Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

Post market close today, S&amp;P Dow Jones Indices has announced the list of changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> as part of the March index review that will be effective after the close of trading on 19 March.There are 6 inclusions and 6 exclusions in this review. This is more than what we expected - we had 3 adds and 3 deletes, and another 2 potential adds and 2 potential deletes.The inclusions are <a href="https://www.smartkarma.com/entities/codan-ltd-australia" target="_blank" data-smartkarma-citation="entities:6189:1" rel="noopener">Codan Ltd (CDA AU)</a>, <a href="https://www.smartkarma.com/entities/champion-iron-ltd" target="_blank" data-smartkarma-citation="entities:19734:1" rel="noopener">Champion Iron (CIA AU)</a>, <a href="https://www.smartkarma.com/entities/hub24-ltd" target="_blank" data-smartkarma-citation="entities:12336:1" rel="noopener">Hub24 Ltd (HUB AU)</a>, <a href="https://www.smartkarma.com/entities/nickel-mines-ltd" target="_blank" data-smartkarma-citation="entities:30639:1" rel="noopener">Nickel Mines Ltd (NIC AU)</a>, <a href="https://www.smartkarma.com/entities/nuix-limited" target="_blank" data-smartkarma-citation="entities:31040:1" rel="noopener">Nuix Limited (NXL AU)</a> and <a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a>. The exclusions are <a href="https://www.smartkarma.com/entities/bravura-solutions-ltd" target="_blank" data-smartkarma-citation="entities:23648:1" rel="noopener">Bravura Solutions (BVS AU)</a>, <a href="https://www.smartkarma.com/entities/gwa-group-ltd" target="_blank" data-smartkarma-citation="entities:663:1" rel="noopener">Gwa Group Ltd (GWA AU)</a>, <a href="https://www.smartkarma.com/entities/sandfire-resources-nl" target="_blank" data-smartkarma-citation="entities:1259:1" rel="noopener">Sandfire Resources Nl (SFR AU)</a>, <a href="https://www.smartkarma.com/entities/smartgroup-corp-ltd" target="_blank" data-smartkarma-citation="entities:19954:1" rel="noopener">Smartgroup Corp (SIQ AU)</a>, <a href="https://www.smartkarma.com/entities/service-stream-ltd" target="_blank" data-smartkarma-citation="entities:18493:1" rel="noopener">Service Stream (SSM AU)</a> and <a href="https://www.smartkarma.com/entities/tassal-group-ltd" target="_blank" data-smartkarma-citation="entities:16234:1" rel="noopener">Tassal (TGR AU)</a>.Given there are only 5 trading days from now to implementation, there are significant days to trade on quite a lot of the stocks.

Post market close today, S&amp;P Dow Jones Indices has announced the list of changes to the S&amp;P/ASX 200 (AS51 INDEX) as part of the March index review that will be effective after the close of trading on 19 March.There are 6 inclusions and 6 exclusions in this review. This is more than what we expected - we had 3 adds and 3 deletes, and another 2 potential adds and 2 potential deletes.The inclusions are Codan Ltd (CDA AU), Champion Iron (CIA AU), Hub24 Ltd (HUB AU), Nickel Mines Ltd (NIC AU), Nuix Limited (NXL AU) and Pilbara Minerals (PLS AU). The exclusions are Bravura Solutions (BVS AU), Gwa Group Ltd (GWA AU), Sandfire Resources Nl (SFR AU), Smartgroup Corp (SIQ AU), Service Stream (SSM AU) and Tassal (TGR AU).Given there are only 5 trading days from now to implementation, there are significant days to trade on quite a lot of the stocks.

