$30,000
$40,000
Cash Flowing Off of the Sidelines…
EPFR Global – Fund Flow & Allocations Data -8- Know The Flows.
Money Market Fund Flows (YTD)
Fu
nd
Flo
ws
(US
D m
il)
Cu
mu
lative Flo
ws (U
SD
mil)
After a rocky start, cash has
been flowing off sidelines
consistently since mid January
Last week started the
strongest reversal of this trend
YTD
So where has it all been going?
1Q13 2Q32
Cash is being put to work this
year, but where?
Weekly
Fund Flows
(USD mil)
Daily
Fund Flows
(USD mil)
Daily
Cumulative
(USD mil)
NYSSA High Yield Bond Seminar
-$3,000
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/02/1
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/15/1
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/28/1
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/15/1
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/01/1
2
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/18/1
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/04/1
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/21/1
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/07/1
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/23/1
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/09/1
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/26/1
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/28/1
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$0
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$0
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$30,000
$40,000
$50,000
Floating Rate Funds – What goes down, must come up
And Into Funds Like…
EPFR Global – Fund Flow & Allocations Data -9- Know The Flows.
Dividend Equity Funds – Hugely popular
High Yield – Keeping Up?
The US 10 Year cannot
stay below 2% forever.
Yields are likely to rise
above and stay above
this level by the end of
2013.
Investors are acting
accordingly by buying
Floating rate bond
funds
-$100,000
-$80,000
-$60,000
-$40,000
-$20,000
$0
$20,000
$40,000
$60,000
$80,000
$100,000
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$0
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$6,000
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/05/1
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1Q11 1Q12 1Q13
1Q11 1Q12 1Q13
1Q11 1Q12 1Q13
Do record supplies and
the threat of rising
interest rates have
investors running for the
door?
Floating rate is
booming
Storm clouds
brewing for Dividend
equity
HY certainly doesn’t
show the momentum is once had last year, but the
picture is more
compelling when you
break it out by region
NYSSA High Yield Bond Seminar
A Closer Look at High Yield Fund Flows
How Bad Will It Be?
-$8,000
-$6,000
-$4,000
-$2,000
$0
$2,000
$4,000
$6,000
USA Global EuropeF
un
d F
low
s (U
SD
mil)
-$6,158-$5,415 -$5,404 -$5,405
Recent Corrections
in the High Yield Bond Market
The most recent rout in
high yield markets has
already reached critical
mass, and done so in
record time
The increased speed in
which these events
occur is likely linked to
the growing role of
ETFs in the marketplace
1Q11 1Q12 1Q13
Look at it this way,
and USA HY has been lackluster
since 4Q12
most corrections in HY bond
market lasted at least 4
weeks, and were
around 5.5B in scale. We are already there, two weeks in.
This is probably
the big one.
EPFR Global – Fund Flow & Allocations Data -10- Know The Flows.
NYSSA High Yield Bond Seminar
High Yield vs Investment Grade Fund Flows
-$5,000
-$2,500
$0
$2,500
$5,000
-30.0%
-20.0%
-10.0%
0.0%
10.0%
20.0%
30.0%
-$500
-$250
$0
$250
$500
-50.0%
-25.0%
0.0%
25.0%
50.0%
-$1,500
-$1,000
-$500
$0
$500
$1,000
$1,500
-20.0%
-10.0%
0.0%
10.0%
20.0%
-$8,000
-$6,000
-$4,000
-$2,000
$0
$2,000
$4,000
$6,000
$8,000
20
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/05
/01
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/04
/24
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/04
/17
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/04
/10
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13
/04
/03
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/03
/27
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/03
/20
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/03
/13
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/03
/06
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/27
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/02
/20
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/02
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/02
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/12
/26
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/05
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/11
/28
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/14
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/07
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/10
/31
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/10
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/10
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/10
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-0.5%
-0.3%
-0.1%
0.1%
0.3%
0.5%
-$4,000
-$3,000
-$2,000
-$1,000
$0
$1,000
$2,000
$3,000
$4,000
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/01
/30
20
13
/01
/23
20
13
/01
/16
20
13
/01
/09
20
13
/01
/02
20
12
/12
/26
20
12
/12
/19
20
12
/12
/12
20
12
/12
/05
20
12
/11
/28
20
12
/11
/21
20
12
/11
/14
20
12
/11
/07
20
12
/10
/31
20
12
/10
/24
20
12
/10
/17
20
12
/10
/10
20
12
/10
/03
20
12
/09
/26
20
12
/09
/19
20
12
/09
/12
20
12
/09
/05
20
12
/08
/29
20
12
/08
/22
20
12
/08
/01
20
12
/08
/15
20
12
/08
/08
20
12
/08
/01
20
12
/07
/25
20
12
/07
/18
20
12
/07
/11
20
12
/07
/04
20
12
/06
/27
20
12
/06
/20
20
12
/06
/13
20
12
/06
/06
20
12
/05
/30
20
12
/05
/23
20
12
/05
/16
20
12
/05
/09
20
12
/05
/02
20
12
/04
/25
-1.5%
-1.0%
-0.5%
0.0%
0.5%
1.0%
1.5%
Investment Grade Fund Flows*
High Yield Fund Flows
HY Fund Flows by Region
*Note on Methodology: Investment Grade Fund Flows is a custom group that includes all Short, Intermediate, and Long Term Corporate, Government, and Blend Bond Funds
4-Week
MAVG
(% AuM)
Weekly
Fund Flows
(USD mil)
13-Week
MAVG
(% AuM)
Global USA Western Europe
4Q12 1Q13 2Q13 3Q12 4Q12 1Q13 2Q13 3Q12 4Q12 1Q13 2Q13 3Q12
2Q13 3Q12 4Q12 1Q13
2Q13 3Q12 4Q12 1Q13
This weekly snapshot of
Investment Grade vs
High Yield investor flow
is popular with clients
tracking these two
markets
Investment Grade flows
can be broken out by
duration, whereas high
yield flows can be
sorted by region
EPFR Global – Fund Flow & Allocations Data -11- Know The Flows.
NYSSA High Yield Bond Seminar
Know the Flows.
![[Maspero, G.] Trinity and Man Gregory of Nyssa](https://static.fdocuments.us/doc/165x107/577cbc931a28aba7118dac0d/maspero-g-trinity-and-man-gregory-of-nyssa.jpg)
