Morgan Stanley-Asia Quantitative Strategy Positions of Active Long-Only Ma...-109395005
VIP专享
M
Asia Quantitative Strategy | Asia Pacific
Positions of Active Long-Only
Managers in Asia/EM
We publish our July 2024 Asia/EM positioning guide to
summarize allocation changes at the stock, market and sector
level over time from a regional perspective. On top of that, we
share the distribution of active weights and compare the
allocation difference between US and EU managers.
Jason Ng, CFA
!"#!$%& #'!( & )*++),)-)),*
./01!
Daniel K Blake
23'
"#!4#5%& #'!( & 6*6)7,-6*89
Exhibit 1 : :2(& ;
<=( >?;;4@#; AB>
CD;E +F+,
-0.60%
-0.40%
-0.20%
0.00%
0.20%
0.40%
0.60%
Taiwan China Korea Brazil India Mexico
Regional Rebalancing in June 2024- Top vs Bottom 3
! "#$
""% " &'"()# ##
*+#,#-##
According to our bottom-up fund position analysis of the largest 80 EM active long-
only mutual funds (with average fund AUM at US$3.2bn), we see signs of regional
rebalancing. Overweights in Mexico, India and Brazil were trimmed while
underweights in China and Taiwan were reduced ( Exhibit 1 ). Korea's positioning is
now neutral vs benchmark ( Exhibit 4 ) . As of June month-end, Semis/Equipment
remained the most crowded industry group with 3.5% active weight, up from May's
level and back to 1Q 2024 level ( Exhibit 10 ).
In Japan, active managers increased active weights in Keyence and Mitsui & Co but
trimmed Sony and Mitsubishi UFJ Financial Group in June. Hedge fund managers also
added shorts in Financials while covering Energy shorts July MTD. Short interest was
added most on Mitsubishi UFJ Financial Group at security level ( Exhibit 17 ).
Morgan Stanley does and seeks to do business with
companies covered in Morgan Stanley Research. As a result,
investors should be aware that the firm may have a conflict of
interest that could affect the objectivity of Morgan Stanley
Research. Investors should consider Morgan Stanley
Research as only a single factor in making their investment
decision.
For analyst certification and other important disclosures,
refer to the Disclosure Section, located at the end of this
report.
+= Analysts employed by non-U.S. affiliates are not registered
with FINRA, may not be associated persons of the member
and may not be subject to FINRA restrictions on
communications with a subject company, public appearances
and trading securities held by a research analyst account.
Key Takeaways
US$1.6bn outflow from active GEM funds and US$280m outflow from GEM
passive products
GEM active managers rotated from Mexico, India, Brazil into Taiwan, China and
Korea in June
As of June, Semis/Equipment remained the most concentrated industry group -
active weight at 3.5%, back up from May and similar to Q1 2024
In Japan, shorts were added in Financials but covered in Energy July MTD
