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>This report identifies stocks at the extremes of their positioning or momentum ranges within our active Global EM fund universe.</li>
<li>We have pinpointed eight stocks either at their historical positioning extremes or undergoing significant changes in fund ownership, providing detailed ownership profiles for each.</li>
<li>HDFC Bank loses steam after merger, Nu Holdings surges to new highs, POSCO plunges to new fund ownership lows.</li>
</ul>


This report identifies stocks at the extremes of their positioning or momentum ranges within our active Global EM fund universe.
We have pinpointed eight stocks either at their historical positioning extremes or undergoing significant changes in fund ownership, providing detailed ownership profiles for each.
HDFC Bank loses steam after merger, Nu Holdings surges to new highs, POSCO plunges to new fund ownership lows.


Active GEM Funds:  Extremes in Positioning & Momentum

Head of Trading/ Partner, AceGama Advisors

Sankalp Singh

Head of Trading/ Partner

Proprietary Trading Desk

AceGama Advisors

Trading desk specializing in the Listed & OTC options strategies for risk management & investment purposes.

Event-Driven

<ul>
<li>Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.</li>
<li>Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.</li>
<li>BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.</li>
</ul>


Unprecedented levels of FII option-buying &amp; increasing geo-political risk causing IVs to re-price higher.
Skew/ Smile characteristics of the Vol Surface reflect increased risk aversion but not it panic mode - yet.
BankNifty IVs exhibiting unusual "kink-in-the-curve". Enter barbell structures to position for reversion in curve shape.


EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

<ul>
<li>Strong start to 2024, but majority underperform: Average returns of 7.6% lags the SPDRs MSCI ACWI ETF by -0.33%, with 44% of funds outperforming.</li>
<li>USA Technology Drives Returns: US Tech sector accounts for 1/4 of total returns in Q1. China &amp; India Financials a drag on performance.</li>
<li>Apple and Tesla Positions Outperform: Underweights in both stocks help claw back losses made due to NVIDIA underweights.</li>
</ul>


Strong start to 2024, but majority underperform: Average returns of 7.6% lags the SPDRs MSCI ACWI ETF by -0.33%, with 44% of funds outperforming.
USA Technology Drives Returns: US Tech sector accounts for 1/4 of total returns in Q1. China &amp; India Financials a drag on performance.
Apple and Tesla Positions Outperform: Underweights in both stocks help claw back losses made due to NVIDIA underweights.


Global Funds Q1 Review: Benefiting from Underweights in Apple & Tesla

<ul>
<li>Strong start to 2024 as majority of GEM funds outperform: Average returns of 2.8% beat the iShares MSCI EM ETF by 0.66%, with 63% of funds outperforming.</li>
<li>Technology Sector Drives Returns: Technology sector the key contributor to returns, with TSMC accounting for just over half of total fund returns on the quarter.</li>
<li>Active vs Passive: Q1 performance adds to GEM active fund's impressive record of outperformance. 5-year average GEM fund returns are +7.4% ahead of the benchmark iShares MSCI EM ETF.</li>
</ul>


Strong start to 2024 as majority of GEM funds outperform: Average returns of 2.8% beat the iShares MSCI EM ETF by 0.66%, with 63% of funds outperforming.
Technology Sector Drives Returns: Technology sector the key contributor to returns, with TSMC accounting for just over half of total fund returns on the quarter.
Active vs Passive: Q1 performance adds to GEM active fund's impressive record of outperformance. 5-year average GEM fund returns are +7.4% ahead of the benchmark iShares MSCI EM ETF.


GEM Funds Outperform in Q1.  Long-Term Active Vs Passive Performance Compelling.

<ul>
<li>Strong start to 2024 as majority outperform: Average returns of 3.3% beat the iShares Asia Ex-Japan benchmark, with 66% of funds outperforming.</li>
<li>Technology Sector Drives Returns:  Taiwan and South Korean Tech contribute the most to returns, whilst China Financials and Healthcare drag on performance.</li>
<li>HDFC Bank and AIA Group costly: Both stocks are among the top overweights among Asia Ex-Japan investors.  Poor performance this quarter cost managers ~ 50bps in losses versus the benchmark.</li>
</ul>


Strong start to 2024 as majority outperform: Average returns of 3.3% beat the iShares Asia Ex-Japan benchmark, with 66% of funds outperforming.
Technology Sector Drives Returns:  Taiwan and South Korean Tech contribute the most to returns, whilst China Financials and Healthcare drag on performance.
HDFC Bank and AIA Group costly: Both stocks are among the top overweights among Asia Ex-Japan investors.  Poor performance this quarter cost managers ~ 50bps in losses versus the benchmark.


Asia Ex-Japan Q1 Performance & Attribution:  Strong Start for Active Managers

India

HDFC Bank Ltd. offers a wide range of services to the global corporate sector. The Bank provides corporate banking and custodial services and is active in the treasury and capital markets. HDFC also markets project advisory services and capital market products such as Global Deposit Receipts, Euro currency loans, and Euro currency bonds.

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HDFC Bank (HDFCB IN)

Active GEM Funds: Extremes in Positioning & Momentum

GEM Extreme Stocks. HDFC Bank loses steam after merger, Nu Holdings surges to new highs, POSCO plunges to new fund ownership lows.

Steven Holden

EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

Global Funds Q1 Review: Benefiting from Underweights in Apple & Tesla

Strong start to 2024, but majority underperform: Average returns of 7.6% lags the SPDRs MSCI ACWI ETF by -0.33%, with 44% of funds outperforming.

Steven Holden

GEM Funds Outperform in Q1. Long-Term Active Vs Passive Performance Compelling.

Q1 performance adds to GEM active fund's impressive record of outperformance. 5-year average GEM fund returns are +7.4% ahead of the benchmark...

Steven Holden

Asia Ex-Japan Q1 Performance & Attribution: Strong Start for Active Managers

Strong start to 2024 as majority outperform: Average returns of 3.3% beat the iShares Asia Ex-Japan benchmark, with 66% of funds outperforming.

Steven Holden

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Active GEM Funds: Extremes in Positioning & Momentum

GEM Extreme Stocks. HDFC Bank loses steam after merger, Nu Holdings surges to new highs, POSCO plunges to new fund ownership lows.

Steven Holden

EQD / NSE Volatility Update / 15-Apr-24 to 19-Apr-24

​FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...

AceGama Advisors

Global Funds Q1 Review: Benefiting from Underweights in Apple & Tesla

Strong start to 2024, but majority underperform: Average returns of 7.6% lags the SPDRs MSCI ACWI ETF by -0.33%, with 44% of funds outperforming.

Steven Holden

GEM Funds Outperform in Q1. Long-Term Active Vs Passive Performance Compelling.

Q1 performance adds to GEM active fund's impressive record of outperformance. 5-year average GEM fund returns are +7.4% ahead of the benchmark...

Steven Holden

Asia Ex-Japan Q1 Performance & Attribution: Strong Start for Active Managers

Strong start to 2024 as majority outperform: Average returns of 3.3% beat the iShares Asia Ex-Japan benchmark, with 66% of funds outperforming.

Steven Holden

FII option-buying and geopolitical events driving IVs higher. Skew/ Smile reflect heightened risk aversion but not in panic mode - yet. BankNifty...