Monthly Mutual Fund Report

Transcription

1 July 7, 26 Monthly Mutual Fund Report Statistics for May 26 - June 26 Sales and Redemptions Total assets for all funds decreased in May by $17.8 billion, or 1.8 percent, to $9.3 trillion. Money market funds had a net cash inflow of $5.8 billion compared to an outflow in April of $27.1 billion. Other funds (equity, hybrid, and bond) had a net cash outflow of $.8 billion, compared to an inflow of $27.6 billion in April. New sales of nonmoney market funds, the purchase of new shares excluding reinvested dividends, were $16.9 billion in May, up from $146.7 billion in April. The value of non-money market assets depreciated by $229.2 billion in May, following an appreciation of $113.1 billion in April. Total assets of equity funds decreased by $211.6 billion, or 3.9 percent, to $5.3 trillion. There was a $1.9 billion net cash inflow to equity funds in May, compared with an inflow of $26.3 billion in April. The market value of assets depreciated by $214.1 billion in May. Equity funds had an inflow of $12.8 billion year-to-date, compared to an inflow of $67.8 billion during the first five months of 25. Total assets for hybrid funds, which invest in a mix of stocks and bonds, decreased 1.8 percent, or $1.5 billion, to $586.1 billion. In May, there was a $.17 billion net cash outflow from these funds, compared to an inflow in April of $.3 billion. Hybrid funds have experienced an inflow of $1.4 billion year-to-date, compared to an inflow of $18. billion during the first five months of 25. Bond funds experienced a cash outflow of $2.5 billion, while their total assets decreased by $3.3 billion, to $1.4 trillion. The market value of bond funds assets decreased by $4.3 billion, after adjusting for net sales and reinvested dividends. The assets of taxable bond funds decreased by.5 percent, while the assets of tax-exempt bond funds increased by.4 percent. The 26 inflow is $2.7 billion, compared to an inflow of $11.2 billion through May of 25. Assets of taxable and tax-exempt money market funds increased $54.6 billion, to $2.1 trillion, an increase of 2.9 percent for taxable money market funds and an increase of 1.7 percent for tax-exempt funds. The 26 inflow is $16.2 billion, compared to an outflow of $71.3 billion through May of 25.

2 Liquidity Ratio The liquidity ratio for bond and hybrid funds increased to 6.8 percent in May from 6.6 percent in April, while the ratio for equity funds increased from 4.1 to 4.2 percent (figure 4). Weekly Flows This issue of the Monthly Mutual Fund Report does not include weekly flows into mutual funds. The data source we use for weekly flows has a break in the series. Data after June 15, 26 are not comparable to prior data. Therefore, we do not have sufficient history to display. We will report weekly flows for July next month. Capital Market Returns and Volatility The S&P 5 ended on June 3 at 127.2, close to the May 31 level. The 12-month gain was 5.4 percent at month-end. The annualized volatility for the daily return on the S&P 5 was 1.9 percent. The 12-month average return on the Citigroup Bond Index was -.8 percent in June. Volatility remained at 2.7 percent in June (figure 7). Price-Earnings Ratio The macro projections for the growth of earnings for the Standard and Poor's 5 index over the next two years have been revised in the first quarter of 26 to 6.7 from current levels. During the first quarter of 26, the price-earnings ratio for the Standard and Poor's 5 Index was 17.9, up from 17.8 in the fourth quarter of 25. The price-earnings ratio for the Small-Cap 6 Index decreased to 22.4 in the second quarter of 26, from 23.7 in the first quarter of 26 (figure 8). Please contact Afreen Ali for questions and comments at Afreen.Ali@bos.frb.org, or by phone at (617)

3 Figure 1 Sales of Mutual Funds 14 New Sales Redemptions Equity Bond & Hybrid Equity Bond & Hybrid May-5 Jul-5 Total Assets 6 Sep-5 Jan-6 May-6 Nov-5 Mar-6 May-5 Sep-5 Jan-6 May-6 Jul-5 Nov-5 Mar Equity Bond & Hybrid 2 1 May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 Net New Sales/Total Assets Bond & Hybrid Equity May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 Source: Investment Company Institute

4 Figure 2 Composition of Mutual Funds' Financial Assets of Total Financial Assets Corporate Stocks 2 52Q1 57Q3 63Q1 68Q3 74Q1 79Q3 85Q1 9Q3 96Q1 1Q3 6Q1 54Q4 6Q2 65Q4 71Q2 76Q4 82Q2 87Q4 93Q2 98Q4 4Q2 of Total Financial Assets U.S. Government Securities and Corporate Bonds 2 52Q1 57Q3 63Q1 68Q3 74Q1 79Q3 85Q1 9Q3 96Q1 1Q3 6Q1 54Q4 6Q2 65Q4 71Q2 76Q4 82Q2 87Q4 93Q2 98Q4 4Q2 of Total Financial Assets Municipal Securities and Miscellaneous Assets 2 52Q1 57Q3 63Q1 68Q3 74Q1 79Q3 85Q1 9Q3 96Q1 1Q3 6Q1 54Q4 6Q2 65Q4 71Q2 76Q4 82Q2 87Q4 93Q2 98Q4 4Q2 Source: Flow of Funds/Haver Analytics.

