Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The WisdomTree Emerging Markets ex-State-Owned Enterprises Index measures the performance of emerging markets stocks that are not state-owned enterprises.</li>
<li>The October rebalance will result in a one-way turnover of ~16% and in a one-way trade of US$329m. There are 16 stocks with over US$3m to trade.</li>
<li>
<a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> will be added to the index while there will be selling in <a href="https://www.smartkarma.com/entities/taiwan-semiconductor-manufacturing-company" target="_blank" data-smartkarma-citation="entities:11230:1" rel="noopener">Taiwan Semiconductor (TSMC) (2330 TT)</a>.</li>
</ul>


The WisdomTree Emerging Markets ex-State-Owned Enterprises Index measures the performance of emerging markets stocks that are not state-owned enterprises.
The October rebalance will result in a one-way turnover of ~16% and in a one-way trade of US$329m. There are 16 stocks with over US$3m to trade.

HDFC Bank (HDFCB IN) will be added to the index while there will be selling in Taiwan Semiconductor (TSMC) (2330 TT).


WisdomTree Emerging Markets Ex-State-Owned Enterprises Index Rebalance: 16% Turnover, US$660m Trade

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Thematic (Sector/Industry)

<ul>
<li>Among active Global equity funds, exposure to Banking stocks is at the lower end of the decade long range</li>
<li>Over the last 6-months, Banks experienced the largest drop in average fund weight of -0.4%, suffered fund outflows of $-1.98bn and had 40 more sellers than buyers over the period.</li>
<li>The failure of SVB Financial, First Republic and Signature Bank has effected sentiment in US Banks, but elsewhere we see strong momentum in Singaporean Banks, Indonesian Banks and Indian Banks.  </li>
</ul>


Among active Global equity funds, exposure to Banking stocks is at the lower end of the decade long range
Over the last 6-months, Banks experienced the largest drop in average fund weight of -0.4%, suffered fund outflows of $-1.98bn and had 40 more sellers than buyers over the period.
The failure of SVB Financial, First Republic and Signature Bank has effected sentiment in US Banks, but elsewhere we see strong momentum in Singaporean Banks, Indonesian Banks and Indian Banks.  


Global Emerging Market Equities, Propitious Research

Wium Malan, CFA

Global Emerging Market Equities

Independent, Fundamental Quantitative Research

Propitious Research

Fully independent, fundamental and quantitative equity research, focused on companies in the Telecommunication, Media, Technology, Internet and Healthcare sectors in the Global Emerging Markets. Idea generation focused on Quality stocks, trading below their intrinsic Value, with sound Corporate Governance.

Quantitative Analysis

<ul>
<li>An overview (and output) of our machine learning-driven GEM screening model, which seeks to find the best medium-term long ideas within the top 100 stocks in the MSCI GEM Index.</li>
<li>The model is based on 1) a quantitative multifactor screening model, enhanced by two AI Technology-based approaches; 2) a Deep Neural Network model, and 3) a Recurrent Neural Network model.</li>
<li>Developed over roughly 4 years and implemented in its current state for nearly 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.</li>
</ul>


An overview (and output) of our machine learning-driven GEM screening model, which seeks to find the best medium-term long ideas within the top 100 stocks in the MSCI GEM Index.
The model is based on 1) a quantitative multifactor screening model, enhanced by two AI Technology-based approaches; 2) a Deep Neural Network model, and 3) a Recurrent Neural Network model.
Developed over roughly 4 years and implemented in its current state for nearly 3 years, the model has a solid real-world alpha-generating performance track record, discussed in detail below.


Cross Asset Strategy

<ul>
<li>We analyse our Global fund universe to find out the consensus overweight and underweight exposures, together with the consensus and under-owned stock holdings.</li>
<li>Consensus overweights are led by Developed Europe, Health Care and countries in the EMEA region.  On a stock level, Microsoft and Alphabet are the most widely held companies.</li>
<li>Consensus underweights are led by Asia and selected industry groups such as Telcos and Banks.  Raytheon Technologies and Al Rajhi Bank are among the most under-owned stock in the world.</li>
</ul>


We analyse our Global fund universe to find out the consensus overweight and underweight exposures, together with the consensus and under-owned stock holdings.
Consensus overweights are led by Developed Europe, Health Care and countries in the EMEA region.  On a stock level, Microsoft and Alphabet are the most widely held companies.
Consensus underweights are led by Asia and selected industry groups such as Telcos and Banks.  Raytheon Technologies and Al Rajhi Bank are among the most under-owned stock in the world.


<ul>
<li>EM Fund managers continue to add to MENA allocations, yet underweights have increased to near record levels.</li>
<li>Saudi Arabia has been the driver of the recent allocation spike, with the average GEM fund allocation now at 1%</li>
<li>Fund activity over the last 6-months has favoured Qatar National Bank and Saudi Tadawul Group, with both seeing the percentage of funds invested increase.</li>
</ul>


EM Fund managers continue to add to MENA allocations, yet underweights have increased to near record levels.
Saudi Arabia has been the driver of the recent allocation spike, with the average GEM fund allocation now at 1%
Fund activity over the last 6-months has favoured Qatar National Bank and Saudi Tadawul Group, with both seeing the percentage of funds invested increase.


Saudi Arabia

National Commercial Bank (NCB) provides commercial banking services. The Bank offers current, savings, time, and other deposit accounts, auto leases, home financing, corporate loans, currency exchange, money transfer, asset management, share brokerage, initial public offering subscription services, and private banking services. NCB operates in Saudi Arabia, with branches worldwide.

