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>US Financial stocks are a key holding for Global active managers.  Average weights stand at 6.38% among the 383 Global funds in our analysis, the 3rd largest global country/sector allocation.</p><p>After a heavy sell of during the first few months of COVID-19, allocations bottomed out in August 2020 and turned sharply to the upside.  US Financials captured some of the largest ownership increases among global country/sector peers, moving from underweight to overweight in the process.</p><p><a href="https://www.smartkarma.com/entities/morgan-stanley" target="_blank" data-smartkarma-citation="entities:1122:1" rel="noopener">Morgan Stanley (MS US)</a> has broken out to new highs in active fund ownership, <a href="https://www.smartkarma.com/entities/jpmorgan-chase-co" target="_blank" data-smartkarma-citation="entities:277:1" rel="noopener">JPMorgan Chase &amp; Co (JPM US)</a> is the most widely held Financial stock, whilst <a href="https://www.smartkarma.com/entities/citigroup-inc" target="_blank" data-smartkarma-citation="entities:279:1" rel="noopener">Citigroup Inc (C US)</a> exposure remains subdued.</p><p>There are few signs of confidence levels abating or that managers are overly exposed to the sector, either on an absolute basis or relative to benchmark.  Therefore, we see it as low risk that managers will look to scale back exposure at this juncture.</p>

US Financial stocks are a key holding for Global active managers.  Average weights stand at 6.38% among the 383 Global funds in our analysis, the 3rd largest global country/sector allocation.After a heavy sell of during the first few months of COVID-19, allocations bottomed out in August 2020 and turned sharply to the upside.  US Financials captured some of the largest ownership increases among global country/sector peers, moving from underweight to overweight in the process.Morgan Stanley (MS US) has broken out to new highs in active fund ownership, JPMorgan Chase &amp; Co (JPM US) is the most widely held Financial stock, whilst Citigroup Inc (C US) exposure remains subdued.There are few signs of confidence levels abating or that managers are overly exposed to the sector, either on an absolute basis or relative to benchmark.  Therefore, we see it as low risk that managers will look to scale back exposure at this juncture.

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>After a tumultuous January, it's easy to forget the original negative reaction to Biden's January 14 unveiling of the $1.9tr USD stimulus plan on concerns over ambitious wealth redistribution policies</li>
<li>Our text-mining finds that sentiment on the stimulus package has surged to &gt; +2x STDEVs in recent days, driving the revival of cyclicals sentiment and the value-over-growth theme after a short pause</li>
<li>With Biden's $15/hr minimum wage proposal likely off the table at this stage, at least one potential source of worry has been removed for corporate America</li>
<li>In conjunction with the surge in sentiment, we see a record volume surge in coverage of infrastructure and clean energy themes ahead of Biden's much-anticipated additional $2tr stimulus bill expected later this month focusing on the long-term "Build Back Better" campaign theme of sustainable infrastructure and decarbonization investment</li>
<li>Despite disappointing non-farm payrolls, new alt-data points in the past week highlight a late-January surge in US job postings; in light of the crude oil recovery and deceleration in new COVID case growth, recent data points confirm the rotation trade had only paused momentarily in January</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


After a tumultuous January, it's easy to forget the original negative reaction to Biden's January 14 unveiling of the $1.9tr USD stimulus plan on concerns over ambitious wealth redistribution policies
Our text-mining finds that sentiment on the stimulus package has surged to &gt; +2x STDEVs in recent days, driving the revival of cyclicals sentiment and the value-over-growth theme after a short pause
With Biden's $15/hr minimum wage proposal likely off the table at this stage, at least one potential source of worry has been removed for corporate America
In conjunction with the surge in sentiment, we see a record volume surge in coverage of infrastructure and clean energy themes ahead of Biden's much-anticipated additional $2tr stimulus bill expected later this month focusing on the long-term "Build Back Better" campaign theme of sustainable infrastructure and decarbonization investment
Despite disappointing non-farm payrolls, new alt-data points in the past week highlight a late-January surge in US job postings; in light of the crude oil recovery and deceleration in new COVID case growth, recent data points confirm the rotation trade had only paused momentarily in January
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot:  Sentiment Surge on Biden Stimulus - What a Difference 3 Weeks Make

