Morgan Stanley-Asia Quantitative Strategy Positions of Active Long-only Ma...-110016592
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M
Asia Quantitative Strategy | Asia Pacific
Positions of Active Long-only
Managers in Asia/EM
Our August 2024 positioning guide shows Semis remained the
most crowded industry group, although active weights were
trimmed to +3.0% with Financials and Brazil were most bought.
India has now overtaken China as the largest market in active
portfolios. Active GEM funds saw US$2.2bn in redemptions
Jason Ng, CFA
!"#!$%& #'!( & )*++),)-)),*
./01!
Daniel K Blake
23'
"#!4#5%& #'!( & 6*6)7,-6*89
Nicola Mak
23'
$( #!:;!5%& #'!( & )*+7867-<76)
Exhibit 1 : =2(&>( ?@
&?23A& 7B#'C&###
D+<+,
0%
1%
1%
2%
2%
3%
3%
4%
4%
5%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
Jul-24Jun-24May-24Apr-24Mar-24Feb-24Jan-24Dec-23Jun-23Dec-22
MSCI EM Index Weight Portfolio Composite Weight in Semis/Equipment Active Weight (rhs)
!"!#$%
##&!#!'(#)*$!!$$
+,$-$.$$
Our bottom-up fund position analysis of the largest 80 EM active long-only mutual
funds reveals trimming of Semiconductor OWs, but the industry remains the largest
active allocation at +3.0% ( Exhibit 1 ). At the market level, Brazil was added the
most and is the largest OW. Funds have been reducing exposure to Taiwan, China
and India ( Exhibit 4 ), as well as Mexico at the margin.
In Japan, active managers trimmed Hitachi, Keyence and Sony while adding to Toyota
Motors and Shin-Etsu Chemical in July ( Exhibit 16 ). Hedge fund managers covered
shorts in Energy and Real Estate while adding shorts in Communication Services,
Info Tech & Discretionary August MTD ( Exhibit 21 ). Short interest was added most
on Toyota Motors and Tokyo Electron at the 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$2.2bn outflow from active GEM funds but US$254m inflow into GEM passive
products.
GEM active managers trimmed OW Semiconductors & Semi Equipment and
moved OW Financials.
India has now overtaken China as the largest allocation, while China has replaced
Saudi Arabia as largest UW.
Most bought: Hon Hai Precision, Meituan and ITC. Most sold: TSMC, Alibaba and
SK Hynix.
In Japan, managers added to Materials (now the most crowded sector) while
trimming OWs on Tech Hardware & Equipment, but remained heavily UW on
Banks and Autos.
August 26, 2024 12:09 PM GMT
M
2
Fund Position Changes – Top 50 Mutual Fund Holdings
Exhibit 2: E A*<F #>& # - #'2(&>(FE"
Ticker Company Name GICS Industry Group
Portfolio
Composite
Weight
MSCI
EM
Index
