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)

Exposure in Aluminium stocks has moved higher over the last 12-months.  Just over a fifth of the EM funds in our analysis now have exposure to the Aluminium industry group, up from 7.7% in June of last year.  However, at just 0.12% average weight, exposure levels are far from convincing.Ten stocks make up the Emerging Markets Aluminium Industry group, led by <a href="https://www.smartkarma.com/entities/china-hongqiao-group-ltd" target="_blank" data-smartkarma-citation="entities:1909:1" rel="noopener">China Hongqiao (1378 HK)</a> and <a href="https://www.smartkarma.com/entities/aluminum-corporation-of-china-limited" target="_blank" data-smartkarma-citation="entities:6884:1" rel="noopener">Aluminum Corporation Of China (2600 HK)</a>, held by 10.8% and 5.2% of managers respectively.The image of Aluminium from an ESG perspective doesn't appear to be a major issue and hasn't deterred the ESG focused strategies in our analysis from investing.  In fact, 26.3% of ESG funds have exposure to the Aluminium Industry compared to 19% of non-ESG funds.But we can't escape the fact that across all of the stocks in the Aluminium Industry group, not one has managed to attract an investment of above 2% in any of the 250 active GEM funds in our analysis.  At this stage, active EM managers are only 'dipping their toes in', rather than risking a high conviction allocation.

Exposure in Aluminium stocks has moved higher over the last 12-months.  Just over a fifth of the EM funds in our analysis now have exposure to the Aluminium industry group, up from 7.7% in June of last year.  However, at just 0.12% average weight, exposure levels are far from convincing.Ten stocks make up the Emerging Markets Aluminium Industry group, led by China Hongqiao (1378 HK) and Aluminum Corporation Of China (2600 HK), held by 10.8% and 5.2% of managers respectively.The image of Aluminium from an ESG perspective doesn't appear to be a major issue and hasn't deterred the ESG focused strategies in our analysis from investing.  In fact, 26.3% of ESG funds have exposure to the Aluminium Industry compared to 19% of non-ESG funds.But we can't escape the fact that across all of the stocks in the Aluminium Industry group, not one has managed to attract an investment of above 2% in any of the 250 active GEM funds in our analysis.  At this stage, active EM managers are only 'dipping their toes in', rather than risking a high conviction allocation.

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 analysed the earning revision of component stocks of CSI 100 in the past month.</li>
<li>We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.</li>
<li>We highlighted EPS revision on POLY DEVELOPMENTS, CHINA PETROLEUM AND CHEMICAL, Longi Green, EOPTOLINK TECHNOLOGY, SATELLITE CHEMICAL, HENGLI PETROCHEMICAL, CHONGQING ZHIFEI BIOLOGICAL PRODUCTS, YUNNAN ALUMINIUM.</li>
</ul>


We analysed the earning revision of component stocks of CSI 100 in the past month.
We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.
We highlighted EPS revision on POLY DEVELOPMENTS, CHINA PETROLEUM AND CHEMICAL, Longi Green, EOPTOLINK TECHNOLOGY, SATELLITE CHEMICAL, HENGLI PETROCHEMICAL, CHONGQING ZHIFEI BIOLOGICAL PRODUCTS, YUNNAN ALUMINIUM.


CSI 100 Index Earning Revision (Jun): POLY DEVELOPMENTS, CHINA PETROLEUM AND CHEMICAL

<ul>
<li>We analysed the earning revision of component stocks of CSI 300 in the past month.</li>
<li>We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.</li>
<li>We highlighted EPS revision on Xinjiang Daqo, TONGWEI, SERES, CHINA VANKE, Wuliangye, YONYOU NETWORK TECHNOLOGY, BANK OF BEIJING, CSSC.</li>
</ul>


We analysed the earning revision of component stocks of CSI 300 in the past month.
We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.
We highlighted EPS revision on Xinjiang Daqo, TONGWEI, SERES, CHINA VANKE, Wuliangye, YONYOU NETWORK TECHNOLOGY, BANK OF BEIJING, CSSC.


