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

We analyse the holdings of the world's largest banks by the 255 global equity funds in our analysis. For each region (America/EMEA/Asia), we have selected the 6 largest banks by total assets, as defined by the S&amp;P Global Market Intelligence Report, 2018.We find that overall, holdings in these banks are on the decline, and in some cases, investor flight has been acute.  Only 2 of the 18 banks are held overweight by global investors, with <a href="https://www.smartkarma.com/entities/279" target="_blank" data-smartkarma-citation="entities:279:1">Citigroup Inc (C US)</a> and <a href="https://www.smartkarma.com/entities/525" target="_blank" data-smartkarma-citation="entities:525:1">Bnp Paribas (BNP FP)</a> seeing the biggest exodus through 2018.

We analyse the holdings of the world's largest banks by the 255 global equity funds in our analysis. For each region (America/EMEA/Asia), we have selected the 6 largest banks by total assets, as defined by the S&amp;P Global Market Intelligence Report, 2018.We find that overall, holdings in these banks are on the decline, and in some cases, investor flight has been acute.  Only 2 of the 18 banks are held overweight by global investors, with Citigroup Inc (C US) and Bnp Paribas (BNP FP) seeing the biggest exodus through 2018.

Big Banks - A Crisis of Investor Confidence

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

Index Rebalance

<ul>
<li>The changes to the Hang Seng family of indices were announced post market close on Friday - final capping will use closing prices from 2 June.</li>
<li>There are 3 adds for the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, 2 changes each for the<a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener"> HSCEI</a> and <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, 1 change for the HSBIO Index and 7 adds for the HSCI Index.</li>
<li>There will be positioning in most stocks but there could be continued positioning in the names that will be added to Southbound Stock Connect.</li>
</ul>


The changes to the Hang Seng family of indices were announced post market close on Friday - final capping will use closing prices from 2 June.
There are 3 adds for the HSI, 2 changes each for the HSCEI and HSTECH, 1 change for the HSBIO Index and 7 adds for the HSCI Index.
There will be positioning in most stocks but there could be continued positioning in the names that will be added to Southbound Stock Connect.


Hang Seng Indexes: Changes Lead to US$6.6bn Trade; Plus Stock Connect & Global Index Inclusions

Asia Pac ECM and Index Rebal, Shenton Research

Ke Yan, CFA, FRM

Asia Pac ECM and Index Rebal

Asia Pac IPO & Placement Research, China Biotech

DZT Research

DZT Research is an independent Asia Pacific equity specialist. Our quantitative research covers index rebalancing flows, alongside exchange data analytics accross Asia Pacific. On the equity capital markets side, we focus on Asia Pacific ECM, especially biotech and TMT. Our lead analyst is frequently cited by international media.

Quantitative Analysis

<ul>
<li>We analyzed the latest HK SFC report for aggregate short position as of May 15th.</li>
<li>Top short increases and decreases were tabulated for one week and four week period.</li>
<li>We highlight short changes in Tencent, Yofc, Midea, AIA, Weichai Power, Time Interconnect Technology, China Mobile.</li>
</ul>


We analyzed the latest HK SFC report for aggregate short position as of May 15th.
Top short increases and decreases were tabulated for one week and four week period.
We highlight short changes in Tencent, Yofc, Midea, AIA, Weichai Power, Time Interconnect Technology, China Mobile.


HK Short Interest Weekly: Tencent, Yofc, Midea, AIA, Weichai Power, Time Interconnect Technology

Research and consultancy, Tabbush Report

Daniel Tabbush

Research and consultancy

Tabbush Report

We provide research and consultancy on Asian banks. Our focus is on what we call “Asian bank research, without the noise.” We are interested in the most critical swing-factors for banks, the NPL and credit cycle, and where we believe there is a gap between perception and reality. We often focus on the less studied components of bank financial statements.  Our research is highly thematic, sometimes examining unlisted banks and companies as a window on mainstream banks. 