Weight
Active
Weight
Active
Weight
Change
QTD
Portfolio
Composite
Weight
Active
Weight
Active
Weight
Change
QTD
Portfolio
Composite
Weight
Active
Weight
Active
Weight
Change
QTD
2330-TW Taiwan Semiconductor Manufacturing Semiconductors & Semiconductor Equipment 11.4% 9.3% 2.1% -0.4% 10.9% 1.6% -0.5% 11.5% 2.3% -0.4%
005930-KR Samsung Electronics Technology Hardware & Equipment 5.7% 4.4% 1.3% 0.0% 6.3% 2.0% 0.1% 5.4% 1.0% 0.0%
700-HK Tencent Holdings Media & Entertainment 5.1% 4.1% 1.0% 0.0% 5.1% 1.0% 0.0% 5.1% 1.0% 0.0%
500180-IN HDFC Bank Banks 1.9% 0.7% 1.2% -0.1% 1.8% 1.1% -0.1% 1.9% 1.2% -0.1%
000660-KR SK hynix Semiconductors & Semiconductor Equipment 1.7% 1.0% 0.7% -0.2% 1.9% 0.9% -0.2% 1.7% 0.6% -0.1%
500325-IN Reliance Industries Energy 1.6% 1.5% 0.2% 0.0% 1.4% 0.0% 0.1% 1.7% 0.3% 0.0%
9988-HK Alibaba Group Holding Consumer Discretionary Distribution & Retail 1.5% 2.0% -0.5% -0.2% 1.9% -0.1% -0.1% 1.4% -0.7% -0.3%
BBCA-ID Bank Central Asia Banks 1.4% 0.5% 0.9% 0.0% 1.2% 0.7% 0.0% 1.4% 0.9% 0.0%
532174-IN ICICI Bank Banks 1.3% 1.0% 0.3% 0.0% 1.8% 0.8% 0.0% 1.1% 0.1% 0.0%
PETR4-BR Petroleo Bras Pfd Energy 1.2% 0.8% 0.4% 0.0% 1.1% 0.3% 0.0% 1.2% 0.5% 0.0%
2454-TW MediaTek Semiconductors & Semiconductor Equipment 1.1% 0.7% 0.4% 0.0% 1.4% 0.6% -0.1% 1.0% 0.3% 0.0%
NU-US Nu Holdings A Banks 1.1% 0.0% 1.1% 1.1% 1.1% 1.0% 1.0%
PDD-US PDD Holdings ADR A Consumer Discretionary Distribution & Retail 1.0% 1.0% -0.1% 0.0% 0.8% -0.2% 0.1% 1.0% 0.0% 0.0%
532454-IN Bharti Airtel Telecommunication Services 0.9% 0.5% 0.3% 0.0% 0.6% 0.0% 0.0% 1.0% 0.4% 0.0%
532540-IN Tata Consultancy Services Software & Services 0.9% 0.6% 0.2% 0.0% 0.7% 0.1% 0.0% 0.9% 0.3% 0.0%
500875-IN ITC Ltd Food Beverage & Tobacco 0.8% 0.2% 0.6% 0.1% 0.0% -0.2% 0.0% 1.1% 0.9% 0.1%
500247-IN Kotak Mahindra Bank Banks 0.8% 0.3% 0.5% 0.0% 0.3% 0.0% 0.0% 1.0% 0.7% 0.0%
3690-HK Meituan B Consumer Services 0.8% 0.9% -0.1% 0.1% 0.6% -0.3% 0.1% 0.9% -0.1% 0.0%
ITUB4-BR Itauunibanco Pfd N1 Banks 0.8% 0.4% 0.4% 0.0% 0.9% 0.5% 0.0% 0.8% 0.4% 0.0%
600519-CN Kweichow Moutai A Food Beverage & Tobacco 0.8% 0.2% 0.6% -0.1% 0.5% 0.3% 0.0% 0.9% 0.7% -0.1%
GFNORTEO-MX Grupo Financiero Banorte O Banks 0.8% 0.3% 0.5% 0.0% 1.0% 0.7% -0.1% 0.7% 0.4% 0.0%
WALMEX-MX Wal-Mart de Mexico Consumer Staples Distribution & Retail 0.7% 0.2% 0.5% 0.0% 0.6% 0.4% 0.0% 0.8% 0.5% 0.0%
9999-HK NetEase Media & Entertainment 0.7% 0.5% 0.2% 0.0% 0.9% 0.4% 0.0% 0.6% 0.2% 0.0%
532215-IN Axis Bank Banks 0.7% 0.4% 0.3% 0.0% 1.0% 0.6% 0.0% 0.6% 0.2% 0.0%