ASX200 Index Rebalance: More Change Than Expected

<div>S&amp;P Dow Jones Indices will announce changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> as part of the March index review on 12 March and the changes will be effective after the close of trading on 19 March.</div><div>
The data cutoff for the March review was 26 February.
We see <a href="https://www.smartkarma.com/entities/nuix-limited" target="_blank" data-smartkarma-citation="entities:31040:1" rel="noopener">Nuix Limited (NXL AU)</a>, <a href="https://www.smartkarma.com/entities/codan-ltd-australia" target="_blank" data-smartkarma-citation="entities:6189:1" rel="noopener">Codan Ltd (CDA AU)</a> and <a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a> as potential inclusions to the index, while we see <a href="https://www.smartkarma.com/entities/service-stream-ltd" target="_blank" data-smartkarma-citation="entities:18493:1" rel="noopener">Service Stream (SSM AU)</a>, <a href="https://www.smartkarma.com/entities/tassal-group-ltd" target="_blank" data-smartkarma-citation="entities:16234:1" rel="noopener">Tassal (TGR AU)</a> and <a href="https://www.smartkarma.com/entities/bravura-solutions-ltd" target="_blank" data-smartkarma-citation="entities:23648:1" rel="noopener">Bravura Solutions (BVS AU)</a> as potential exclusions from the index.
<a href="https://www.smartkarma.com/entities/champion-iron-ltd" target="_blank" data-smartkarma-citation="entities:19734:1" rel="noopener">Champion Iron (CIA AU)</a> and <a href="https://www.smartkarma.com/entities/de-grey-mining-ltd" target="_blank" data-smartkarma-citation="entities:6192:1" rel="noopener">De Grey Mining (DEG AU)</a> are close adds while <a href="https://www.smartkarma.com/entities/gwa-group-ltd" target="_blank" data-smartkarma-citation="entities:663:1" rel="noopener">Gwa Group Ltd (GWA AU)</a> and <a href="https://www.smartkarma.com/entities/smartgroup-corp-ltd" target="_blank" data-smartkarma-citation="entities:19954:1" rel="noopener">Smartgroup Corp (SIQ AU)</a> are close deletes.
Short interest on the potential inclusions has been decreasing and is currently near the lows while short interest on the potential deletions has been steadily increasing and is at the highs.
Since the last index review in December, <a href="https://www.smartkarma.com/entities/pointsbet-holdings-pty-ltd" target="_blank" data-smartkarma-citation="entities:29102:1" rel="noopener">PointsBet Holdings Pty Ltd (PBH AU)</a> was included in the index replacing <a href="https://www.smartkarma.com/entities/saracen-mineral-holdings-limited" target="_blank" data-smartkarma-citation="entities:2415:1" rel="noopener">Saracen Mineral Holdings (SAR AU)</a> following its merger of equals with <a href="https://www.smartkarma.com/entities/northern-star-resources-ltd" target="_blank" data-smartkarma-citation="entities:4243:1" rel="noopener">Northern Star Resources (NST AU)</a>.
</div>

S&amp;P Dow Jones Indices will announce changes to the S&amp;P/ASX 200 (AS51 INDEX) as part of the March index review on 12 March and the changes will be effective after the close of trading on 19 March.
The data cutoff for the March review was 26 February.
We see Nuix Limited (NXL AU), Codan Ltd (CDA AU) and Pilbara Minerals (PLS AU) as potential inclusions to the index, while we see Service Stream (SSM AU), Tassal (TGR AU) and Bravura Solutions (BVS AU) as potential exclusions from the index.
Champion Iron (CIA AU) and De Grey Mining (DEG AU) are close adds while Gwa Group Ltd (GWA AU) and Smartgroup Corp (SIQ AU) are close deletes.
Short interest on the potential inclusions has been decreasing and is currently near the lows while short interest on the potential deletions has been steadily increasing and is at the highs.
Since the last index review in December, PointsBet Holdings Pty Ltd (PBH AU) was included in the index replacing Saracen Mineral Holdings (SAR AU) following its merger of equals with Northern Star Resources (NST AU).


