Quantitative Equity Analyst, DMA

Charlotte van Tiddens, CFA

Quantitative Equity Analyst

Technology-First Company

DMA is a technology-first company that provides an end-to-end SaaS solution to institutional investors. DMA enables regulated entities like asset managers, wealth managers, investment managers and financial advisors to connect their front and back office, break silos and reduce headcount.

Event-Driven

<ul>
<li>South Africa was downweighted in global, emerging markets, and ex-China indices for a second consecutive quarter. </li>
<li>Brazil was the largest upweight in global, emerging markets, and ex-China indices.</li>
<li>Tencent was downweighted in the emerging markets index but upweighted in global index.</li>
</ul>


South Africa was downweighted in global, emerging markets, and ex-China indices for a second consecutive quarter. 
Brazil was the largest upweight in global, emerging markets, and ex-China indices.
Tencent was downweighted in the emerging markets index but upweighted in global index.


Aug 24 Indices Rebalance: Brazil Takes the EM Flow, SA & China Downweighted Again (Tencent)

<ul><li>Indices will be rebalanced at the end of the month on Thursday the 29th of February.</li><li>The three largest additions to the World Index measured by full company market capitalization will be Samsara A (USA), Corebridge Financial (USA) and Applovin Corp A (USA)</li><li>The three largest additions to the Emerging Markets Index measured by full company market capitalization will be Midea Group Co A (HK-C) (China), Punjab National Bank (India) and Union Bank Of India (India)</li></ul>

Indices will be rebalanced at the end of the month on Thursday the 29th of February.The three largest additions to the World Index measured by full company market capitalization will be Samsara A (USA), Corebridge Financial (USA) and Applovin Corp A (USA)The three largest additions to the Emerging Markets Index measured by full company market capitalization will be Midea Group Co A (HK-C) (China), Punjab National Bank (India) and Union Bank Of India (India)

FEB 2024 REBALANCE Index Changes Announced, SA Constituents to Remain the Same

<ul><li>We do not expect any constituent changes for the following indices: Top 40, Top 40 SWIX, FINI, FINDI or INDI.</li><li>HAR is expected to enter the RESI and AMS is expected to fall out.</li><li>After much anticipation, ANG’s indicative free float came in at 75%, 21.9 percentage points lower than the current SWIX float of 96.8%.</li></ul>

We do not expect any constituent changes for the following indices: Top 40, Top 40 SWIX, FINI, FINDI or INDI.HAR is expected to enter the RESI and AMS is expected to fall out.After much anticipation, ANG’s indicative free float came in at 75%, 21.9 percentage points lower than the current SWIX float of 96.8%.

DMA ONE: JSE December ‘23 Rebalance Rankings

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

Cross Asset Strategy

<ul>
<li>Active EM managers are positioned at their lowest ever weights in the EMEA region, moving from a multi-year overweight to a key underweight in little over 12 months</li>
<li>Russian positions slashed, rotation out of CE3 and Turkey.  Inflows in to MENA and to a lesser extent, South Africa, but South America the key beneficiary.</li>
<li>Stock activity shows increased holdings in a host of MENA stocks, led by National Commercial Bank and Saudi Aramco, whilst Sberbank and Lukoil bore the brunt of the selling.</li>
</ul>


Active EM managers are positioned at their lowest ever weights in the EMEA region, moving from a multi-year overweight to a key underweight in little over 12 months
Russian positions slashed, rotation out of CE3 and Turkey.  Inflows in to MENA and to a lesser extent, South Africa, but South America the key beneficiary.
Stock activity shows increased holdings in a host of MENA stocks, led by National Commercial Bank and Saudi Aramco, whilst Sberbank and Lukoil bore the brunt of the selling.


GEM Active Funds:  EMEA Moves to Underweight, Allocations Drop to All-Time Lows.

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>Since March we have consistently said we believe any bottoming process would likely take weeks or months and could come with more tests of the lows, or even an undercut.</li>
<li>We are testing the March lows now in several global indexes, including the MSCI ACWI (ACWI-US), ACWI ex-US (ACWX-US), and EM (EEM-US).</li>
<li>While this is a logical spot for a bounce, we see rallies as selling opportunities at the index level</li>
</ul>


Since March we have consistently said we believe any bottoming process would likely take weeks or months and could come with more tests of the lows, or even an undercut.
We are testing the March lows now in several global indexes, including the MSCI ACWI (ACWI-US), ACWI ex-US (ACWX-US), and EM (EEM-US).
While this is a logical spot for a bounce, we see rallies as selling opportunities at the index level


MSCI ACWI, ACWI Ex-US, EM Testing Logical Support; Actionable Themes: Defensives & Reopening Stocks

South Africa

Clicks Group Ltd. owns and operates chains of retail stores.  The Company operates health, beauty and lifestyle products; pharmaceuticals; and recorded music.

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Clicks (CLS SJ)

Aug 24 Indices Rebalance: Brazil Takes the EM Flow, SA & China Downweighted Again (Tencent)

Aug 24 Indices Rebalance: Brazil was the largest beneficiary of passive flows at the rebalance last Friday. South Africa and China were...

DMA

FEB 2024 REBALANCE Index Changes Announced, SA Constituents to Remain the Same

Indices will be rebalanced at the end of the month on Thursday the 29th of February. The three largest additions to the World Index measured by...

DMA

DMA ONE: JSE December ‘23 Rebalance Rankings

The Week Ahead, NPN x PRX discount update post Tencent results, trading statements released after close yesterday. We do not expect any constituent...

DMA

GEM Active Funds: EMEA Moves to Underweight, Allocations Drop to All-Time Lows.

After the demise of Russia, active EM managers are positioned at their lowest ever levels in the EMEA region, moving from a multi-year overweight...

Steven Holden

MSCI ACWI, ACWI Ex-US, EM Testing Logical Support; Actionable Themes: Defensives & Reopening Stocks

We are testing the March lows in several global indexes, including the MSCI $ACWI, ACWI ex-US $ACWX, and EM $EEM. While this is a logical spot for...

Vermilion Research

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