5 Figure 3 Net Portfolio Purchases Net Common Stock Purchases of Total Assets Composite ( = 1) S&P May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 Net Purchases of Other Assets of Total Assets Year Bond Rate (right scale) (left scale) (left scale) year Treasury Note May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 2. Source: Investment Company Institute

6 Figure 4 Liquidity Ratios Liquidity Ratios* May-84 May May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 2. May Liquidity Ratio Net New Sales / Total Assets May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May Liquidity Ratio Net New Sales / Total Assets May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 *Liquidity Ratios are the of Total Assets held in Cash and Short-Term Securities. Source: Investment Company Institute

7 Figure 5 Industry Composition (Shaded Regions Indicate Periods of Rising Fed Funds Rate) Money Market Funds 8. Other 6. World May-84 May-88 May-92 May-96 May- May-4 May-86 May-9 May-94 May-98 May-2 May-6 World Total Assets World / Total Assets Growth & Inc. Funds 4. Capital Apprec. Funds 2. Bond and Hybrid Funds Dow Jones Global Stock Index/ Dow Jones Industrial Average May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 Capital Appreciation Funds Total Assets Capital Appreciation Funds/ Total Assets Russell 2 / Dow Jones Industrial May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4 May-6 Source: Investment Company Institute

8 Figure 6 Net New Sales By Investment Objective (Shaded Regions Indicate Periods of Rising Fed Funds Rate) Index ( = 1) Total Net New Sales S&P5 Price Index -1-2 May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4-3 May Year Bond Rate Net New Sales May-84 May-86 May-88 May-9 May-92 May-94 May-96 May-98 May- May-2 May-4-1 May-6 Source: Investment Company Institute

9 Figure 7 Capital Market Returns and Volatility S&P5, Daily Returns and Volatility year average Returns (left scale) year average Volatility (right scale) Citigroup Bond Index month average Returns (left scale) month average Volatility (right scale) 2-5 Jun-89 Jun-91 Jun-93 Jun-95 Jun-97 Jun-99 Jun-1 Jun-3 Jun-5 Jun-9 Jun-92 Jun-94 Jun-96 Jun-98 Jun- Jun-2 Jun-4 Jun-6 Source: FAME Database, Citigroup.

10 Figure 8 S&P Price-Earnings Ratios 8 7 S&P Smallcap S&P S&P :Q1 1964:Q3 197:Q1 1975:Q3 1981:Q1 1986:Q3 1992:Q1 1997:Q3 23:Q1 1961:Q4 1967:Q2 1972:Q4 1978:Q2 1983:Q4 1989:Q2 1994:Q4 2:Q2 25:Q4 26:Q1 S&P5 Price Earnings Ratio and the Growth of Earnings Price-Earnings Ratio (left scale) 2 yr Growth of Earnings* (right scale) :Q1 1964:Q3 197:Q1 1975:Q3 1981:Q1 1986:Q3 1992:Q1 1997:Q3 23:Q1 26:Q1 1961:Q4 1967:Q2 1972:Q4 1978:Q2 1983:Q4 1989:Q2 1994:Q4 2:Q2 25:Q4 * Growth of earnings over subsequent 8 quarters. Current observations use forecast of earnings from macro projections. source: Thomson Financial/First Call, Global Exchange (formerly DRI), Bloomberg

11 Figure 9 Real Rate of Return on Nonfinancial Corporate Equity (from National Income and Flow of Funds Accounts) Tobin's Q* :Q1 1958:Q3 1965:Q1 1971:Q3 1978:Q1 1984:Q3 1991:Q1 1997:Q3 24:Q1 26:Q1 Profits of Nonfinancial Corporations as a percent of GDP :Q1 1966:Q1 1974:Q1 Earnings Before Interest Payments 1982:Q1 199:Q1 Profits 1998:Q1 26:Q1 * Market Value of Equity plus Net Interest Bearing Debt / Current value of Land, Inventories, Equipment, and Structures Source: Flow of Funds/Haver Analytics.