Global Equities, Multi-Asset PM, Dantes Outlook

Damanick Dantes, CMT

Global Equities, Multi-Asset PM

Dantes Outlook

We invest over a full market cycle, using multi-asset portfolios tailored to each global client, from individuals to family offices.

Built to Endure

Cross Asset Strategy

<ul>
<li>Participation is broadening across markets as cap-weighted U.S. leadership narrows to a handful of stocks.</li>
<li>We stay invested in core trends and see room for emerging opportunities like China ADRs, which saw an upgrade. See our sample portfolio.</li>
<li>For Asia-focused investors, the dollar's softening is concentrated against EM Asia currencies and the carry complex despite the dollar index's bias against EUR.</li>
</ul>


Participation is broadening across markets as cap-weighted U.S. leadership narrows to a handful of stocks.
We stay invested in core trends and see room for emerging opportunities like China ADRs, which saw an upgrade. See our sample portfolio.
For Asia-focused investors, the dollar's softening is concentrated against EM Asia currencies and the carry complex despite the dollar index's bias against EUR.


Cross-Asset Rotations: China, Asia FX, Commodities, and More

Equity Derivatives and Volatility Specialist, Clifton Derivatives

John Ley

Equity Derivatives and Volatility Specialist

Clifton Derivatives

Independent derivative and volatility research firm focusing on events/catalysts, earnings, relative value and cross asset volatility strategies.

Equity Derivatives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899" rel="noopener">Hang Seng Index (HSI INDEX)</a>, <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-index" target="_blank" data-smartkarma-citation="entities:22906" rel="noopener">Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909" rel="noopener">Nikkei 225 (NKY INDEX)</a> all have elevated implied vols vs their peers and vs historical observations for October.</li>
<li>
<a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617" rel="noopener">NIFTY Index (NIFTY INDEX)</a> , <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886" rel="noopener">S&amp;P 500 INDEX (SPX INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a>  implied vols are on the low end of what is typically realized in October.</li>
<li>Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.</li>
</ul>



Hang Seng Index (HSI INDEX), Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY) and Nikkei 225 (NKY INDEX) all have elevated implied vols vs their peers and vs historical observations for October.

NIFTY Index (NIFTY INDEX) , S&amp;P 500 INDEX (SPX INDEX) and S&amp;P/ASX 200 (AS51 INDEX)  implied vols are on the low end of what is typically realized in October.
Most markets see price weakness in the 3rd week of the month with realized volatility underperforming over the back half of the month.


EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

<ul>
<li>U.S. small caps, metals and mining stocks, and gold were key detractors within the portfolio suite, offsetting positive allocation effects in our underweight fixed income exposure. </li>
<li>Aggressive portfolios maintained their outperformance YTD driven by strong selections within the equity asset class.</li>
<li>Positioning changes include commodity diversification beyond gold, adding Japanese equities, and maintaining an underweight to bonds.</li>
</ul>


U.S. small caps, metals and mining stocks, and gold were key detractors within the portfolio suite, offsetting positive allocation effects in our underweight fixed income exposure. 
Aggressive portfolios maintained their outperformance YTD driven by strong selections within the equity asset class.
Positioning changes include commodity diversification beyond gold, adding Japanese equities, and maintaining an underweight to bonds.


Portfolio Update: Broader Commodity Positioning, Narrow Equity Leadership

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>Over US$55bn has been redeemed from mainland China ETFs over the last 3 weeks. Headline ETFs take the largest hit while there have been inflows to sector ETFs.</li>
<li>The large-scale redemptions across a variety of indices point to the National Team unwinding holdings that have been built up over the last year. </li>
<li>Margin trading rules have been tightened, and this could be another way of ensuring that markets do not run-up too far in the short-term.</li>
</ul>


Over US$55bn has been redeemed from mainland China ETFs over the last 3 weeks. Headline ETFs take the largest hit while there have been inflows to sector ETFs.
The large-scale redemptions across a variety of indices point to the National Team unwinding holdings that have been built up over the last year. 
Margin trading rules have been tightened, and this could be another way of ensuring that markets do not run-up too far in the short-term.


China ETF: Huge Outflows; National Team Unwinding?