July 24, 2024 09:01 AM GMT
M
2
Fund Position Changes – Top 50 Mutual Fund Holdings
Exhibit 2: A G*FD #;& # - #'2(&;(D++F+,
Ticker Company Name GICS Industry Group
Portfolio
Composite
Weight
MSCI
EM
Index
Weight
Active
Weight
Active
Weight
Change
2Q24
Portfolio
Composite
Weight
Active
Weight
Active
Weight
Change
2Q24
Portfolio
Composite
Weight
Active
Weight
Active
Weight
Change
2Q24
2330-TW Taiwan Semiconductor Manufacturing Semiconductors & Semiconductor Equipment 12.2% 9.7% 2.5% -0.5% 11.8% 2.0% -1.5% 12.4% 2.7% -0.1%
005930-KR Samsung Electronics Technology Hardware & Equipment 5.5% 4.2% 1.3% -0.1% 6.2% 1.9% 0.0% 5.3% 1.1% -0.1%
700-HK Tencent Holdings Media & Entertainment 5.2% 4.2% 1.0% 0.5% 5.2% 1.0% 0.2% 5.2% 1.0% 0.6%
000660-KR SK hynix Semiconductors & Semiconductor Equipment 2.1% 1.2% 0.8% 0.2% 2.3% 1.1% 0.1% 2.0% 0.8% 0.2%
500180-IN HDFC Bank Banks 2.0% 0.8% 1.2% -0.4% 1.9% 1.2% -0.4% 2.0% 1.3% -0.3%
500325-IN Reliance Industries Energy 1.7% 1.5% 0.2% 0.0% 1.4% -0.1% 0.2% 1.8% 0.3% 0.0%
9988-HK Alibaba Group Holding Consumer Discretionary Distribution & Retail 1.6% 1.9% -0.3% -0.3% 1.8% 0.0% -0.4% 1.5% -0.4% -0.2%
BBCA-ID Bank Central Asia Banks 1.3% 0.4% 0.8% 0.0% 1.2% 0.7% -0.2% 1.3% 0.9% 0.0%
532174-IN ICICI Bank Banks 1.3% 1.0% 0.3% 0.1% 1.8% 0.8% 0.2% 1.1% 0.1% 0.0%
2454-TW MediaTek Semiconductors & Semiconductor Equipment 1.2% 0.9% 0.4% 0.2% 1.6% 0.7% 0.1% 1.1% 0.2% 0.2%
PETR4-BR Petroleo Bras Pfd Energy 1.2% 0.8% 0.4% -0.1% 1.1% 0.3% 0.1% 1.2% 0.4% -0.1%
PDD-US PDD Holdings ADR A Consumer Discretionary Distribution & Retail 0.9% 1.1% -0.1% 0.1% 0.8% -0.3% 0.2% 1.0% 0.0% 0.1%
500247-IN Kotak Mahindra Bank Banks 0.9% 0.3% 0.6% -0.3% 0.3% 0.0% 0.0% 1.1% 0.7% -0.3%
532454-IN Bharti Airtel Telecommunication Services 0.9% 0.5% 0.3% 0.1% 0.6% 0.0% -0.1% 1.0% 0.5% 0.1%
600519-CN Kweichow Moutai A Food Beverage & Tobacco 0.9% 0.2% 0.7% 0.0% 0.6% 0.4% 0.0% 1.0% 0.8% 0.1%
532540-IN Tata Consultancy Services Software & Services 0.8% 0.6% 0.3% -0.1% 0.6% 0.1% 0.0% 0.9% 0.3% -0.2%
GFNORTEO-MX Grupo Financiero Banorte O Banks 0.8% 0.3% 0.6% -0.2% 1.0% 0.8% -0.3% 0.7% 0.5% -0.1%
ITUB4-BR Itauunibanco Pfd N1 Banks 0.8% 0.4% 0.4% 0.0% 0.9% 0.5% -0.1% 0.7% 0.4% 0.1%
WALMEX-MX Wal-Mart de Mexico Consumer Staples Distribution & Retail 0.8% 0.2% 0.5% -0.2% 0.7% 0.4% -0.2% 0.8% 0.6% -0.2%
3690-HK Meituan B Consumer Services 0.8% 1.0% -0.2% 0.2% 0.5% -0.5% 0.0% 0.9% -0.1% 0.2%
9999-HK NetEase Media & Entertainment 0.7% 0.5% 0.3% 0.0% 0.9% 0.4% -0.2% 0.7% 0.2% 0.1%
500875-IN ITC Ltd Food Beverage & Tobacco 0.7% 0.2% 0.5% 0.0% 0.0% -0.2% 0.0% 1.0% 0.8% 0.0%
532215-IN Axis Bank Banks 0.7% 0.5% 0.3% 0.1% 1.0% 0.6% 0.1% 0.6% 0.1% 0.0%
GMEXICOB-MX Grupo Mexico B Materials 0.7% 0.2% 0.4% -0.2% 0.5% 0.3% -0.1% 0.7% 0.5% -0.2%