500209-IN Infosys Software & Services 0.7% 1.0% -0.3% 0.0% 0.9% 0.0% 0.0% 0.6% -0.4% 0.0%
GMEXICOB-MX Grupo Mexico B Materials 0.6% 0.2% 0.4% 0.0% 0.5% 0.3% 0.0% 0.7% 0.5% -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% 0.0%
9961-HK Trip.com Group Consumer Services 0.5% 0.3% 0.2% 0.0% 0.4% 0.1% 0.0% 0.6% 0.3% 0.0%
2318-HK Ping An Insurance Group H Insurance 0.5% 0.4% 0.1% 0.0% 0.6% 0.2% 0.0% 0.5% 0.1% 0.0%
BBRI-ID Bank Rakyat Indonesia B Banks 0.5% 0.3% 0.3% 0.0% 0.8% 0.5% 0.0% 0.5% 0.2% 0.0%
BMRI-ID Bank Mandiri Banks 0.5% 0.2% 0.3% 0.0% 0.3% 0.2% 0.0% 0.6% 0.4% 0.0%
CPI-ZA Capitec Bank Holdings Banks 0.5% 0.2% 0.3% 0.0% 0.4% 0.2% 0.0% 0.6% 0.4% 0.0%
2317-TW Hon Hai Precision Technology Hardware & Equipment 0.5% 1.0% -0.5% 0.1% 0.4% -0.6% 0.1% 0.5% -0.5% 0.1%
939-HK China Construction Bank H Banks 0.5% 0.9% -0.4% 0.1% 0.4% -0.5% 0.0% 0.5% -0.4% 0.1%
BAP-US Credicorp Banks 0.5% 0.2% 0.3% 0.0% 0.3% 0.1% 0.0% 0.6% 0.4% 0.0%
NPN-ZA Naspers N Consumer Discretionary Distribution & Retail 0.5% 0.5% 0.0% 0.0% 0.8% 0.4% 0.0% 0.3% -0.1% 0.0%
2308-TW Delta Electronics Technology Hardware & Equipment 0.5% 0.3% 0.1% 0.0% 0.6% 0.3% 0.0% 0.4% 0.1% 0.0%
000333-CN Midea Group A Consumer Durables & Apparel 0.5% 0.0% 0.4% 0.0% 0.6% 0.5% -0.1% 0.4% 0.4% 0.0%
105560-KR KB Financial Group Banks 0.4% 0.3% 0.1% 0.0% 0.8% 0.5% 0.1% 0.3% 0.0% 0.0%
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%
000270-KR Kia Automobiles & Components 0.4% 0.3% 0.1% 0.0% 0.7% 0.4% -0.1% 0.3% 0.0% 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% 0.0%
BPAC11-BR Banco BTG Pactual Financial Services 0.4% 0.1% 0.3% 0.0% 0.4% 0.3% 0.0% 0.4% 0.3% 0.0%
VALE3-BR Vale Materials 0.4% 0.5% -0.1% 0.0% 0.1% -0.4% 0.0% 0.5% 0.0% 0.0%
500034-IN Bajaj Finance Financial Services 0.4% 0.3% 0.1% 0.0% 0.5% 0.2% 0.0% 0.4% 0.1% 0.0%
543287-IN Macrotech Developers Real Estate Management & Development 0.4% 0.1% 0.3% 0.0% 0.1% 0.1% 0.0% 0.5% 0.4% -0.1%
500520-IN Mahindra & Mahindra Automobiles & Components 0.4% 0.4% -0.1% 0.0% 0.3% -0.1% 0.0% 0.4% 0.0% 0.0%
005380-KR Hyundai Motor Automobiles & Components 0.4% 0.4% -0.1% 0.0% 0.4% 0.0% 0.0% 0.3% -0.1% 0.0%
WEGE3-BR WEG Capital Goods 0.4% 0.2% 0.2% 0.0% 0.5% 0.3% 0.1% 0.3% 0.1% 0.0%
500510-IN Larsen & Toubro Capital Goods 0.4% 0.4% -0.1% 0.0% 0.1% -0.3% 0.0% 0.4% 0.0% 0.0%
International Funds - UCITS
International & US Funds
US Funds
G &A >(# >( &AFFHI( DF(CA#F #'J(F"(# KH@@@!& #'!( &?(F>(# ! (L C
G(C #'J(F!$ L" D#'7MC+<+,!1#( (D' @ #>#5 (FD##H#!ND>A >H&F > # '>(H>( -F > # ' DNG>
#'!
