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.

<ul>
<li>Average returns among GEM active managers came in at -7.02% for April, lower than the MSCI EM Index by -1.46% with 21.2% of funds outperforming.</li>
<li>This year’s underperformance of -3.69% ranks as the worst start to the year for over a decade, worse than the first 4 months of both 2009 (-2.70%) and 2015 (-2.71%).</li>
<li>Russian Financials (overweight) and Saudi Arabian Financials (underweight) accounted for nearly 1% of the performance deficit, with Singapore Comm’ Services, Taiwan Technology and Indian Utilities further dragging on relative returns.</li>
</ul>


Average returns among GEM active managers came in at -7.02% for April, lower than the MSCI EM Index by -1.46% with 21.2% of funds outperforming.
This year’s underperformance of -3.69% ranks as the worst start to the year for over a decade, worse than the first 4 months of both 2009 (-2.70%) and 2015 (-2.71%).
Russian Financials (overweight) and Saudi Arabian Financials (underweight) accounted for nearly 1% of the performance deficit, with Singapore Comm’ Services, Taiwan Technology and Indian Utilities further dragging on relative returns.


GEM Fund Performance.  April Compounds Woes for Active Managers

<ul>
<li>Russian overweight wiped out after initial phase of Russia drop.  China underweight contracts on the back of natural portfolio adjustments.</li>
<li>South Africa takes on new role as the top pure EM play in the region.  Saudi Arabia underweight increases.</li>
<li>Russian overweight causes underperformance of -0.64% for active managers compared to benchmark.  Saudi Arabia u/w is proving a costly position for active managers in the face of inflated oil prices.</li>
</ul>


Russian overweight wiped out after initial phase of Russia drop.  China underweight contracts on the back of natural portfolio adjustments.
South Africa takes on new role as the top pure EM play in the region.  Saudi Arabia underweight increases.
Russian overweight causes underperformance of -0.64% for active managers compared to benchmark.  Saudi Arabia u/w is proving a costly position for active managers in the face of inflated oil prices.


<ul>
<li>Russia suffered a significant reallocation of capital during the Crimea Annexation in 2014.  Average weights fell by -3.36%, 7.9% of funds closed positions and investors shifted from overweight to underweight</li>
<li>EM investors were well positioned in Russia heading in to 2022, not perhaps as heavily exposed as pre-Crimea, but enough to significantly effect portfolio returns for many funds.</li>
<li>Given the scale of the Ukraine conflict and the uncertainty surrounding western sanctions, this doesn’t feel like the time for catching a falling knife.</li>
</ul>


Russia suffered a significant reallocation of capital during the Crimea Annexation in 2014.  Average weights fell by -3.36%, 7.9% of funds closed positions and investors shifted from overweight to underweight
EM investors were well positioned in Russia heading in to 2022, not perhaps as heavily exposed as pre-Crimea, but enough to significantly effect portfolio returns for many funds.
Given the scale of the Ukraine conflict and the uncertainty surrounding western sanctions, this doesn’t feel like the time for catching a falling knife.


Russia: Echoes of the Past. Crimea Analysis and Positioning Update

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 top100 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 the past 3 years, and implemented in its current state for 20 months, the model has a solid real-world alpha-generating performance track record, set out 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 top100 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 the past 3 years, and implemented in its current state for 20 months, the model has a solid real-world alpha-generating performance track record, set out in detail below.


Russia

LUKOIL PJSC explores for, produces, refines, transports, and markets oil and gas mainly from Western Siberia. The Company also manufactures petrochemicals, fuels, and other petroleum products. LUKOIL operates refineries, and gasoline filling stations in Russia and the United States. The Company transports oil through pipelines, and petroleum products with its fleet of ships.

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LUKOIL PJSC (LKOD LI)

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

GEM Fund Performance. April Compounds Woes for Active Managers

It has been one of the worst starts to the year for active EM managers in over a decade. We analyze recent performance, attribution and how this...

Steven Holden

EM Positioning After Russia’s Collapse

Russian overweight wiped out after initial phase of Russia drop. China underweight contracts on the back of natural portfolio adjustments.

Steven Holden

Russia: Echoes of the Past. Crimea Analysis and Positioning Update

Russia suffered a significant reallocation of capital during the Crimea Annexation of 2014. It took 2 years for sentiment to recover. This time...

Steven Holden

Screening for GEMs: January 2022

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

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