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)

<p>Australian Financial stocks are a lightly held.  Just 17% of the global funds in our analysis hold a position, with managers running a net underweight for the last decade.  They remain the 5th largest country/sector underweight globally.</p><p>However the decline has started to reverse.  Buying in stocks such as <a href="https://www.smartkarma.com/entities/australia-and-new-zealand-banking-group-anz" target="_blank" data-smartkarma-citation="entities:443:1" rel="noopener">Australia and New Zealand Banking Group (ANZ) (ANZ AU)</a> and <a href="https://www.smartkarma.com/entities/zip-co-ltd-3708706d-4978-4e29-acbc-d9702b971da9" target="_blank" data-smartkarma-citation="entities:29126:1" rel="noopener">Zip Co Ltd (Z1P AU)</a> has placed active fund ownership on an upward trajectory for the first time in 5-years.</p><p>Compared to Financials positioning in other countries, Australian Financials are lightly held, especially compared to US and India Financials which saw a strong resurgence post COVID.  If we add in to the mix the relatively large underweight and the fact that there is a Value rotation underway, it wouldn't be out of the question to expect Australian Financials to capture further inflows.</p>

Australian Financial stocks are a lightly held.  Just 17% of the global funds in our analysis hold a position, with managers running a net underweight for the last decade.  They remain the 5th largest country/sector underweight globally.However the decline has started to reverse.  Buying in stocks such as Australia and New Zealand Banking Group (ANZ) (ANZ AU) and Zip Co Ltd (Z1P AU) has placed active fund ownership on an upward trajectory for the first time in 5-years.Compared to Financials positioning in other countries, Australian Financials are lightly held, especially compared to US and India Financials which saw a strong resurgence post COVID.  If we add in to the mix the relatively large underweight and the fact that there is a Value rotation underway, it wouldn't be out of the question to expect Australian Financials to capture further inflows.

Australian Financials:  Big Underweight (Finally) Finding Some Love?

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Quantitative Analysis

<div><p>In this Insight, we look at Asian financial pairs that normally trade in a tight band versus each other and are now trading at levels that are close to an extreme, making it likely that there could be a short term reversal. We also recap our earlier ideas and recommend exiting a position where there are gains and the price ratio is near a turning point.</p></div><div><p>These are all large cap financials that trade in excess of US$20m a day, so implementing the strategy should be possible using stock borrow or single stock futures.</p></div><div>
<p>These ideas are based purely off the stock price history and we recommend investors use a fundamental overlay to determine if the price action is reflective of changes in the sector that benefit one company at the expense of the other, or benefit one company more than the other.</p>
<p>Over the last couple of months, our pair trades have returned 2.54% on average.</p>
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In this Insight, we look at Asian financial pairs that normally trade in a tight band versus each other and are now trading at levels that are close to an extreme, making it likely that there could be a short term reversal. We also recap our earlier ideas and recommend exiting a position where there are gains and the price ratio is near a turning point.These are all large cap financials that trade in excess of US$20m a day, so implementing the strategy should be possible using stock borrow or single stock futures.
These ideas are based purely off the stock price history and we recommend investors use a fundamental overlay to determine if the price action is reflective of changes in the sector that benefit one company at the expense of the other, or benefit one company more than the other.
Over the last couple of months, our pair trades have returned 2.54% on average.


<div><p>In this Insight, we look at Asian financial pairs that normally trade in a tight band versus each other and are now trading at levels that are close to an extreme, making it likely that there could be a short term reversal. We also recap our earlier ideas and recommend exiting a few positions, especially where there are gains and the price ratios are at turning points.</p></div><div>
<p>These are all large cap financials that trade in excess of US$20m a day, so implementing the strategy should be possible using stock borrow or single stock futures.</p>
<p>These ideas are based purely off the stock price history and we recommend investors use a fundamental overlay to determine if the price action is reflective of changes in the sector that benefit one company at the expense of the other, or benefit one company more than the other.</p>
</div>

In this Insight, we look at Asian financial pairs that normally trade in a tight band versus each other and are now trading at levels that are close to an extreme, making it likely that there could be a short term reversal. We also recap our earlier ideas and recommend exiting a few positions, especially where there are gains and the price ratios are at turning points.
These are all large cap financials that trade in excess of US$20m a day, so implementing the strategy should be possible using stock borrow or single stock futures.
These ideas are based purely off the stock price history and we recommend investors use a fundamental overlay to determine if the price action is reflective of changes in the sector that benefit one company at the expense of the other, or benefit one company more than the other.


<p>In this Insight, we look at Asian financial pairs that normally trade in a tight band versus each other and are now trading at levels that are close to an extreme, making it likely that there could be a short term reversal.</p><p>These are all large cap financials that trade in excess of US$20m a day, so implementing the strategy should be possible using stock borrow or single stock futures.</p><p>These ideas are based purely off the stock price history and we recommend investors use a fundamental overlay to determine if the price action is reflective of changes in the sector that benefit one company at the expense of the other, or benefit one company more than the other.</p>

In this Insight, we look at Asian financial pairs that normally trade in a tight band versus each other and are now trading at levels that are close to an extreme, making it likely that there could be a short term reversal.These are all large cap financials that trade in excess of US$20m a day, so implementing the strategy should be possible using stock borrow or single stock futures.These ideas are based purely off the stock price history and we recommend investors use a fundamental overlay to determine if the price action is reflective of changes in the sector that benefit one company at the expense of the other, or benefit one company more than the other.

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

<p>Positive COVID vaccine news has since led to bullish inflections in a staggering number of countries, ACWI-US included. Our current outlook is bullish. Buy dips. In this report we outline key technical levels across markets and highlight actionable ideas within our Financials &amp; Energy Sectors.</p>

Positive COVID vaccine news has since led to bullish inflections in a staggering number of countries, ACWI-US included. Our current outlook is bullish. Buy dips. In this report we outline key technical levels across markets and highlight actionable ideas within our Financials &amp; Energy Sectors.

Australia

Insurance Australia Group Limited (IAG) is an Australian-based international general insurance group with operations in Australia, New Zealand, and Asia. The Group provides a range of personal and commercial insurance products, primarily motor vehicle and home insurance.

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Insurance Australia (IAG AU)

Australian Financials: Big Underweight (Finally) Finding Some Love?

Australian Financial stocks are the 5th largest country/sector underweight globally. But is their decade long decline starting to reverse?

Steven Holden

Pair Trading Ideas - Asian Financials

We highlight potential trades among liquid large cap Asian financial stocks that are correlated and exhibit mean reversion. We recommend closing...

Brian Freitas

Pair Trading Ideas - Asian Financials

Pair trades on large cap Asian financials that trade in excess of US$20m a day. These pairs trade in bands versus each other and currently offer...

Brian Freitas

Pairs Trading Ideas - Asian Financials

We look at liquid and large cap pairs from the financials sector that exhibit mean-reversion and are currently trading at or near an extreme based...

Brian Freitas

Bullish Inflections Around The World

In this report we outline key technical levels across markets and highlight actionable ideas within our Financials & Energy Sectors.

Vermilion Research

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