M
/0123423567686209: 3
Exhibit 3: E A*<F #>& # - #'2(&>(F;E"+<+,
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 11.4% 9.3% 2.1% -0.3% 10.9% 1.6% -1.6% 11.5% 2.3% 0.3%
005930-KR Samsung Electronics Technology Hardware & Equipment 5.7% 4.4% 1.3% 0.3% 6.3% 2.0% 0.1% 5.4% 1.0% 0.4%
700-HK Tencent Holdings Media & Entertainment 5.1% 4.1% 1.0% 0.7% 5.1% 1.0% 0.7% 5.1% 1.0% 0.7%
500180-IN HDFC Bank Banks 1.9% 0.7% 1.2% -1.3% 1.8% 1.1% -1.3% 1.9% 1.2% -1.3%
000660-KR SK hynix Semiconductors & Semiconductor Equipment 1.7% 1.0% 0.7% 0.3% 1.9% 0.9% 0.4% 1.7% 0.6% 0.2%
500325-IN Reliance Industries Energy 1.6% 1.5% 0.2% -0.1% 1.4% 0.0% 0.3% 1.7% 0.3% -0.2%
9988-HK Alibaba Group Holding Consumer Discretionary Distribution & Retail 1.5% 2.0% -0.5% -0.6% 1.9% -0.1% -0.4% 1.4% -0.7% -0.6%
BBCA-ID Bank Central Asia Banks 1.4% 0.5% 0.9% 0.0% 1.2% 0.7% -0.2% 1.4% 0.9% 0.1%
532174-IN ICICI Bank Banks 1.3% 1.0% 0.3% 0.1% 1.8% 0.8% 0.3% 1.1% 0.1% 0.0%
PETR4-BR Petroleo Bras Pfd Energy 1.2% 0.8% 0.4% -0.1% 1.1% 0.3% -0.1% 1.2% 0.5% -0.1%
2454-TW MediaTek Semiconductors & Semiconductor Equipment 1.1% 0.7% 0.4% 0.3% 1.4% 0.6% 0.3% 1.0% 0.3% 0.3%
NU-US Nu Holdings A Banks 1.1% 0.0% 1.1% 1.1% 1.1% 1.0% 1.0%
PDD-US PDD Holdings ADR A Consumer Discretionary Distribution & Retail 1.0% 1.0% -0.1% 0.1% 0.8% -0.2% 0.5% 1.0% 0.0% 0.0%
532454-IN Bharti Airtel Telecommunication Services 0.9% 0.5% 0.3% 0.1% 0.6% 0.0% -0.1% 1.0% 0.4% 0.1%
532540-IN Tata Consultancy Services Software & Services 0.9% 0.6% 0.2% -0.3% 0.7% 0.1% 0.0% 0.9% 0.3% -0.4%
500875-IN ITC Ltd Food Beverage & Tobacco 0.8% 0.2% 0.6% 0.0% 0.0% -0.2% 0.0% 1.1% 0.9% 0.0%
500247-IN Kotak Mahindra Bank Banks 0.8% 0.3% 0.5% -0.4% 0.3% 0.0% -0.1% 1.0% 0.7% -0.5%
3690-HK Meituan B Consumer Services 0.8% 0.9% -0.1% 0.1% 0.6% -0.3% -0.1% 0.9% -0.1% 0.2%
ITUB4-BR Itauunibanco Pfd N1 Banks 0.8% 0.4% 0.4% 0.0% 0.9% 0.5% -0.1% 0.8% 0.4% 0.1%
600519-CN Kweichow Moutai A Food Beverage & Tobacco 0.8% 0.2% 0.6% -0.1% 0.5% 0.3% -0.1% 0.9% 0.7% -0.2%
GFNORTEO-MX Grupo Financiero Banorte O Banks 0.8% 0.3% 0.5% -0.2% 1.0% 0.7% -0.3% 0.7% 0.4% -0.1%
WALMEX-MX Wal-Mart de Mexico Consumer Staples Distribution & Retail 0.7% 0.2% 0.5% -0.3% 0.6% 0.4% -0.4% 0.8% 0.5% -0.3%
9999-HK NetEase Media & Entertainment 0.7% 0.5% 0.2% -0.3% 0.9% 0.4% -0.4% 0.6% 0.2% -0.2%
532215-IN Axis Bank Banks 0.7% 0.4% 0.3% 0.1% 1.0% 0.6% 0.1% 0.6% 0.2% 0.1%
500209-IN Infosys Software & Services 0.7% 1.0% -0.3% -0.3% 0.9% 0.0% -0.2% 0.6% -0.4% -0.3%
GMEXICOB-MX Grupo Mexico B Materials 0.6% 0.2% 0.4% -0.1% 0.5% 0.3% 0.2% 0.7% 0.5% -0.2%