CSI 300 Index Earning Revision (May): Xinjiang Daqo, TONGWEI, SERES, CHINA VANKE, Wuliangye, CSSC

<ul>
<li>We analysed the earning revision of component stocks of CSI 300 in the past month.</li>
<li>We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.</li>
<li>We highlighted EPS revision on ZIJIN MINING, YUNNAN ALUMINIUM, PING AN INSURANCE, Xinjiang Daqo, TONGWEI, PETROCHINA, ZHONGJI INNOLIGHT.</li>
</ul>


We analysed the earning revision of component stocks of CSI 300 in the past month.
We tabulated stocks with the top impact on index's EPS, stocks' EPS revision, and revenue revision.
We highlighted EPS revision on ZIJIN MINING, YUNNAN ALUMINIUM, PING AN INSURANCE, Xinjiang Daqo, TONGWEI, PETROCHINA, ZHONGJI INNOLIGHT.


CSI 300 Index Earning Revision (Mar): ZIJIN MINING, YUNNAN ALUMINIUM, PING AN INSURANCE

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

GigaDevice Semiconductor  / Index Rebalance

<ul>
<li>With the review period complete, there are 5 non-constituents in direct inclusion zone and 5 current constituents in direct deletion zone. However, as usual, there will be discretion used.</li>
<li>5 changes result in a one-way turnover of 6.4%, leading to a round-trip trade of CNY 13bn (US$1.9bn). Index arb balances will increase the impact on the stocks.</li>
<li>Impact on the forecast adds varies between 0.2-0.3x ADV while the impact on the forecast deletes is a lot higher at 0.5-1.9x ADV. Index arb balance will further increase flow/impact.</li>
</ul>


With the review period complete, there are 5 non-constituents in direct inclusion zone and 5 current constituents in direct deletion zone. However, as usual, there will be discretion used.
5 changes result in a one-way turnover of 6.4%, leading to a round-trip trade of CNY 13bn (US$1.9bn). Index arb balances will increase the impact on the stocks.
Impact on the forecast adds varies between 0.2-0.3x ADV while the impact on the forecast deletes is a lot higher at 0.5-1.9x ADV. Index arb balance will further increase flow/impact.


SSE50 Index Rebalance Preview: Forecast Changes & Borderline Names for June

China

Yunnan Aluminium Co., Ltd. primarily manufactures and markets aluminum products. The Company's products include aluminum ingots, aluminum rolls, and aluminum alloys.

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Yunnan Aluminium Co Ltd A (000807 CH)

EM Aluminium: Early Stage Move

Aluminium exposure has moved higher over the last 12-months. Just over a fifth of the EM funds in our analysis now have exposure to the Aluminium...

Steven Holden

CSI 100 Index Earning Revision (Jun): POLY DEVELOPMENTS, CHINA PETROLEUM AND CHEMICAL

We analyzed CSI 100's consensus for Jun 2026 and highlighted changes of EPS in POLY DEVELOPMENTS (600048 CH), CHINA PETROLEUM AND CHEMICAL (600028...

Ke Yan, CFA, FRM

CSI 300 Index Earning Revision (May): Xinjiang Daqo, TONGWEI, SERES, CHINA VANKE, Wuliangye, CSSC

We analyzed CSI 300's consensus for May 2026 and highlighted changes of EPS in Xinjiang Daqo, TONGWEI, SERES, CHINA VANKE, Wuliangye, YONYOU...

Ke Yan, CFA, FRM

CSI 300 Index Earning Revision (Mar): ZIJIN MINING, YUNNAN ALUMINIUM, PING AN INSURANCE

We analyzed CSI 300's consensus for Mar 2026 and highlighted changes of EPS in ZIJIN MINING, YUNNAN ALUMINIUM, PING AN INSURANCE, Xinjiang Daqo,...

Ke Yan, CFA, FRM

SSE50 Index Rebalance Preview: Forecast Changes & Borderline Names for June

There could be 5 changes. Estimated one-way turnover is 6.4% and round-trip trade is CNY 13bn (US$1.9bn). Index arb balance will increase flow and...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)