Being independent allows us to look at smaller banks, often overlooked by others. Analysis of BIS bank guidelines in the context of Asia, is also a focal point, while we also analyze global banks operating in the region. We use what we believe is the most comprehensive, reliable financials database, SNL Financial. S&P Capital IQ augments our database, with corporate data and CEIC, with economics. 

Asian bank research, without the noise.

Thematic (Sector/Industry)

For the most part, China bank’s 1H18 profit growth YoY (and 2Q18 YoY) is from realized and unrealized trading gains, investment gains and fair value gains. The largest four banks are the only major exceptions due to significant low-cost deposits and expansive sticky customer base. From the commentary that we have heard on China banks’ 1H18 earnings, we do not believe the focus is on the underlying reality.  There are negative implications where earnings quality is worsening considerably, while at the same time, it is likely that 2H18 is fundamentally worse, thereby making putting further pressure on core income and profit growth.

For the most part, China bank’s 1H18 profit growth YoY (and 2Q18 YoY) is from realized and unrealized trading gains, investment gains and fair value gains. The largest four banks are the only major exceptions due to significant low-cost deposits and expansive sticky customer base. From the commentary that we have heard on China banks’ 1H18 earnings, we do not believe the focus is on the underlying reality.  There are negative implications where earnings quality is worsening considerably, while at the same time, it is likely that 2H18 is fundamentally worse, thereby making putting further pressure on core income and profit growth.

China Banks – Profit Growth Is Only From Securities Gains

In December 2017, the International Monetary Fund (IMF) issued a 270-page report assessing China’s financial sector and specifically how the China Banking Regulatory Commission (CBRC) has fared in its observance of Basel core principles. It may not be coincidental that the China regulator(s) have become stricter during 2018. Two key shortcomings highlighted in the report are worth exploring further: special mention loans and interbank lending.  Many of China’s banks will see a surge in bad loans…

In December 2017, the International Monetary Fund (IMF) issued a 270-page report assessing China’s financial sector and specifically how the China Banking Regulatory Commission (CBRC) has fared in its observance of Basel core principles. It may not be coincidental that the China regulator(s) have become stricter during 2018. Two key shortcomings highlighted in the report are worth exploring further: special mention loans and interbank lending.  Many of China’s banks will see a surge in bad loans…

China Banks – Special Mention Loans and Bank Lending Under Fire from IMF

China

China Construction Bank is a leading commercial bank offering comprehensive financial services including personal and corporate banking, wealth management, and treasury operations. Its products and services encompass infrastructure loans, residential mortgages, bank cards, fund management, and financial leasing. The bank is headquartered in Beijing, China, and was founded in 1954.

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China Construction Bank (939 HK)

Big Banks - A Crisis of Investor Confidence

We analyse the holdings of the world's largest banks by the 255 global equity funds in our analysis. For each region (America/EMEA/Asia), we have...

Steven Holden

Hang Seng Indexes: Changes Lead to US$6.6bn Trade; Plus Stock Connect & Global Index Inclusions

There are a number of constituent, float and capping changes for the Hang Seng family, leading to a US$6.6bn trade. Stock Connect additions, lock...

Brian Freitas

HK Short Interest Weekly: Tencent, Yofc, Midea, AIA, Weichai Power, Time Interconnect Technology

We analyzed the latest HK SFC report for aggregate short position as of May 15th and highlight short interest changes in Tencent (700 HK), Yofc...

Ke Yan, CFA, FRM

China Banks – Profit Growth Is Only From Securities Gains

For the most part, China bank’s 1H18 profit growth YoY (and 2Q18 YoY) is from realized and unrealized trading gains, investment gains and fair...

Daniel Tabbush

China Banks – Special Mention Loans and Bank Lending Under Fire from IMF

In December 2017, the International Monetary Fund (IMF) issued a 270-page report assessing China’s financial sector and specifically how the China...

Daniel Tabbush

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52-week Range

Market Cap (USDm)

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