<ul>
<li>We saw cyclical &amp; value sentiment melt-up into year end with one last boost from the Georgia Blue Wave; but a tough COVID winter with new mobility restrictions appears to be putting the rotation on hold</li>
<li>Surprisingly, last week USD shorts increased to levels last seen in September, positioning for further progress on the rotation trade (with Biden stimulus the likely catalyst)</li>
<li>Timing of rotation jitters at the early innings of earnings season is unrelated to short-term cyclical earnings visibility, as cyclical sector revisions showed outstanding momentum going into Q4 reporting</li>
<li>Our cyclicals sentiment indicator has corrected from &gt;3x STDEV readings at year-end to neutral readings, with most of the correction taking place in the past 2 weeks</li>
<li>Absent broad negative momentum in associated thematic trades, this appears to be a pause rather than a decisive reversal</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


We saw cyclical &amp; value sentiment melt-up into year end with one last boost from the Georgia Blue Wave; but a tough COVID winter with new mobility restrictions appears to be putting the rotation on hold
Surprisingly, last week USD shorts increased to levels last seen in September, positioning for further progress on the rotation trade (with Biden stimulus the likely catalyst)
Timing of rotation jitters at the early innings of earnings season is unrelated to short-term cyclical earnings visibility, as cyclical sector revisions showed outstanding momentum going into Q4 reporting
Our cyclicals sentiment indicator has corrected from &gt;3x STDEV readings at year-end to neutral readings, with most of the correction taking place in the past 2 weeks
Absent broad negative momentum in associated thematic trades, this appears to be a pause rather than a decisive reversal
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot: Pullback in Rotation Trade on Mobility Restrictions, Just as USD Shorts Doubled Down

<ul>
<li>Back in November, we text-mined for GICS sector-level sentiment shifts as the post-election cyclical rotation arrived (see <a href="https://www.smartkarma.com/insights/tmi-snapshots-quantifying-relative-sector-sentiment-in-the-recent-rotation-via-text-mining" target="_blank" data-smartkarma-citation="insights:45278" rel="noopener">TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining</a>)</li>
<li>At the time, we saw Financials sector sentiment surge along with Materials, while Industrials sentiment remained subdued; these sentiment readings have been somewhat reflected in performance, as since October 31 the S&amp;P Financials (XLF) is up +28%, S&amp;P Materials (XLB) +21%, and S&amp;P Industrials (XLI) +18%</li>
<li>All cyclical sectors are now in positive territory sentiment-wise, with Consumer Discretionary and Financials sentiment now looking quite extended at multi-STDEV readings</li>
<li>Industrials sector sentiment stood out as relatively depressed for months, but is breaking out of its range in the last 10 days</li>
<li>As we noted in our post on cyclicals sentiment last week (<a href="https://www.smartkarma.com/insights/tmi-snapshot-cyclicals-sentiment-melts-up-into-year-end-impact-concentrated-in-materials-sector" target="_blank" data-smartkarma-citation="insights:46660" rel="noopener">TMI Snapshot:  Cyclicals Sentiment Melts Up into Year-End, Impact Concentrated in Materials Sector),</a> the rotation theme has been particularly strongly correlated to the Materials sector (metals in particular) and there is potentially room for laggard cyclicals - namely industrials - to catch up as recent sentiment readings imply </li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


Back in November, we text-mined for GICS sector-level sentiment shifts as the post-election cyclical rotation arrived (see TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining)
At the time, we saw Financials sector sentiment surge along with Materials, while Industrials sentiment remained subdued; these sentiment readings have been somewhat reflected in performance, as since October 31 the S&amp;P Financials (XLF) is up +28%, S&amp;P Materials (XLB) +21%, and S&amp;P Industrials (XLI) +18%
All cyclical sectors are now in positive territory sentiment-wise, with Consumer Discretionary and Financials sentiment now looking quite extended at multi-STDEV readings
Industrials sector sentiment stood out as relatively depressed for months, but is breaking out of its range in the last 10 days
As we noted in our post on cyclicals sentiment last week (TMI Snapshot:  Cyclicals Sentiment Melts Up into Year-End, Impact Concentrated in Materials Sector), the rotation theme has been particularly strongly correlated to the Materials sector (metals in particular) and there is potentially room for laggard cyclicals - namely industrials - to catch up as recent sentiment readings imply 
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot:  Revisiting Cyclical Sector Sentiment - Industrials Showing Signs of Life