<ul>
<li>
Offshore relative value: We tested 12-month relative returns across onshore vs. offshore, and both vs. EM. Offshore China is the oversold leg, driven by its own weakness rather than onshore strength. </li>
<li>
AI rotation: The performance gap reflects capital favoring the onshore industrial upgrades vs. offshore consumption. Re-rating requires offshore earnings pickup regardless of how cheap the multiple looks.</li>
<li>
Stock selection:<a href="https://www.smartkarma.com/entities/msci-china-index" target="_blank" data-smartkarma-citation="entities:22895:1" rel="noopener">MSCI China Index (MXCN INDEX)</a> is dominated by <a href="https://www.smartkarma.com/entities/tencent-holdings-ltd" target="_blank" data-smartkarma-citation="entities:26:1" rel="noopener">Tencent (700 HK)</a> and <a href="https://www.smartkarma.com/entities/alibaba-group-holding-limited" target="_blank" data-smartkarma-citation="entities:28434:1" rel="noopener">Alibaba (9988 HK)</a> while dispersion across the index is wide. We built an investable bucket.
</li>
</ul>



Offshore relative value: We tested 12-month relative returns across onshore vs. offshore, and both vs. EM. Offshore China is the oversold leg, driven by its own weakness rather than onshore strength. 

AI rotation: The performance gap reflects capital favoring the onshore industrial upgrades vs. offshore consumption. Re-rating requires offshore earnings pickup regardless of how cheap the multiple looks.

Stock selection:MSCI China Index (MXCN INDEX) is dominated by Tencent (700 HK) and Alibaba (9988 HK) while dispersion across the index is wide. We built an investable bucket.



China Equities: Relative Upside in Offshore Vs. Onshore Stocks

China

The CSI 300 Index is a free-float weighted index that consists of 300 A-share stocks listed on the Shanghai or Shenzhen Stock Exchanges. Index has a base level of 1000 on 12/31/2004. * Due to our agreement with CSI, shares in the index is restricted, please visit SSIS<go> for more information and access. This ticker holds prices fed from Shenzhen Stock Exchange.

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

Cross-Asset Rotations: China, Asia FX, Commodities, and More

We scanned a wide universe to establish core and emerging trend positions in US, Chinese, and Japanese equities, commodities, and more.

Damanick Dantes, CMT

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Portfolio Update: Broader Commodity Positioning, Narrow Equity Leadership

Full breakdown of our portfolio suite, performance, and new positioning. We broadened our commodity positioning, added Japan, and maintained a core...

Damanick Dantes, CMT

China ETF: Huge Outflows; National Team Unwinding?

Our numbers indicate over US$55bn of redemptions from mainland China ETFs in the last 3 weeks. All fingers point to the National Team and this...

Brian Freitas

China Equities: Relative Upside in Offshore Vs. Onshore Stocks

Offshore China is improving relative to onshore China. We anticipate a re-ratings cycle and selected a basket of offshore stocks for active returns.

Damanick Dantes, CMT

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Cross-Asset Rotations: China, Asia FX, Commodities, and More

We scanned a wide universe to establish core and emerging trend positions in US, Chinese, and Japanese equities, commodities, and more.

Damanick Dantes, CMT

EQD | Asia Monthly Vol Roadmap: Elevated IV's in CSI300 and Hang Seng Present Tactical Opportunity

​Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...

John Ley

Portfolio Update: Broader Commodity Positioning, Narrow Equity Leadership

Full breakdown of our portfolio suite, performance, and new positioning. We broadened our commodity positioning, added Japan, and maintained a core...

Damanick Dantes, CMT

China ETF: Huge Outflows; National Team Unwinding?

Our numbers indicate over US$55bn of redemptions from mainland China ETFs in the last 3 weeks. All fingers point to the National Team and this...

Brian Freitas

China Equities: Relative Upside in Offshore Vs. Onshore Stocks

Offshore China is improving relative to onshore China. We anticipate a re-ratings cycle and selected a basket of offshore stocks for active returns.

Damanick Dantes, CMT

Implied volatility levels across key Asian indices present several tactical opportunities this month for outright or pairs trades...