Riyad Bank attracts deposits and offers commercial and retail banking services. The Bank offers automobile and other consumer, business, and syndicated loans, private banking services, risk analysis, trade finance, asset management, and treasury services, sponsors Visa credit cards, and manages mutual funds.

Saudi Awwal Bank operates as a bank. The Bank offers debit and credit cards, wealth management, investment, treasury, financing and saving products, trade finance, equity and debt wholesale banking, and corporate and private banking services. Saudi Awwal Bank serves customers worldwide.

Alinma Bank is a Shariah law-compliant, commercial Islamic bank.

Banque Saudi Fransi attracts deposits and offers retail and corporate banking services. The Bank offers automobile, home renovation, trade finance, structured finance, and syndicated loans. Banque Saudi also advises on mergers, acquisitions and private placements, treasury services, and securities brokerage services.

Arab National Bank attracts deposits and offers commercial and retail banking services. The Bank offers retail, corporate, commercial, investment, private banking services, and treasury services.

Bank Albilad is a full-service bank. The Bank offers a wide range of banking products and services including business banking, retail banking, and investment products.

The Saudi Investment Bank attracts deposits and offers retail and commercial banking services. The Bank offers consumer, corporate, industrial, and trade finance loans, lease financing, and asset management, foreign exchange, and securities brokerage services, and sponsors the American Express Card.

Bank Al-Jazira attracts deposits and offers commercial banking services.  The Bank offers lease financing, export financing, foreign exchange services, treasury services, business and personal loans, asset management services, manages mutual funds, sponsors American Express and Visa credit cards, and offers securities brokerage services.

Kingdom Holding Company is a diversified investment company based in Saudi Arabia. The Company's interests include banking, real estate, telecommunications, broadcasting and media, entertainment, hospitality, computers and electronics, agriculture, restaurants, upscale fashion, retailing, supermarkets, tourism, travel, and automotive manufacturing.

National Australia Bank Limited is an international banking group which operates in Australia, New Zealand, Europe, Asia and the United States.  The Group offers banking services, credit and access card facilities, leasing, housing and general finance, international and investment banking, wealth and funds management, life insurance and custodian, trustee and nominee services.

DBS Group Holdings Limited and its subsidiaries provide a variety of financial services.  The Company offers services including mortgage financing, lease and hire purchase financing, nominee and trustee, funds management, corporate advisory and brokerage .  DBS Group also acts as the primary dealer in Singapore government securities.

United Overseas Bank Limited provides a wide range of financial services including personal financial services, wealth management, private banking, commercial and corporate banking, transaction banking, investment banking, corporate finance, capital market activities, treasury services, futures broking, asset management, venture capital management and insurance.

Oversea-Chinese Banking Corporation Limited offers a comprehensive range of financial services.  The Company's services include deposit-taking, corporate, enterprise and personal lending, international trade financing, investment banking, private banking, treasury, stockbroking, insurance, credit cards, cash management, asset management and other financial and related services.

Kotak Mahindra Bank Limited is a full service commercial bank. The Bank offers a wide range of products and services such as personal, commercial, and corporate banking services, including deposit accounts, loans, and investments. Kotak Mahindra Bank serves customers in India.

State Bank of India provides a wide range of banking and financial services to corporate, institutional, commercial, agricultural, industrial and individual customers throughout India.  The Bank also provides international banking to its Indian customers and has operations in other countries.

Sumitomo Mitsui Financial Group, Inc. manages financial operations for its subsidiaries. The Company provides commercial banking and a variety of financial services.

Sumitomo Mitsui Financial Group (8316 JP)

Mitsubishi UFJ Financial Group, Inc. (MUFG) is a holding company established through the merger of Mitsubishi Tokyo Financial Group and UFJ Holdings. As a financial group, the Company provides a variety of financial and investment services including commercial banking, trust banking, international finance, and assets management services.

Mitsubishi UFJ Financial (MUFG) (8306 JP)

Mizuho Financial Group, Inc. provides comprehensive financial services through its subsidiaries. The Group provides variety of financial services such as general banking, securities brokerage, trust banking, and assets management.

PNC Financial Services Group, Inc. is a diversified financial services organization.  The Company provides regional banking, wholesale banking, and asset management services nationally and in the Company's primary regional markets.

Al Rajhi Bank provides banking services. The Bank offers services such as credit cards, insurance, car finance, loans, online and phone banking, and current accounts. Al Rajhi Bank serves customers in Saudi Arabia.

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Al Rajhi Bank (RJHI AB)

WisdomTree Emerging Markets Ex-State-Owned Enterprises Index Rebalance: 16% Turnover, US$660m Trade

There are 157 adds/79 deletes for the WisdomTree Emerging Markets ex-State-Owned Enterprises Index. One-way turnover is 16% resulting in a one-way...

Brian Freitas

Global Banks: Positioning Deep Dive

Positioning in the Banking industry group among Global equity funds stalls after US Banking failures, but non-US sentiment is improving.

Steven Holden

Screening for GEMs: March 2023

This insight provides an overview of our, machine learning-driven, proprietary GEM screening model, based on a Multifactor model, a Deep Neural...

Wium Malan, CFA

Global Equity: Consensus Positioning

We screen 359 Global Equity funds to find the consensus overweights and underweights across regions, countries, sectors, industries and stocks.

Steven Holden

M.E.N.A Momentum

The MENA region has strong momentum in two distinct areas. As investment levels rise to record levels, so too does the net underweight versus the...

Steven Holden

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