Latest AMG data

[HenryTo]

Inflows and Outflows for the week ending June 15, 2005:

Equity funds report net cash inflows totaling $1.291 billion in the week ended 6/15/05 with 30% ($389 Mil) going to ETFs;

International funds report inflows totaling ($451 Mil xETF) with all Emerging regions reporting inflows and each Developed region (Europe & Japan) reporting net outflows;

Excluding ETF activity, inflows are reported by Energy (88 Mil), REIT ($136 Mil) and Utility ($29 Mil) funds, and outflows are reported by Financial/Banking (-$40 Mil), Healthcare/Biotech (-$41 Mil), and Technology (-$103 Mil) funds;

Taxable Bond funds report net cash inflows totaling $228 Mil with ETFs reporting inflows totaling $518 Mil led by:

$375 Mil to the iShares Lehman 20+ Yr Treasury Bond fund;

$69 Mil to the iShares Lehman 7-10 Yr Treasury Bond fund;

$51 Mil to the iShares Lehman Aggregate Bond fund;

$32 Mil to the iShares TIPS fund;

High Yield Corporate Bond funds report net cash outflows totaling -$384 million;

Money Market funds report net cash outflows of -$19.113 billion;

Municipal Bond funds report net cash inflows totaling $24.6 million because of inflows to High Yield Municipal Bond funds of $154.9 million.

[HenryTo]

SRManager,

As far as monthly fund inflows and mutual fund cash levels go, you can try the ICI at www.ici.org. However, I don't think their data is too complete - at least what is available for free anyway. Amgdata has historical fund flows data as well, but that only goes back to 1992.

As for TrimTabs, have you tried to get a trial subscription? I've gotten a trail subscription from them before and they should send you some historical data periodically - although like you said, I am not sure how useful that is. As a recall, the data only goes back to 1995 and most of it is annual data - not even monthly.

Margin debt data is the most complete. You can get margin debt data off the web that dates back to the 1940s.

Hope that helps.

Henry

[SRmanager]

Hi Henry,

Is it possible to get historical liquidity data to do correlation studies?

I contacted Trim Tabs but their data gathering method has changed so much that any historical study would be worthless. Plus, the cost of that data is ridiculous.

[HenryTo]

As subject - retail investors came back with a strong vengeance this week, as weekly inflows are the highest I've ever seen in weeks:

Following is amgdata for the week ending July 13th - highest ETF inflows were to the energy sector - could this be the contrarian indicator we have been looking for? If so, $50 oil here we come:
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Equity funds report net cash inflows totaling $3.427 billion in the week ended 7/13/05 with $2.542 billion (74%) going to ETFs;

Excluding ETF activity Equity funds report net inflows totaling $885 million with $591 million (67%) going to funds investing in Non-domestic securities;

International funds report net inflows of $1.188 billion with all funds investing in Emerging regions reporting inflows as Europe and Japan report net redemptions;

Real Estate funds report net inflows of $388 million ($190 Mil xETF activity) with fewer funds reporting redemptions (60) than any week since 2/9/05;

Largest Equity ETF inflows were:

$407 Mil to the Select Sector SPDRs Energy fund;
$368 Mil to the iShares MSCI Emerging Markets Index fund;
$332 Mil to the iShares Russell 2000 Index fund;
$317 Mil to the iShares MSCI EAFE Index fund;
$172 Mil to the iShares DJ US Real Estate Index fund;
$144 Mil to the iShares NASDAQ Biotech Index fund;
$140 Mil to the Select Sector SPDRs Industrial fund;
$112 Mil to the Select Sector SPDRs Materials fund;
$98 Mil to the iShares S&P 500 Index fund;

Taxable Bond funds report net cash inflows totaling $648 million, $469 million excluding ETF activity;

High Yield Corporate Bond funds report net cash outflows of -$12 Mil (0.02% Assets);

International & Global Debt funds report net inflows of $86 million although fewer funds report inflows (76) than any week since 7/28/04;

Money Market funds report net outflows of -$2.973 billion with Taxable MM funds reporting net inflows of $4.058 billion and Tax-exempt MM funds reporting net outflows of -$7.031 billion;

Municipal Bond funds report net cash inflows totaling $264 million with all sectors but Insured reporting inflows.