<ul>
<li>We text mine the global financial media to quantify short-term dynamics in sector sentiment looking for expressions referring to specific GICS sectors (i.e. energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, tech, utilities) via sentiment analysis of associated articles</li>
<li>Of the cyclical sectors, the relative surge in sentiment (vs. tech) has been most dramatic in Financials and Materials, and more measured in Energy and Industrials</li>
<li>We find that relative sentiment on cyclicals previously surged after the June and September VIX spikes; current relative sentiment readings for industrials, materials and energy are still below levels seen in the June and September episodes</li>
<li>On an absolute basis, Tech sector sentiment has corrected from +2.2x STDEVs to neutral in the past 2 weeks</li>
<li>Similarly, we recently saw declines in Health Care, Utilities and Staples sentiment to neutral/negative readings, though less dramatic than the move seen in Tech</li>
<li>Financials appear to be the only sector where sentiment has surged more than +2x STDEVs in recent weeks</li>
<li>Importantly, the most recent short-term reversal in cyclical sector sentiment clearly began in the final week of October, well ahead of the elections and Pfizer news</li>
</ul>


We text mine the global financial media to quantify short-term dynamics in sector sentiment looking for expressions referring to specific GICS sectors (i.e. energy, materials, industrials, consumer discretionary, consumer staples, health care, financials, tech, utilities) via sentiment analysis of associated articles
Of the cyclical sectors, the relative surge in sentiment (vs. tech) has been most dramatic in Financials and Materials, and more measured in Energy and Industrials
We find that relative sentiment on cyclicals previously surged after the June and September VIX spikes; current relative sentiment readings for industrials, materials and energy are still below levels seen in the June and September episodes
On an absolute basis, Tech sector sentiment has corrected from +2.2x STDEVs to neutral in the past 2 weeks
Similarly, we recently saw declines in Health Care, Utilities and Staples sentiment to neutral/negative readings, though less dramatic than the move seen in Tech
Financials appear to be the only sector where sentiment has surged more than +2x STDEVs in recent weeks
Importantly, the most recent short-term reversal in cyclical sector sentiment clearly began in the final week of October, well ahead of the elections and Pfizer news


TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining

United States

Financial Select Sector SPDR Fund is an exchange-traded fund incorporated in the USA.  The Fund's objective is to provide investment results that, before expenses, correspond to the performance of The Financial Select Sector.  The Index includes financial services firms whose business' range from investment management to commercial & business banking.

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Financial Select Sector SPDR F (XLF US)

US Financials: Back in Vogue

After a heavy sell of during the first few months of COVID-19, US Financials exposure bottomed out in August 2020 and turned sharply to the...

Steven Holden

TMI Snapshot: Sentiment Surge on Biden Stimulus - What a Difference 3 Weeks Make

We have seen a +2x STDEV surge in sentiment on Biden's stimulus package and a record increase in coverage of infrastructure and clean energy...

Elan Gore

TMI Snapshot: Pullback in Rotation Trade on Mobility Restrictions, Just as USD Shorts Doubled Down

The cyclical & value rotation trade has paused, and this appears to be a function of the current wave of mobility restrictions, as our data suggests.

Elan Gore

TMI Snapshot: Revisiting Cyclical Sector Sentiment - Industrials Showing Signs of Life

Revisiting our cyclical sector sentiment indicators, we find a breakout in Industrials sentiment coming from a relatively low base - time for...

Elan Gore

TMI Snapshots: Quantifying Relative Sector Sentiment in the Recent Rotation Via Text Mining

We quantify recent sector sentiment dynamics through the lens of text mining. The current cyclical rotation is in its early innings, as relative...

Elan Gore

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