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%
9961-HK Trip.com Group Consumer Services 0.5% 0.3% 0.2% 0.1% 0.4% 0.1% 0.1% 0.6% 0.3% 0.1%
2318-HK Ping An Insurance Group H Insurance 0.5% 0.4% 0.1% 0.1% 0.6% 0.2% 0.1% 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% 0.2% 0.0% 0.6% 0.4% 0.1%
CPI-ZA Capitec Bank Holdings Banks 0.5% 0.2% 0.3% 0.0% 0.4% 0.2% -0.1% 0.6% 0.4% 0.0%
2317-TW Hon Hai Precision Technology Hardware & Equipment 0.5% 1.0% -0.5% -0.1% 0.4% -0.6% -0.3% 0.5% -0.5% -0.1%
939-HK China Construction Bank H Banks 0.5% 0.9% -0.4% 0.0% 0.4% -0.5% -0.1% 0.5% -0.4% 0.0%
BAP-US Credicorp Banks 0.5% 0.2% 0.3% 0.0% 0.3% 0.1% 0.0% 0.6% 0.4% 0.0%
NPN-ZA Naspers N Consumer Discretionary Distribution & Retail 0.5% 0.5% 0.0% 0.0% 0.8% 0.4% 0.0% 0.3% -0.1% 0.1%
2308-TW Delta Electronics Technology Hardware & Equipment 0.5% 0.3% 0.1% 0.0% 0.6% 0.3% -0.1% 0.4% 0.1% 0.1%
000333-CN Midea Group A Consumer Durables & Apparel 0.5% 0.0% 0.4% -0.2% 0.6% 0.5% -0.1% 0.4% 0.4% -0.2%
105560-KR KB Financial Group Banks 0.4% 0.3% 0.1% 0.1% 0.8% 0.5% 0.2% 0.3% 0.0% 0.0%
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%
000270-KR Kia Automobiles & Components 0.4% 0.3% 0.1% 0.1% 0.7% 0.4% 0.2% 0.3% 0.0% 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% -0.1%
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%
VALE3-BR Vale Materials 0.4% 0.5% -0.1% -0.2% 0.1% -0.4% 0.1% 0.5% 0.0% -0.3%
500034-IN Bajaj Finance Financial Services 0.4% 0.3% 0.1% 0.1% 0.5% 0.2% 0.3% 0.4% 0.1% 0.0%
543287-IN Macrotech Developers Real Estate Management & Development 0.4% 0.1% 0.3% 0.1% 0.1% 0.1% 0.1% 0.5% 0.4% 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% 0.1%
005380-KR Hyundai Motor Automobiles & Components 0.4% 0.4% -0.1% 0.1% 0.4% 0.0% 0.2% 0.3% -0.1% 0.1%
WEGE3-BR WEG Capital Goods 0.4% 0.2% 0.2% 0.1% 0.5% 0.3% 0.1% 0.3% 0.1% 0.1%
500510-IN Larsen & Toubro Capital Goods 0.4% 0.4% -0.1% -0.2% 0.1% -0.3% -0.1% 0.4% 0.0% -0.2%
International & US Funds
International Funds - UCITS
US Funds
G &A >(# >( &AFFHI( DF(CA#F #'J(F"(# KH@@@!& #'!( &?(F>(# ! (L C
G(C #'J(F!$ L" D#'7MC+<+,!1#( (D' @ #>#5 (FD##H#!ND>A >H&F > # '>(H>( -F > # ' DNG>
#'!
摘要：
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MAsiaQuantitativeStrategy|AsiaPacificPositionsofActiveLong-onlyManagersinAsia/EMOurAugust2024positioningguideshowsSemisremainedthemostcrowdedindustrygroup,althoughactiveweightsweretrimmedto+3.0%withFinancialsandBrazilweremostbought.IndiahasnowovertakenChinaasthelargestmarketinactiveportfolios...
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