9961-HK Trip.com Group Consumer Services 0.6% 0.3% 0.3% 0.0% 0.5% 0.1% 0.0% 0.7% 0.3% 0.0%
FEMSAUBD-MX Fomento Econom Uts Food Beverage & Tobacco 0.6% 0.3% 0.3% -0.1% 0.4% 0.1% -0.1% 0.7% 0.4% 0.0%
2318-HK Ping An Insurance Group H Insurance 0.5% 0.5% 0.1% 0.1% 0.6% 0.1% 0.0% 0.5% 0.1% 0.1%
BBRI-ID Bank Rakyat Indonesia B Banks 0.5% 0.3% 0.3% -0.1% 0.8% 0.5% -0.2% 0.5% 0.2% -0.1%
BMRI-ID Bank Mandiri Banks 0.5% 0.2% 0.3% 0.1% 0.3% 0.1% 0.0% 0.6% 0.4% 0.1%
500209-IN Infosys Software & Services 0.5% 0.8% -0.3% -0.2% 0.8% 0.0% -0.1% 0.4% -0.4% -0.2%
000270-KR Kia Automobiles & Components 0.5% 0.3% 0.2% 0.0% 0.9% 0.6% 0.2% 0.3% 0.0% 0.0%
CPI-ZA Capitec Bank Holdings Banks 0.5% 0.2% 0.3% 0.0% 0.4% 0.2% 0.0% 0.5% 0.4% 0.0%
2317-TW Hon Hai Precision Technology Hardware & Equipment 0.5% 1.1% -0.6% -0.1% 0.4% -0.7% -0.2% 0.5% -0.6% 0.0%
939-HK China Construction Bank H Banks 0.5% 0.9% -0.5% -0.1% 0.4% -0.6% -0.1% 0.5% -0.4% -0.1%
000333-CN Midea Group A Consumer Durables & Apparel 0.5% 0.0% 0.5% -0.1% 0.6% 0.6% 0.0% 0.4% 0.4% -0.1%
NPN-ZA Naspers N Consumer Discretionary Distribution & Retail 0.5% 0.5% 0.0% 0.0% 0.9% 0.4% 0.0% 0.3% -0.1% 0.0%
2308-TW Delta Electronics Technology Hardware & Equipment 0.5% 0.3% 0.2% 0.1% 0.6% 0.3% 0.0% 0.4% 0.1% 0.1%
BAP-US Credicorp Banks 0.5% 0.1% 0.3% 0.0% 0.2% 0.1% 0.0% 0.5% 0.4% -0.1%
543287-IN Macrotech Developers Real Estate Management & Development 0.4% 0.1% 0.4% 0.1% 0.1% 0.1% 0.1% 0.5% 0.5% 0.2%
543220-IN Max Healthcare Institute Health Care Equipment & Services 0.4% 0.1% 0.3% -0.1% 0.2% 0.1% 0.0% 0.5% 0.4% -0.1%
VALE3-BR Vale Materials 0.4% 0.5% -0.1% -0.2% 0.1% -0.4% 0.0% 0.5% 0.0% -0.3%
BPAC11-BR Banco BTG Pactual Financial Services 0.4% 0.1% 0.3% 0.1% 0.4% 0.3% 0.1% 0.4% 0.3% 0.0%
500034-IN Bajaj Finance Financial Services 0.4% 0.3% 0.1% 0.1% 0.5% 0.1% 0.3% 0.4% 0.1% 0.0%
RADL3-BR Raia Drogasil Consumer Staples Distribution & Retail 0.4% 0.1% 0.3% 0.0% 0.4% 0.4% 0.0% 0.4% 0.3% -0.1%
005380-KR Hyundai Motor Automobiles & Components 0.4% 0.5% -0.1% 0.0% 0.5% 0.0% 0.1% 0.4% -0.1% 0.0%
105560-KR KB Financial Group Banks 0.4% 0.3% 0.1% 0.1% 0.7% 0.4% 0.2% 0.3% 0.0% 0.1%
500520-IN Mahindra & Mahindra Automobiles & Components 0.4% 0.4% -0.1% 0.0% 0.3% -0.1% -0.1% 0.4% 0.0% 0.0%
YUMC-US Yum China Holdings Consumer Services 0.4% 0.2% 0.2% -0.2% 0.2% 0.1% -0.1% 0.4% 0.3% -0.2%
FSR-ZA FirstRand Financial Services 0.3% 0.3% 0.0% -0.1% 0.3% 0.0% -0.3% 0.4% 0.1% 0.0%
500510-IN Larsen & Toubro Capital Goods 0.3% 0.4% -0.1% -0.1% 0.1% -0.3% 0.0% 0.4% 0.0% -0.1%
International Funds - UCITS
International & US Funds
US Funds
H &G ;(# ;( &GDDIJ( <D(>G#D #'K(D"(# LIBBB!& #'!( &M(D;(# ! (N >
H(> #'K(D!$ N" <7F>+F+,!1#( (<' B #;#5 (D<##I#!O<;G ;I&D ; # ';(I;( -D ; # ' <O
H;#'!
