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

Russia is the largest country overweight among active Emerging Market funds.  The average holding weight of 4.11% represents an overweight of 1.04% above the iShares MSCI Emerging Markets ETF weight (cash adjusted).In the wake of new US sanctions and troops gathering on the Ukraine border, the key stock risks to active investors are overweight positions in <a href="https://www.smartkarma.com/entities/sberbank-of-russia-pjsc" target="_blank" data-smartkarma-citation="entities:24142:1" rel="noopener">Sberbank Of Russia Pjsc (SBER LI)</a>, <a href="https://www.smartkarma.com/entities/lukoil-pjsc-ea76a137-f664-4066-ba45-32e13c8b007e" target="_blank" data-smartkarma-citation="entities:28476:1" rel="noopener">LUKOIL PJSC (LUKOY US)</a> and <a href="https://www.smartkarma.com/entities/yandex-nv-a" target="_blank" data-smartkarma-citation="entities:414:1" rel="noopener">Yandex (YNDX US)</a>, with over 80% of the funds in our analysis holding one or more of these stocks.The 2014 annexation of Crimea provides a useful insight in to the behavior of active investors during a period of political uncertainty.  EM investors were quick to react, reducing Russia exposure by 4.26% over the course of the year and over a quarter of funds moving from overweight to underweight.  Whether this situation reaches the heights of 2014 remains to be seen, but do not underestimate an active manager's willingness to cut or reduce allocations when the investment case becomes muddied by political events.

Russia is the largest country overweight among active Emerging Market funds.  The average holding weight of 4.11% represents an overweight of 1.04% above the iShares MSCI Emerging Markets ETF weight (cash adjusted).In the wake of new US sanctions and troops gathering on the Ukraine border, the key stock risks to active investors are overweight positions in Sberbank Of Russia Pjsc (SBER LI), LUKOIL PJSC (LUKOY US) and Yandex (YNDX US), with over 80% of the funds in our analysis holding one or more of these stocks.The 2014 annexation of Crimea provides a useful insight in to the behavior of active investors during a period of political uncertainty.  EM investors were quick to react, reducing Russia exposure by 4.26% over the course of the year and over a quarter of funds moving from overweight to underweight.  Whether this situation reaches the heights of 2014 remains to be seen, but do not underestimate an active manager's willingness to cut or reduce allocations when the investment case becomes muddied by political events. 

Russia:  Overweight Risk as Ukraine Tensions Rise

Russia

LUKOIL PJSC explores for, produces, refines, transports, and markets oil and gas mainly from Western Siberia. The Company also manufactures petrochemicals, fuels, and other petroleum products. LUKOIL operates refineries, and gasoline filling stations in Russia and the United States. The Company transports oil through pipelines, and petroleum products with its fleet of ships.

Russia: Overweight Risk as Ukraine Tensions Rise

Russia is the largest overweight in EM as Ukraine tensions rise. Sberbank, Lukoil and Yandex are the largest stock overweights and the key risks...

Steven Holden