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

Equity Bottom-Up

<ul>
<li>We screen for stocks at the extreme ends of their positioning or momentum ranges among active Emerging Market equity funds.</li>
<li>High Positioning, Negative Momentum: BYD Company Limited Class H, Novatek Microelectronics Corp.</li>
<li>Low Positioning, Negative Momentum: Banco Bradesco SA Pfd, LG Chem Ltd.    </li>
</ul>


We screen for stocks at the extreme ends of their positioning or momentum ranges among active Emerging Market equity funds.
High Positioning, Negative Momentum: BYD Company Limited Class H, Novatek Microelectronics Corp.
Low Positioning, Negative Momentum: Banco Bradesco SA Pfd, LG Chem Ltd.    


Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>The WisdomTree Emerging Markets High Dividend Index is a fundamentally weighted index that measures the performance of high dividend yield stocks within emerging markets.</li>
<li>The October rebalance will result in a one-way turnover of ~37% and in a one-way trade of US$926m. There are 92 stocks with over 1 day of ADV to trade.</li>
<li>In Asia, the largest buy flows are expected on <a href="https://www.smartkarma.com/entities/astra-international-tbk-pt" target="_blank" data-smartkarma-citation="entities:46:1" rel="noopener">Astra International (ASII IJ)</a> and the largest sell flows on <a href="https://www.smartkarma.com/entities/posco-holdings-inc" target="_blank" data-smartkarma-citation="entities:208:1" rel="noopener">POSCO Holdings (005490 KS)</a>. </li>
</ul>


The WisdomTree Emerging Markets High Dividend Index is a fundamentally weighted index that measures the performance of high dividend yield stocks within emerging markets.
The October rebalance will result in a one-way turnover of ~37% and in a one-way trade of US$926m. There are 92 stocks with over 1 day of ADV to trade.
In Asia, the largest buy flows are expected on Astra International (ASII IJ) and the largest sell flows on POSCO Holdings (005490 KS). 


WisdomTree Emerging Markets High Dividend Index Rebalance: Huge Turnover & Trade Next Week

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

Oil & Natural Gas Corp / Technical Analysis

<ul>
<li>MSCI EM (EEM-US) continues to show signs of bottoming as it has held above our $37-$37.50 line-in-the-sand. </li>
<li>Major 1+ year resistance on the EEM-US is at $42, and a breakout would mean the bottom is in (and would be a buy signal).</li>
<li>Favor EM over EAFE due to 2.5-year downtrend reversal in the EAFE vs. EM ratio. Top Overweights: Taiwan, India, Greece; Attractive EM Sectors: Energy, Technology, Consumer Discretionary, Financials</li>
</ul>


MSCI EM (EEM-US) continues to show signs of bottoming as it has held above our $37-$37.50 line-in-the-sand. 
Major 1+ year resistance on the EEM-US is at $42, and a breakout would mean the bottom is in (and would be a buy signal).
Favor EM over EAFE due to 2.5-year downtrend reversal in the EAFE vs. EM ratio. Top Overweights: Taiwan, India, Greece; Attractive EM Sectors: Energy, Technology, Consumer Discretionary, Financials


MSCI Emerging Market Index Testing 1+ Year Resistance; Favor EM over EAFE; Top EM Buys Highlighted

Silver Point

Thomas J. Monaco

Independent Insight Provider

Silver Point is a boutique research firm that focuses on the broader financial services sector, with a particular focus on troubled institutions globally. 

Asia Ex Japan

Thematic (Sector/Industry)

*NDAA Legislation: The US Congress is set to approve the annual National Defense Authorization Act (NDAA) legislation next week with bi-partisan support. Several provisions have targeted Turkey - only adding to its troubles; and *Halkbank Has A Target On It’s Back: There remain significant risks related to Halkbank’s (HALKB.TI) skirting Iran sanctions. Halkbank being removed from USD clearing system would be a very logical sanction, and could do significant damage to the Turkish financial system given how reliant the system is on USD.

*NDAA Legislation: The US Congress is set to approve the annual National Defense Authorization Act (NDAA) legislation next week with bi-partisan support. Several provisions have targeted Turkey - only adding to its troubles; and *Halkbank Has A Target On It’s Back: There remain significant risks related to Halkbank’s (HALKB.TI) skirting Iran sanctions. Halkbank being removed from USD clearing system would be a very logical sanction, and could do significant damage to the Turkish financial system given how reliant the system is on USD.  

*Strong Man Strikes Again: Central Bank of Turkey (CBT) Governor Murat Uysal has been released from his duties, and Naci Agbal has been appointed as the new CBT governor. President Erdogan abruptly fired former Governor Uysal after just 16 months, after he indicated that interest rates may increase again in 2020; and*Watch Your Risk: The TRY’s decline of 43% YTD is troublesome, and the potential for a TRY gray market would NOT be of surprise at this stage. We continue to worry about counterparty risks should defaults rise. It’s probably not a bad time to start thinking about purchasing CDS protection on single name securities and on the Turkish sovereign.

*Strong Man Strikes Again: Central Bank of Turkey (CBT) Governor Murat Uysal has been released from his duties, and Naci Agbal has been appointed as the new CBT governor. President Erdogan abruptly fired former Governor Uysal after just 16 months, after he indicated that interest rates may increase again in 2020; and*Watch Your Risk: The TRY’s decline of 43% YTD is troublesome, and the potential for a TRY gray market would NOT be of surprise at this stage. We continue to worry about counterparty risks should defaults rise. It’s probably not a bad time to start thinking about purchasing CDS protection on single name securities and on the Turkish sovereign.

Turkey

Turkiye Petrol Rafinerileri AS refines petroleum.  The Company produces LPG, naphtha, gasoline, diesel fuel, fuel, heating oil, jet fuel, lubricants, and asphalt.  Tupras operates refineries in Izmit, Izmir, Kirikkale, and Batman. The Company imports and exports petroleum products.

Tupras-Turkiye Petrol Rafinerileri (TUPRS TI)

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Tupras-Turkiye Petrol Rafinerileri (TUPRS TI)

GEM Funds: Extreme Stocks, July 2024

We screen for stocks at the extreme ends of their positioning or momentum ranges. We combine current and historical data with recent manager...

Steven Holden

WisdomTree Emerging Markets High Dividend Index Rebalance: Huge Turnover & Trade Next Week

There are 265 adds/215 deletes for the WisdomTree Emerging Markets High Dividend Index. One-way turnover is 37% resulting in a one-way trade of...

Brian Freitas

MSCI Emerging Market Index Testing 1+ Year Resistance; Favor EM over EAFE; Top EM Buys Highlighted

MSCI EM Index $EEM Testing 1+ Year Resistance; Favor EM over EAFE $EFA. Top EM Country Overweights: Taiwan, India, Greece; Attractive EM Sectors:...

Vermilion Research

Turkey - Add NDAA Sanctions To The List

TURKEY: The US Congress is set to approve the annual NDAA) next week - several provisions target Turkey. There remain significant risks related to...

Thomas J. Monaco

Turkey – Off With His Head…Again

TURKEY: Central Bank of Turkey Has A New Governor As President Erdogan Removes His Previous Hand-picked Successor. Erdogsnomics Are Not Working.

Thomas J. Monaco

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