M
./0123124565751/89 3
Exhibit 3: A G*FD #;& # - #'2(&;(DPA"+F+,
Ticker Company Name GICS Industry Group
Portfolio
Composite
Weight
MSCI
EM
Index
Weight
Active
Weight
Active
Weight
Change
YTD 24
Portfolio
Composite
Weight
Active
Weight
Active
Weight
Change
YTD 24
Portfolio
Composite
Weight
Active
Weight
Active
Weight
Change
YTD 24
2330-TW Taiwan Semiconductor Manufacturing Semiconductors & Semiconductor Equipment 12.2% 9.7% 2.5% 0.2% 11.8% 2.0% -1.1% 12.4% 2.7% 0.7%
005930-KR Samsung Electronics Technology Hardware & Equipment 5.5% 4.2% 1.3% 0.3% 6.2% 1.9% 0.1% 5.3% 1.1% 0.4%
700-HK Tencent Holdings Media & Entertainment 5.2% 4.2% 1.0% 0.8% 5.2% 1.0% 0.7% 5.2% 1.0% 0.8%
000660-KR SK hynix Semiconductors & Semiconductor Equipment 2.1% 1.2% 0.8% 0.4% 2.3% 1.1% 0.6% 2.0% 0.8% 0.4%
500180-IN HDFC Bank Banks 2.0% 0.8% 1.2% -1.2% 1.9% 1.2% -1.2% 2.0% 1.3% -1.2%
500325-IN Reliance Industries Energy 1.7% 1.5% 0.2% -0.1% 1.4% -0.1% 0.3% 1.8% 0.3% -0.2%
9988-HK Alibaba Group Holding Consumer Discretionary Distribution & Retail 1.6% 1.9% -0.3% -0.3% 1.8% 0.0% -0.3% 1.5% -0.4% -0.4%
BBCA-ID Bank Central Asia Banks 1.3% 0.4% 0.8% 0.0% 1.2% 0.7% -0.2% 1.3% 0.9% 0.1%
532174-IN ICICI Bank Banks 1.3% 1.0% 0.3% 0.1% 1.8% 0.8% 0.2% 1.1% 0.1% 0.0%
2454-TW MediaTek Semiconductors & Semiconductor Equipment 1.2% 0.9% 0.4% 0.3% 1.6% 0.7% 0.4% 1.1% 0.2% 0.3%
PETR4-BR Petroleo Bras Pfd Energy 1.2% 0.8% 0.4% -0.1% 1.1% 0.3% -0.1% 1.2% 0.4% -0.1%
PDD-US PDD Holdings ADR A Consumer Discretionary Distribution & Retail 0.9% 1.1% -0.1% 0.1% 0.8% -0.3% 0.4% 1.0% 0.0% -0.1%
500247-IN Kotak Mahindra Bank Banks 0.9% 0.3% 0.6% -0.3% 0.3% 0.0% 0.0% 1.1% 0.7% -0.4%
532454-IN Bharti Airtel Telecommunication Services 0.9% 0.5% 0.3% 0.1% 0.6% 0.0% -0.1% 1.0% 0.5% 0.2%
600519-CN Kweichow Moutai A Food Beverage & Tobacco 0.9% 0.2% 0.7% -0.1% 0.6% 0.4% -0.1% 1.0% 0.8% -0.1%
532540-IN Tata Consultancy Services Software & Services 0.8% 0.6% 0.3% -0.2% 0.6% 0.1% 0.0% 0.9% 0.3% -0.4%
GFNORTEO-MX Grupo Financiero Banorte O Banks 0.8% 0.3% 0.6% -0.2% 1.0% 0.8% -0.3% 0.7% 0.5% -0.1%
ITUB4-BR Itauunibanco Pfd N1 Banks 0.8% 0.4% 0.4% 0.0% 0.9% 0.5% -0.2% 0.7% 0.4% 0.1%
WALMEX-MX Wal-Mart de Mexico Consumer Staples Distribution & Retail 0.8% 0.2% 0.5% -0.3% 0.7% 0.4% -0.4% 0.8% 0.6% -0.2%
