'Quantamental' Japan Specialist, LightStream Research

Campbell Gunn

'Quantamental' Japan Specialist

ja research

ja research is an independent research platform focused exclusively on Japanese equities. Leveraging data and graphic analysis provided by Japan Analytics, we provide insights on small and medium-sized companies that have been ignored by the sell-side as well as challenging conventional wisdom on larger companies. We also offer analyst and corporate access, the latter with translation if required. 

Thematic (Sector/Industry)

<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/123/994/original/2020-03-21_07-26-58.png?1584743238" class="editor-image img-responsive" data-smartkarma-image-id="123994"></figure><div class="content-caption">Source • Japan Analytics</div>TAKE PROFITS - Japanese equities, as measured by the TOPIX Index, rose by 1.7% over the last week in Yen terms and fell by only 0.86% in US dollars, while <a href="https://www.smartkarma.com/entities/ishares-msci-acwi-etf" target="_blank" data-smartkarma-citation="entities:24402:1" rel="noopener">ACWI (ACWI US)</a> fell by 13.6%. The 1% gain on Thursday was aided by the Bank of Japan US$1.8 billion purchase of ETFs which represented 4.3% of the value traded in TOPIX and is 80% of the average monthly total of such purchases over the last nine years. We expect the central bank to be in the market again at a similar level of commitment on Monday. We would use such generosity to now reduce exposure to Japan.<div class="content-highlight">In the DETAIL section below, we cover the outlook for a more prolonged Covid-19 bear market in Japan and suggest levels at which the market might offer some absolute value, hopefully within the next eighteen months.</div><blockquote>If there is no market economy, then the stock market is in a sense largely irrelevant at this time, although we would not close it either since it does give people something to do that does generate some information and some amount of GDP and income - Andrew Hunt</blockquote>

Source • Japan AnalyticsTAKE PROFITS - Japanese equities, as measured by the TOPIX Index, rose by 1.7% over the last week in Yen terms and fell by only 0.86% in US dollars, while ACWI (ACWI US) fell by 13.6%. The 1% gain on Thursday was aided by the Bank of Japan US$1.8 billion purchase of ETFs which represented 4.3% of the value traded in TOPIX and is 80% of the average monthly total of such purchases over the last nine years. We expect the central bank to be in the market again at a similar level of commitment on Monday. We would use such generosity to now reduce exposure to Japan.In the DETAIL section below, we cover the outlook for a more prolonged Covid-19 bear market in Japan and suggest levels at which the market might offer some absolute value, hopefully within the next eighteen months.If there is no market economy, then the stock market is in a sense largely irrelevant at this time, although we would not close it either since it does give people something to do that does generate some information and some amount of GDP and income - Andrew Hunt

🇯🇵 JAPAN MARKET UPDATE • Hit the BoJ Bid and Wait for the Absolute Value Opportunity

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

A brief note on how rising allocations in Japan among global funds have stalled since the start of the year.  <h2>Latest Positioning Overview</h2>Japan's average weight in global portfolios stands at 6.84%, being both the 3rd largest country allocation after the US and the UK but also the third largest underweight after the US and Australia.<figure class="editor-figure mceNonEditable"><img src="https://static-prod.smartkarma.com/images/media/000/048/280/original/Picture1.png?1522121596" class="editor-image img-responsive" data-smartkarma-image-id="48280"></figure>Sector allocations are dominated by industrials (1.59%), consumer discretionary (1.21%) and technology (1.16%).  Only telcos and tech are held overweight with…

A brief note on how rising allocations in Japan among global funds have stalled since the start of the year.  Latest Positioning OverviewJapan's average weight in global portfolios stands at 6.84%, being both the 3rd largest country allocation after the US and the UK but also the third largest underweight after the US and Australia.Sector allocations are dominated by industrials (1.59%), consumer discretionary (1.21%) and technology (1.16%).  Only telcos and tech are held overweight with…

In this report, we look at financials positioning among global equity funds which, in line with global EM funds, are sitting at their highest levels in over 7 years.  Despite this record exposure, there has been a clear rotation out of US financial stocks and into EMEA and Asian stocks.  The latest positioning data shows India as the largest financial overweight among our group of 149 global equity funds, with the US moving from an overweight holding to underweight in the space of the last 12 months.

In this report, we look at financials positioning among global equity funds which, in line with global EM funds, are sitting at their highest levels in over 7 years.  Despite this record exposure, there has been a clear rotation out of US financial stocks and into EMEA and Asian stocks.  The latest positioning data shows India as the largest financial overweight among our group of 149 global equity funds, with the US moving from an overweight holding to underweight in the space of the last 12 months.