[HenryTo]

Latest AMG Data for the week ending July 6, 2005. Nothing eventful for this week, except for the real estate fund outflows:

Equity funds report net cash inflows totaling $717 million in the week ended 7/6/05, with $656 million (91%) going to funds investing in Non-domestic securities;

Small Cap Growth/Value funds report net inflows of $589 million as the iShares Russell 2000 Index fund reports net inflows of $377 million;

International funds report net inflows totaling $551 million ($401 Mil xETF activity), with inflows reported by all Emerging and Developed regions but Europe (-$14 Mil);

Energy fund outflows of -$259 million are due to ETF activity:
-$264 Mil from the Sel Sector SPDRs Energy fund;
-$16 Mil from the iShares DJ US Energy Index fund;
-$4 Mil from the iShares S&P Global Energy Sector Index fund;

Real Estate fund outflows of -$4 million are due to ETF activity:
-$142 Mil from the iShares DJ US Real Estate Index fund;
-$4 Mil from the iShares C&S Realty Majors Index fund;

Taxable Bond funds report net cash inflows totaling $410 million, $237 million excluding ETF activity;

Largest Taxable Bond fund inflows went to Corporate Bond funds investing in Investment Grade securities ($410 Mil; 376 Mil xETF activity);

Investment Grade Corporate Bond funds report net inflows of $410 million ($376 Mil xETF activity);

Other Taxable Bond fund sectors reporting inflows are:
$86 Mil to International & Global Debt funds;
$81 Mil to High Yield Corporate Bond funds;
$165 Mil to Treasury funds ($27 Mil xETF activity);

Money Market funds report net inflows of $13.400 billion with Tax-exempt MM funds reporting inflows of $9.027 billion, the largest inflows to that sector since 7/7/04;

Municipal Bond funds report net cash inflows totaling $335 million with all sectors reporting inflows.

[HenryTo]

Oops - forgot to post this last Thursday evening:

Equity funds report net cash outflows totaling -$74 million in the week ended 6/29/05, -$469 million excluding inflows of $395 Mil to ETFs;

Fewer Equity share classes report net inflows (3302), and more report net outflows (4253) than any week since 3/12/03;

International funds report net inflows ($118 Mil) to all Emerging and Developed regions but Latin America (-$31 Mil) and Japan (-$4 Mil);

The last time Japan funds reported net outflows for the fifth consecutive week was 4/24/02;

Taxable Bond funds report net cash outflows totaling -$182 million, -$64 million excluding outflows of -$118 million to ETFs;

High Yield Corporate Bond Funds report net cash outflows of -$178 million;

International & Global Debt funds report net inflows of $76 million with fewer funds reporting inflows (82) than any week since 7/28/04. Large Inflows to the sector are:

$32 million to the Managers Fremont Bond fund;
$24 million to the UBS Global Allocation fund;
$29 million to the Oppenheimer International Bond fund;
$28 million to the Merrill Lynch Global Allocation fund;
Money Market funds report net outflows of -$15.084 billion;

Municipal Bond funds report net cash inflows of $226 million with all sectors reporting inflows.

[HenryTo]

Looks like individual investors are still relatively bullish (the inflows into emerging markets just say it all) - the decline earlier today tells me that all is not well in equity land (reconfirming my views that we will have a significant correction during the next few months).
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Inflows and Outflows for the week ending June 22, 2005:

Equity funds report net cash inflows totaling $2.485 billion in the week ended 6/22/05 with 55% ($1.372 Bil) going to ETFs;

International funds report inflows totaling $837 Mil ($354 Mil xETF) with all Emerging regions reporting net inflows and each Developed region (Europe & Japan) reporting net outflows;

REIT funds report net inflows totaling $214 Mil ($236 Mil xETF);

Taxable Bond funds report net cash inflows totaling $213 Mil ($384 Mil xETF) with most going to Investment Grade Corporate Bond funds ($213 Mil) and Balanced funds ($132 Mil);

High Yield Corporate Bond funds report net inflows totaling $56 million;

Money Market funds report net cash inflows totaling $17.582 billion;

Municipal Bond funds report net cash inflows totaling $299 million with High Yield Municipal Bond funds reporting net inflows of $151 million.