3690-HK Meituan B Consumer Services 0.8% 1.0% -0.2% 0.1% 0.5% -0.5% -0.3% 0.9% -0.1% 0.2%
9999-HK NetEase Media & Entertainment 0.7% 0.5% 0.3% -0.2% 0.9% 0.4% -0.4% 0.7% 0.2% -0.1%
500875-IN ITC Ltd Food Beverage & Tobacco 0.7% 0.2% 0.5% 0.0% 0.0% -0.2% 0.0% 1.0% 0.8% -0.1%
532215-IN Axis Bank Banks 0.7% 0.5% 0.3% 0.1% 1.0% 0.6% 0.1% 0.6% 0.1% 0.1%
GMEXICOB-MX Grupo Mexico B Materials 0.7% 0.2% 0.4% -0.1% 0.5% 0.3% 0.1% 0.7% 0.5% -0.2%
9961-HK Trip.com Group Consumer Services 0.6% 0.3% 0.3% 0.1% 0.5% 0.1% 0.1% 0.7% 0.3% 0.1%
FEMSAUBD-MX Fomento Econom Uts Food Beverage & Tobacco 0.6% 0.3% 0.3% 0.0% 0.4% 0.1% 0.0% 0.7% 0.4% -0.1%
2318-HK Ping An Insurance Group H Insurance 0.5% 0.5% 0.1% 0.0% 0.6% 0.1% 0.0% 0.5% 0.1% 0.0%
BBRI-ID Bank Rakyat Indonesia B Banks 0.5% 0.3% 0.3% -0.2% 0.8% 0.5% -0.3% 0.5% 0.2% -0.2%
BMRI-ID Bank Mandiri Banks 0.5% 0.2% 0.3% 0.1% 0.3% 0.1% 0.0% 0.6% 0.4% 0.1%
500209-IN Infosys Software & Services 0.5% 0.8% -0.3% -0.3% 0.8% 0.0% -0.2% 0.4% -0.4% -0.3%
000270-KR Kia Automobiles & Components 0.5% 0.3% 0.2% 0.1% 0.9% 0.6% 0.3% 0.3% 0.0% 0.0%
CPI-ZA Capitec Bank Holdings Banks 0.5% 0.2% 0.3% 0.0% 0.4% 0.2% -0.1% 0.5% 0.4% 0.0%
2317-TW Hon Hai Precision Technology Hardware & Equipment 0.5% 1.1% -0.6% -0.2% 0.4% -0.7% -0.4% 0.5% -0.6% -0.2%
939-HK China Construction Bank H Banks 0.5% 0.9% -0.5% -0.1% 0.4% -0.6% -0.1% 0.5% -0.4% -0.1%
000333-CN Midea Group A Consumer Durables & Apparel 0.5% 0.0% 0.5% -0.1% 0.6% 0.6% 0.0% 0.4% 0.4% -0.2%
NPN-ZA Naspers N Consumer Discretionary Distribution & Retail 0.5% 0.5% 0.0% 0.0% 0.9% 0.4% 0.0% 0.3% -0.1% 0.1%
2308-TW Delta Electronics Technology Hardware & Equipment 0.5% 0.3% 0.2% 0.0% 0.6% 0.3% -0.1% 0.4% 0.1% 0.1%
BAP-US Credicorp Banks 0.5% 0.1% 0.3% 0.0% 0.2% 0.1% 0.0% 0.5% 0.4% 0.0%
543287-IN Macrotech Developers Real Estate Management & Development 0.4% 0.1% 0.4% 0.1% 0.1% 0.1% 0.1% 0.5% 0.5% 0.2%
543220-IN Max Healthcare Institute Health Care Equipment & Services 0.4% 0.1% 0.3% 0.0% 0.2% 0.1% 0.0% 0.5% 0.4% 0.0%
VALE3-BR Vale Materials 0.4% 0.5% -0.1% -0.2% 0.1% -0.4% 0.1% 0.5% 0.0% -0.3%
BPAC11-BR Banco BTG Pactual Financial Services 0.4% 0.1% 0.3% 0.0% 0.4% 0.3% 0.1% 0.4% 0.3% 0.0%
500034-IN Bajaj Finance Financial Services 0.4% 0.3% 0.1% 0.1% 0.5% 0.1% 0.3% 0.4% 0.1% 0.0%