Global Financials Positioning:  Funds Hit Maximum Overweight - Rotate Out of USA, into EMEA/Asia

Cross-Asset Strategist & Quantitative Analyst, Pennock Idea Hub

Cam Hui

Cross-Asset Strategist & Quantitative Analyst

Pennock Idea Hub

We are creators of independent equity research. The Pennock Idea Hub team are veterans of the investment industry. Much of our team has spent their careers at Merrill Lynch, Deutsche Bank, RBC Capital Markets and Wood Gundy. We have taken every aspect of research back to the studs and returned to first principles. The Pennock Idea Hub marries the interests of the sell and buy side. 

We offer the best research for institutional investors by:

-Only publishing research from veteran analysts
-Eliminate the inherent conflicts of the traditional sell and buy side relationship
-Ensure our team is always accessible; collaboration with clients nurtures our collective success

Cross-Asset & Quantitative Research

As the market looks ahead in 2018, the global economy appears to be undergoing a synchronized upturn. Our base-case scenario still calls for an equity market blow-off, followed by a Fed-induced slowdown (see our publication, <a href="https://humblestudentofthemarkets.com/wp-content/uploads/2017/12/20171219-5-steps-wheres-the-stumble.pdf" target="_blank">Five Steps, Where’s the Stumble?</a>). In the midst of the celebration, American trade policy is starting to appear as a risk to the equity bull.However, 2018 may bring “full Trump”, with a dramatic change in policy tone after the legislative tax cut victory. Both the news site Axios and the Washington Post reported that the Trump Administration is preparing to announce a series of trade sanctions on China in January.While we are not forecasting a trade war-induced bear market, good investors engage in scenario modeling in order to be prepared for different possibilities. We explore the ramifications of a trade war as an exercise in preparation.

As the market looks ahead in 2018, the global economy appears to be undergoing a synchronized upturn. Our base-case scenario still calls for an equity market blow-off, followed by a Fed-induced slowdown (see our publication, Five Steps, Where’s the Stumble?). In the midst of the celebration, American trade policy is starting to appear as a risk to the equity bull.However, 2018 may bring “full Trump”, with a dramatic change in policy tone after the legislative tax cut victory. Both the news site Axios and the Washington Post reported that the Trump Administration is preparing to announce a series of trade sanctions on China in January.While we are not forecasting a trade war-induced bear market, good investors engage in scenario modeling in order to be prepared for different possibilities. We explore the ramifications of a trade war as an exercise in preparation.

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 largest ETF inflows in the region have been in Taiwan as investors rush into indices that have higher dividend yields.</li>
<li>China had large inflows last year as markets floundered. With markets trading in a range over the last 6 months, those flows have reversed in Q1 this year.</li>
<li>Australia has seen net inflows this year, while there have been net outflows from Hong Kong, India and Japan focused ETFs.</li>
</ul>


The largest ETF inflows in the region have been in Taiwan as investors rush into indices that have higher dividend yields.
China had large inflows last year as markets floundered. With markets trading in a range over the last 6 months, those flows have reversed in Q1 this year.
Australia has seen net inflows this year, while there have been net outflows from Hong Kong, India and Japan focused ETFs.


ETF Flows in Q1: Inflows for Taiwan, Outflows for China

United States

iShares MSCI ACWI ETF is an exchange-traded fund incorporated in the USA. The ETF tracks the performance of the MSCI All Country World Index and holds over 1200 equities in developed and emerging markets. The ETF weights its holdings using a representative sampling indexing strategy, generally investing at least 90% of its assets in the underlying index.

iShares MSCI ACWI ETF (ACWI US)

🇯🇵 JAPAN MARKET UPDATE • Hit the BoJ Bid and Wait for the Absolute Value Opportunity

TAKE PROFITS - Japanese equities, as measured by the TOPIX Index, rose by 1.7% over the last week in Yen terms and fell by only 0.86% in US...

Campbell Gunn

Global Funds - Japan Momentum Stalls

A brief note on how rising allocations in Japan among global funds have stalled since the start of the year. Latest Positioning OverviewJapan's...

Steven Holden

Global Financials Positioning: Funds Hit Maximum Overweight - Rotate Out of USA, into EMEA/Asia

In this report, we look at financials positioning among global equity funds which, in line with global EM funds, are sitting at their highest...

Steven Holden

Modeling Trump's Trade Wars

As the market looks ahead in 2018, the global economy appears to be undergoing a synchronized upturn. Our base-case scenario still calls for an...

Cam Hui

ETF Flows in Q1: Inflows for Taiwan, Outflows for China

Taiwan has taken in the largest inflows in Q1 while the largest outflows are in China. The switch from EEM to IEMG continues. Redemptions from EMXC...

Brian Freitas