Quantitative Equity Analyst, DMA

Charlotte van Tiddens, CFA

Quantitative Equity Analyst

Technology-First Company

DMA is a technology-first company that provides an end-to-end SaaS solution to institutional investors. DMA enables regulated entities like asset managers, wealth managers, investment managers and financial advisors to connect their front and back office, break silos and reduce headcount.

Event-Driven

<ul><li>Since the introduction of the Shareholder Weighted indices (SWIX) in July 2003, fund managers with South African equity mandates have had an array of benchmarks to choose from.</li><li>The SWIX was introduced at a time when resources made up more than 50% of the Top 40.</li><li>The SWIX methodology addressed this concentration by adjusting the float of dual-listed entities to reflect shares held by South African residents (eg. AGL, BHP).</li></ul>

Since the introduction of the Shareholder Weighted indices (SWIX) in July 2003, fund managers with South African equity mandates have had an array of benchmarks to choose from.The SWIX was introduced at a time when resources made up more than 50% of the Top 40.The SWIX methodology addressed this concentration by adjusting the float of dual-listed entities to reflect shares held by South African residents (eg. AGL, BHP).

JSE Mar 24 Harmonisation - Is Your Benchmark Changing?

<ul><li>JSE indices will be rebalanced in the closing auction tomorrow. OUT will enter the Top 40 and the Capped Top 40, with NPH falling out.</li><li>Naspers and Prosus will be sold down in the Capped ALSI and the Capped Top 40 as a result of capping.</li><li>Prosus will be sold down in the uncapped indices due to a reduction in shares in issue as well as the SWIX float.</li></ul>

JSE indices will be rebalanced in the closing auction tomorrow. OUT will enter the Top 40 and the Capped Top 40, with NPH falling out.Naspers and Prosus will be sold down in the Capped ALSI and the Capped Top 40 as a result of capping.Prosus will be sold down in the uncapped indices due to a reduction in shares in issue as well as the SWIX float.

JSE December 2024 Rebalance OUT to Enter Top 40, NPH to Fall Out / NPN X PRX Top Sells (Capping)

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

Royal Bank Of Canada / Technical Analysis

<ul>
<li>The SPX is breaking out after several months of consolidation. Same with the MSCI ACWI index. We are upgrading our outlook on global equities (MSCI ACWI) to bullish.</li>
<li>Breakouts could mean other countries are getting ready to break out, but the U.S. (S&amp;P 500) remains our only country overweight</li>
<li>Moreover, major indexes in the next two largest global equity markets (Europe and Japan) remain below critical resistances of 5000-5120 on the EURO STOXX 50 and 2740-2820 on the TOPIX.</li>
</ul>


The SPX is breaking out after several months of consolidation. Same with the MSCI ACWI index. We are upgrading our outlook on global equities (MSCI ACWI) to bullish.
Breakouts could mean other countries are getting ready to break out, but the U.S. (S&amp;P 500) remains our only country overweight
Moreover, major indexes in the next two largest global equity markets (Europe and Japan) remain below critical resistances of 5000-5120 on the EURO STOXX 50 and 2740-2820 on the TOPIX.


S&P 500 and MSCI ACWI Breaking Out; Upgrading MSCI ACWI to Bullish; Buys in Services, Financials

<ul><li>In this note we show flow estimates based on passive AUM tracking and hedging the Capped Top 40 SWIX (DCAP), Top 40 SWIX (DTOP &amp; TOPI) and Capped ALSI SWIX.</li><li>Relative to the March rebalance, we expect turnover in the closing auction to be much lower.</li><li>Turnover for the day was R59bn, R44bn traded in the closing auction (harmonisation implemented).</li></ul>

In this note we show flow estimates based on passive AUM tracking and hedging the Capped Top 40 SWIX (DCAP), Top 40 SWIX (DTOP &amp; TOPI) and Capped ALSI SWIX.Relative to the March rebalance, we expect turnover in the closing auction to be much lower.Turnover for the day was R59bn, R44bn traded in the closing auction (harmonisation implemented).

DMA | JSE June '24 Rebalance: Estimated Flows (Buys: Banks, Sells: NPN, PRX)

<ul><li>On Friday, JSE indices will be rebalanced in the closing auction.</li><li>There will be no constituent changes to the Top 40, FINI, FINDI, INDI or RESI indices (ALSI gets reviewed in March and September).</li><li>The upcoming rebalance will be the first review since the vanilla and SWIX indices were merged in March</li></ul>

On Friday, JSE indices will be rebalanced in the closing auction.There will be no constituent changes to the Top 40, FINI, FINDI, INDI or RESI indices (ALSI gets reviewed in March and September).The upcoming rebalance will be the first review since the vanilla and SWIX indices were merged in March

JSE June '24 Rebalance: Top Buys (Banks!) And Sells (NPN, PRX)

South Africa

Capitec Bank Holdings Limited operates as a bank controlling company. The Company conducts retail banking services including saving, credit and transacting. Capitec Bank Holdings serves customers in South Africa.

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Capitec Bank Holdings (CPI SJ)

JSE Mar 24 Harmonisation - Is Your Benchmark Changing?

Since the introduction of the Shareholder Weighted indices (SWIX) in July 2003, fund managers with South African equity mandates have had an array...

DMA

JSE December 2024 Rebalance OUT to Enter Top 40, NPH to Fall Out / NPN X PRX Top Sells (Capping)

JSE indices will be rebalanced in the closing auction tomorrow. OUT will enter the Top 40 and the Capped Top 40, with NPH falling out. Naspers and...

DMA

S&P 500 and MSCI ACWI Breaking Out; Upgrading MSCI ACWI to Bullish; Buys in Services, Financials

$SPX and MSCI $ACWI Breaking Out; Upgrading Outlook on ACWI and SPX to Bullish as of last Fridays close above 5783; Buys in Services, Financials;...

Vermilion Research

DMA | JSE June '24 Rebalance: Estimated Flows (Buys: Banks, Sells: NPN, PRX)

In this note we show flow estimates based on passive AUM tracking and hedging the Capped Top 40 SWIX (DCAP), Top 40 SWIX (DTOP & TOPI) and...

DMA

JSE June '24 Rebalance: Top Buys (Banks!) And Sells (NPN, PRX)

On Friday, JSE indices will be rebalanced in the closing auction. There will be no constituent changes to the Top 40, FINI, FINDI, INDI or RESI...

DMA

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