RADL3-BR Raia Drogasil Consumer Staples Distribution & Retail 0.4% 0.1% 0.3% -0.1% 0.4% 0.4% -0.1% 0.4% 0.3% -0.2%
005380-KR Hyundai Motor Automobiles & Components 0.4% 0.5% -0.1% 0.0% 0.5% 0.0% 0.1% 0.4% -0.1% 0.0%
105560-KR KB Financial Group Banks 0.4% 0.3% 0.1% 0.1% 0.7% 0.4% 0.2% 0.3% 0.0% 0.0%
500520-IN Mahindra & Mahindra Automobiles & Components 0.4% 0.4% -0.1% 0.0% 0.3% -0.1% -0.1% 0.4% 0.0% 0.1%
YUMC-US Yum China Holdings Consumer Services 0.4% 0.2% 0.2% -0.3% 0.2% 0.1% -0.1% 0.4% 0.3% -0.4%
FSR-ZA FirstRand Financial Services 0.3% 0.3% 0.0% -0.1% 0.3% 0.0% -0.4% 0.4% 0.1% 0.0%
500510-IN Larsen & Toubro Capital Goods 0.3% 0.4% -0.1% -0.2% 0.1% -0.3% 0.0% 0.4% 0.0% -0.2%
International & US Funds
International Funds - UCITS
US Funds
H &G ;(# ;( &GDDIJ( <D(>G#D #'K(D"(# LIBBB!& #'!( &M(D;(# ! (N >
H(> #'K(D!$ N" <7F>+F+,!1#( (<' B #;#5 (D<##I#!O<;G ;I&D ; # ';(I;( -D ; # ' <O
H;#'!
摘要：
展开>>
收起<<
MAsiaQuantitativeStrategy|AsiaPacificPositionsofActiveLong-OnlyManagersinAsia/EMWepublishourJuly2024Asia/EMpositioningguidetosummarizeallocationchangesatthestock,marketandsectorlevelovertimefromaregionalperspective.Ontopofthat,wesharethedistributionofactiveweightsandcomparetheallocationdiffer...
相关推荐
-
Morgan Stanley-US Banks How Willing Is Your Bank to Pay Up for Deposits M...-106552537免费
2024-03-02 95 -
Morgan Stanley-US Banks and Consumer Finance Dollars and Cents-106579284免费
2024-03-02 90 -
Morgan Stanley-Uber Technologies Inc 5 Keys To Next Weeks Analyst Update-106410534免费
2024-03-02 92 -
Morgan Stanley-Thematics Venture Vision Lets Put $7 Trillion in Perspect...-106509684免费
2024-03-02 92 -
Morgan Stanley-Thematics Venture Vision IPOs #2 – What Next-106373102免费
2024-03-02 94 -
Morgan Stanley-Thematics AI Adopters Are Adopting-106471392免费
2024-03-02 89 -
Morgan Stanley-The Week Ahead - Asia Pacific Summarising Earnings and Data...-106448915免费
2024-03-02 91 -
Morgan Stanley-China Financials Policy shift has paid off earlier than exp...-107899136免费
2024-05-16 91 -
Morgan Stanley Fixed-Asia Economics The Viewpoint 亚洲经济研究：观点 中国和日本——两个消费者的故事-109367989VIP专享
2024-08-07 91 -
Morgan Stanley Fixed-Investor Presentation LDP Election Candidate Who’s Who 自...-109946937VIP专享
2024-09-09 94
作者：star2026
分类：外资研报
价格：免费
属性：20 页
大小：943.83KB
格式：PDF
时间：2024-08-07
