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

In this report, we analyse the staggering inflows into US passive equity funds over the past 6 years, identify the key players and how these inflows translate to the holdings in the underlying companies.  We compare this picture with $1tr in actively managed funds in the US and find a stark difference in fortunes.  We propose that the switch from passive to active has affected the ability of active managers to consistently outperform and highlight some of the stocks riding on the wave of the passive inflows, yet roundly ignored by the active investor community.

In this report, we analyse the staggering inflows into US passive equity funds over the past 6 years, identify the key players and how these inflows translate to the holdings in the underlying companies.  We compare this picture with $1tr in actively managed funds in the US and find a stark difference in fortunes.  We propose that the switch from passive to active has affected the ability of active managers to consistently outperform and highlight some of the stocks riding on the wave of the passive inflows, yet roundly ignored by the active investor community.  

Passive Vs Active:  ETF Flows Dominate, Stock Prices Distorted, Active Managers on the Ropes

Amareos

Ryan Shea

Thematic (Sector/Industry)

<h2>Summary</h2>The US economic recovery just celebrated its eighth birthday. The IMF, in its recently published Article IV consultation document, predicted the current expansion will be a record-breaker – the longest in over 160 years! This was largely unnoticed by the media whose focus was on the GDP growth rate tweaks, but the longevity of the US expansion is important for investors. Looking at how crowd sentiments have evolved over recent months it is clear not everyone shares the IMF's constructive…

SummaryThe US economic recovery just celebrated its eighth birthday. The IMF, in its recently published Article IV consultation document, predicted the current expansion will be a record-breaker – the longest in over 160 years! This was largely unnoticed by the media whose focus was on the GDP growth rate tweaks, but the longevity of the US expansion is important for investors. Looking at how crowd sentiments have evolved over recent months it is clear not everyone shares the IMF's constructive…

The Market Sentimentalist - We're Going On A Bear Hunt

Economist (US Macro), RDQ Economics

Conrad DeQuadros

Economist (US Macro)

RDQ Economics

RDQ Economics provides global macroeconomic consulting services with an emphasis on U.S. economic fundamentals and monetary policy.  
​
Our views are driven by consistent application of classical economic and monetary principles and has generated superior anticipation of changes in the stance of monetary policy and of movements in economic growth and inflation.
​
The founders of RDQ Economics—John Ryding and Conrad DeQuadros—worked together on Wall Street for a decade, in the independent research space for nine years, and have experience in central banking at the Federal Reserve and the Bank of England.  John and Conrad have worked closely with fixed income, foreign exchange, and equity traders and portfolio managers, which has enabled their analysis and advice to be tailored to a clientele that is focused on trading and investment decisions.

Credit

In this insight we discuss the latest economy-wide profits data for the U.S., updated today by the Commerce Department.  The data on profits from the National Income and Product Accounts paint a somewhat different picture of trends than S&amp;P reported profits.  From a peak of 15.5% in the third quarter of 2014, aggregate core profit margins declined to 12.6% as of the first quarter of 2017.  Since we see no evidence of a better price-wage-productivity balance that will stabilize profit margins, economy-wide profit trends raise concerns about the outlook for equity prices.

In this insight we discuss the latest economy-wide profits data for the U.S., updated today by the Commerce Department.  The data on profits from the National Income and Product Accounts paint a somewhat different picture of trends than S&amp;P reported profits.  From a peak of 15.5% in the third quarter of 2014, aggregate core profit margins declined to 12.6% as of the first quarter of 2017.  Since we see no evidence of a better price-wage-productivity balance that will stabilize profit margins, economy-wide profit trends raise concerns about the outlook for equity prices.

U.S. Core Domestic Profit Trends Remain Troubling

Macroeconomics

Following the Fed’s decision to hike rates again on June 14 and take another step toward balance sheet normalization (by detailing its wind-down plan), the catchphrase ‘policy error’ appears to be trending.  Our view is that if there was a policy error, the mistake was the delayed start and slow pace of normalization.  However, the Fed now faces a dilemma in setting policy based on its official mandates of maximum sustainable employment—where the unemployment rate has overshot its estimate of…

Following the Fed’s decision to hike rates again on June 14 and take another step toward balance sheet normalization (by detailing its wind-down plan), the catchphrase ‘policy error’ appears to be trending.  Our view is that if there was a policy error, the mistake was the delayed start and slow pace of normalization.  However, the Fed now faces a dilemma in setting policy based on its official mandates of maximum sustainable employment—where the unemployment rate has overshot its estimate of…

The Fed Weighs Financial Risks Against Low Inflation

Japan TMT Analyst

Pelham Smithers

Market Intel on Asian Tech with a Japan focus

Pelham Smithers Associates

Founded in 2009, Pelham Smithers Associates (PSA) provides market intelligence on Asian technology, focusing in particular on Japan. The industries covered by our team of specialists are: consumer electronics, telecomms, pharmaceuticals, internet, electronic parts and materials, automotive technology, retail and capital goods. 

Research is provided by the following:
Pelham Smithers: Macro, consumer electronics, telecoms & pharma
Joel Scheiman: Electronics materials / components
Julie Boote: Autos
Will Nestuk: Capital goods, machinery & transportation equipment parts
Thao Nguyen: eCommerce, internet content, marketing & advertising

It is said that “markets take the stairs up and the elevator down”. In upward trending markets, such as US stocks for the past several years, volatility goes lower, the longer the uptrend carries on. That has also made implied volatility on stock options low, as the VIX chart shows below.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/028/570/original/VIX%20VOL.PNG?1498215628" class="editor-image img-responsive" data-smartkarma-image-id="28570"></figure>Source: CBOELow implied volatility suggests the cost of buying put options to protect a portfolio against a fall in the market should be low too. Yet, there is a periodic premium to pay and the longer the trend…

It is said that “markets take the stairs up and the elevator down”. In upward trending markets, such as US stocks for the past several years, volatility goes lower, the longer the uptrend carries on. That has also made implied volatility on stock options low, as the VIX chart shows below.Source: CBOELow implied volatility suggests the cost of buying put options to protect a portfolio against a fall in the market should be low too. Yet, there is a periodic premium to pay and the longer the trend…

United States

SPDR S&P 500 ETF Trust is an exchange-traded fund incorporated in the USA. The ETF tracks the S&P 500 Index. The Trust consists of a portfolio representing all 500 stocks in the S&P 500 Index. It holds predominantly large-cap U.S. stocks. This ETF is structured as a Unit Investment Trust and pays dividends on a quarterly basis. The holdings are weighted by market capitalization.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

SPDR S&P 500 (SPY US)

Passive Vs Active: ETF Flows Dominate, Stock Prices Distorted, Active Managers on the Ropes

In this report, we analyse the staggering inflows into US passive equity funds over the past 6 years, identify the key players and how these...

Steven Holden

The Market Sentimentalist - We're Going On A Bear Hunt

SummaryThe US economic recovery just celebrated its eighth birthday. The IMF, in its recently published Article IV consultation document, predicted...

Amareos

U.S. Core Domestic Profit Trends Remain Troubling

In this insight we discuss the latest economy-wide profits data for the U.S., updated today by the Commerce Department. The data on profits from...

RDQ Economics

The Fed Weighs Financial Risks Against Low Inflation

Following the Fed’s decision to hike rates again on June 14 and take another step toward balance sheet normalization (by detailing its wind-down...

RDQ Economics

Portfolio Protection Revisited

It is said that “markets take the stairs up and the elevator down”. In upward trending markets, such as US stocks for the past several years,...

Pelham Smithers Associates

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)