AMG DATA© EQUITY MUTUAL FUND FLOWS
APPLICABLE TIME FRAME(S):
INTERMEDIATE TO LONG
UPDATE SCHEDULE:
Weekly, every Thursday
REPORTING DELAYS:
One day
EXPLANATION:
AMG Data is a firm that gathers and reports information on asset flows into and out of domestic and foreign funds.
These funds have traditionally been mutual funds, but the increasing popularity of exchange-traded funds has greatly changed the landscape and AMG has begun reporting those asset flows separately.
For purposes of our analysis, we only
use mutual fund data, and exclude ETF data.
GUIDELINES:
True to contrary form, mutual fund flows into equity mutual funds tends to be highest near market peaks, and negative near market lows.
The signals seem to work best if we average out the flows over a number of weeks. On the chart, we show a four-week moving average (the red line) of the weekly fund flows (the blue bars). While we certainly want to pay attention to extreme weekly readings, we want to especially focus our attention when the four-week average hits one extreme or the other.
Historical data for this series is relatively limited, going back to the summer of 2002. Given that this is weekly data, that doesn't give us a lot of history or market environments with which to compare current extremes, so that is one limitation to using this data. However, it is still useful to see how high or low current flows are compared to the past few years, and as noted above we generally want to look for market weakness going forward when flows are very positive, and market strength when flows have been very negative.
ADDITIONAL RESOURCES:
AMG Data (www.amgdata.com)
© 2006 Sundial Capital Research, Inc. All Rights Reserved.