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>Allocations in South Korean Financials stocks among Global Value managers are at record highs. </li>
<li>In a remarkable upward trend that started in 2015, Value managers have positioned themselves at record weights, record overweights and with more funds invested than ever before</li>
<li>KB Financial is top dog, accounting for over half of total allocations, half the overweight and held by twice as many Value managers as the second most widely held stock</li>
</ul>


Allocations in South Korean Financials stocks among Global Value managers are at record highs. 
In a remarkable upward trend that started in 2015, Value managers have positioned themselves at record weights, record overweights and with more funds invested than ever before
KB Financial is top dog, accounting for over half of total allocations, half the overweight and held by twice as many Value managers as the second most widely held stock


South Korean Financials: Increasing in Value

Korea / Special Sits, Pairs, Index Rebalancing, Clepsydra Capital

Sanghyun Park

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Event-Driven

<ul>
<li>The FnGuide Top 10 (TIGER ETF) currently has an AUM of ₩1.18T, and the next rebalancing will be on June 13, and the rebalancing trading on June 10.</li>
<li>If we perform the screening based on the current stock prices and the FnGuide-concluded index float rates, the possibility that Shinhan Financial will replace Celltrion is relatively high.</li>
<li>If Shinhan replaces Celltrion, the passive flow size seems more significant than the previous rebalancing. Shinhan will face a passive inflow of 1.17x ADTV, while Celltrion will face -0.61x ADTV.</li>
</ul>


The FnGuide Top 10 (TIGER ETF) currently has an AUM of ₩1.18T, and the next rebalancing will be on June 13, and the rebalancing trading on June 10.
If we perform the screening based on the current stock prices and the FnGuide-concluded index float rates, the possibility that Shinhan Financial will replace Celltrion is relatively high.
If Shinhan replaces Celltrion, the passive flow size seems more significant than the previous rebalancing. Shinhan will face a passive inflow of 1.17x ADTV, while Celltrion will face -0.61x ADTV.


FnGuide Top 10 (TIGER ETF) Rebalancing Preview: Shinhan Financial IN & Celltrion OUT

<ul>
<li>I screened those local buybacks in Korea with a market cap of +₩300B. I further selected those whose buyback volume exceeds 0.5% of SO and buyback completion is below 50%.</li>
<li>I then narrowed them down to those whose buybacks will likely be completed within 30 trading days with a daily buyback x ADTV of 0.15x or higher.</li>
<li>As a result, I obtained nine names: Hwasung Industrial, SK Chemicals, Meritz Securities, Huons Global, Daishin Securities, E-Mart, Meritz Financial Group, Meritz Fire, &amp; Hwaseung Industries
</li>
</ul>


I screened those local buybacks in Korea with a market cap of +₩300B. I further selected those whose buyback volume exceeds 0.5% of SO and buyback completion is below 50%.
I then narrowed them down to those whose buybacks will likely be completed within 30 trading days with a daily buyback x ADTV of 0.15x or higher.
As a result, I obtained nine names: Hwasung Industrial, SK Chemicals, Meritz Securities, Huons Global, Daishin Securities, E-Mart, Meritz Financial Group, Meritz Fire, &amp; Hwaseung Industries



KOSPI/KOSDAQ Buybacks in Progress: Those with High Daily Flow Screened

<ul>
<li>We can consider three types of dividend stocks, targeting the March 31 dividend base date: 1. 1Q fiscal year-ending dividends, 2. Interim (quarterly) dividends, 3. REITs regular dividends</li>
<li>The ex-dividend price corrections of fiscal year-ending dividend stocks have been pretty tight recently. In addition, the futures basis has not reached a desirable level either.</li>
<li>So, either outright dividend trading or dividend arb play does not have much trade opening. So, I'd consider setting up a long/short basket trading, by focusing on high DTV ones.</li>
</ul>


We can consider three types of dividend stocks, targeting the March 31 dividend base date: 1. 1Q fiscal year-ending dividends, 2. Interim (quarterly) dividends, 3. REITs regular dividends
The ex-dividend price corrections of fiscal year-ending dividend stocks have been pretty tight recently. In addition, the futures basis has not reached a desirable level either.
So, either outright dividend trading or dividend arb play does not have much trade opening. So, I'd consider setting up a long/short basket trading, by focusing on high DTV ones.


KOSPI/KOSDAQ End-March Dividends: 1Q Fiscal Year-Ending, Interim(Quarterly), & REITs

<ul>
<li>There are 71 interim dividend stocks on KOSPI and KOSDAQ. Of these, 9 stocks pay quarterly dividends: 7 KOSPI and 2 KOSDAQ.</li>
<li>All except POSCO and Shinhan Financial employ an equal quarterly split. As expected, SKT offers the highest quarterly dividend yield. At the last closing price, it is 1.55%.</li>
<li>Since the absolute yield level is tight, it may not be appropriate to consider a dividend arb play, except for SKT. Nevertheless, it may act as short-term price momentum.</li>
</ul>


There are 71 interim dividend stocks on KOSPI and KOSDAQ. Of these, 9 stocks pay quarterly dividends: 7 KOSPI and 2 KOSDAQ.
All except POSCO and Shinhan Financial employ an equal quarterly split. As expected, SKT offers the highest quarterly dividend yield. At the last closing price, it is 1.55%.
Since the absolute yield level is tight, it may not be appropriate to consider a dividend arb play, except for SKT. Nevertheless, it may act as short-term price momentum.


KOSPI/KOSDAQ Quarterly Dividend Stocks: DPS & Yield Estimations

South Korea

Shinhan Financial Group Co., Ltd., a holding company, provides a full range of consumer and commercial banking-related financial services.  The company's main businesses include banking, securities brokerage, trust banking, and assets management to individuals, businesses, and other financial institutions.

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Shinhan Financial (055550 KS)

South Korean Financials: Increasing in Value

Global Value managers have continued to increase exposure, positioning themselves at record weights, record overweights and with more funds...

Steven Holden

FnGuide Top 10 (TIGER ETF) Rebalancing Preview: Shinhan Financial IN & Celltrion OUT

This post previews the semi-annual rebalancing of the FnGuide Top 10 Theme Index (TIGER ETF), which will occur on June 10.

Sanghyun Park

KOSPI/KOSDAQ Buybacks in Progress: Those with High Daily Flow Screened

This post details share buybacks in progress among the KOSPI/KOSDAQ stocks and screens those with a high daily flow (+0.15x ADTV).

Sanghyun Park

KOSPI/KOSDAQ End-March Dividends: 1Q Fiscal Year-Ending, Interim(Quarterly), & REITs

This post offers the latest update on the expected dividends and dividend yields of the three types of end-1Q dividend stocks.

Sanghyun Park

KOSPI/KOSDAQ Quarterly Dividend Stocks: DPS & Yield Estimations

This post lists all 71 interim dividend stocks, of which 9 are quarterly dividend stocks. It then estimates DPS and dividend yield of these 9...

Sanghyun Park

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