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Commerzbank to launch indices based on EPFR fund flow data

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Commerzbank is to launch a family of investable indices based on fund flow data from EPFR. The indices track systematic strategies that leverage the predictive power of fund flow data to make asset allocation decisions.

Commerzbank is a leading provider of passive and dynamic indices. The index range covers multiple asset classes including equities, commodities, fixed income & multi-asset. The Commerzbank/EPFR fund flow indices are the latest addition to this range.
 
Fund flows represent cash flowing into and out of mutual and exchange traded funds worldwide. Existence of fund flow data arises from the obligation that asset management companies and ETF providers across the world have to report the amount of assets they manage within regulated funds.
 
The Commerzbank/EPFR family of fund flow indices contains both equity and cross-asset indices. The indices have generated more than 10 per cent annualised returns in the back-tested history and are also available in volatility-control variants for more risk conscious investors. Leveraging Commerzbank’s product development expertise the indices can be wrapped as an OTC transaction, a certificate, a warrant or even a mutual fund. The indices are designed for use by a diverse client base.
 
Dr Bernd Meyer (pictured), Head of Cross Asset Research at Commerzbank and who has researched fund flow data, says: “When deciding on tactical asset allocation, investors often support their decision-making process by using a scoring system that ranks the assets according to various momentum, valuation or risk criteria. In our experience, fund flows have the ability to prove particularly beneficial for allocation decisions within asset classes. They do indeed contain information beyond that contained in price momentum.”
 
EPFR tracks both traditional and alternative funds domiciled globally with $24 trillion in total assets. Strategists, traders, investors and even supra-national authorities use EPFR flow and allocation data to gain the most current, global view of changing investor demand and manager positioning.
                           
The Commerzbank/EPFR Fund Flow Indices can provide an alternative source of risk premia and Jaime Uribe, Financial Institutions Marketing at Commerzbank, adds: “As the investor interest has steadily grown, there has been a number of smart beta product launches in recent months and years. But a vast majority of these smart beta indices provide exposure to the already identified risk factors like quality, value and momentum. With the launch of our fund flow index family, we hope to bring investor attention to this new, alternative risk factor which can provide additional portfolio diversification benefits.”

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