ASX200 Index Rebalance Preview: Three Potential Changes & Some Close Names

Following the merger of equals between <a href="https://www.smartkarma.com/entities/northern-star-resources-ltd" target="_blank" data-smartkarma-citation="entities:4243:1" rel="noopener">Northern Star Resources (NST AU)</a> and <a href="https://www.smartkarma.com/entities/saracen-mineral-holdings-limited" target="_blank" data-smartkarma-citation="entities:2415:1" rel="noopener">Saracen Mineral Holdings (SAR AU)</a>, Saracen's last trading day will be 3 February.The various index providers will all delete <a href="https://www.smartkarma.com/entities/saracen-mineral-holdings-limited" target="_blank" data-smartkarma-citation="entities:2415:1" rel="noopener">Saracen Mineral Holdings (SAR AU)</a> at the close of trading on 3 February and increase the number of shares and investability weight for <a href="https://www.smartkarma.com/entities/northern-star-resources-ltd" target="_blank" data-smartkarma-citation="entities:4243:1" rel="noopener">Northern Star Resources (NST AU)</a>. This will result in passive selling on <a href="https://www.smartkarma.com/entities/saracen-mineral-holdings-limited" target="_blank" data-smartkarma-citation="entities:2415:1" rel="noopener">Saracen Mineral Holdings (SAR AU)</a> and passive buying on <a href="https://www.smartkarma.com/entities/northern-star-resources-ltd" target="_blank" data-smartkarma-citation="entities:4243:1" rel="noopener">Northern Star Resources (NST AU)</a>.<a href="https://www.smartkarma.com/entities/saracen-mineral-holdings-limited" target="_blank" data-smartkarma-citation="entities:2415:1" rel="noopener">Saracen Mineral Holdings (SAR AU)</a>'s deletion from the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> will create a vacancy that will be filled by <a href="https://www.smartkarma.com/entities/pointsbet-holdings-pty-ltd" target="_blank" data-smartkarma-citation="entities:29102:1" rel="noopener">PointsBet Holdings Pty Ltd (PBH AU)</a>.<a href="https://www.smartkarma.com/entities/pointsbet-holdings-pty-ltd" target="_blank" data-smartkarma-citation="entities:29102:1" rel="noopener">PointsBet Holdings Pty Ltd (PBH AU)</a>'s inclusion in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> and <a href="https://www.smartkarma.com/entities/saracen-mineral-holdings-limited" target="_blank" data-smartkarma-citation="entities:2415:1" rel="noopener">Saracen Mineral Holdings (SAR AU)</a>'s deletion will also lead to changes in the names that are expected to be included in/excluded from the index at the March review.

Following the merger of equals between Northern Star Resources (NST AU) and Saracen Mineral Holdings (SAR AU), Saracen's last trading day will be 3 February.The various index providers will all delete Saracen Mineral Holdings (SAR AU) at the close of trading on 3 February and increase the number of shares and investability weight for Northern Star Resources (NST AU). This will result in passive selling on Saracen Mineral Holdings (SAR AU) and passive buying on Northern Star Resources (NST AU).Saracen Mineral Holdings (SAR AU)'s deletion from the S&amp;P/ASX 200 (AS51 INDEX) will create a vacancy that will be filled by PointsBet Holdings Pty Ltd (PBH AU).PointsBet Holdings Pty Ltd (PBH AU)'s inclusion in the S&amp;P/ASX 200 (AS51 INDEX) and Saracen Mineral Holdings (SAR AU)'s deletion will also lead to changes in the names that are expected to be included in/excluded from the index at the March review.

S&amp;P Dow Jones Indices will announce changes to the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> as part of the March index review on 12 March and the changes will be effective after the close of trading on 19 March.The data cutoff for the March review is 26 February.Using market data to the close of trading on 15 January, we expect <a href="https://www.smartkarma.com/entities/pointsbet-holdings-pty-ltd" target="_blank" data-smartkarma-citation="entities:29102:1" rel="noopener">PointsBet Holdings Pty Ltd (PBH AU)</a>, <a href="https://www.smartkarma.com/entities/de-grey-mining-ltd" target="_blank" data-smartkarma-citation="entities:6192:1" rel="noopener">De Grey Mining (DEG AU)</a> and <a href="https://www.smartkarma.com/entities/codan-ltd-australia" target="_blank" data-smartkarma-citation="entities:6189:1" rel="noopener">Codan Ltd (CDA AU)</a> to be added to the index, replacing <a href="https://www.smartkarma.com/entities/service-stream-ltd" target="_blank" data-smartkarma-citation="entities:18493:1" rel="noopener">Service Stream (SSM AU)</a>, <a href="https://www.smartkarma.com/entities/tassal-group-ltd" target="_blank" data-smartkarma-citation="entities:16234:1" rel="noopener">Tassal (TGR AU)</a> and <a href="https://www.smartkarma.com/entities/gwa-group-ltd" target="_blank" data-smartkarma-citation="entities:663:1" rel="noopener">Gwa Group Ltd (GWA AU)</a>.<a href="https://www.smartkarma.com/entities/pilbara-minerals-ltd" target="_blank" data-smartkarma-citation="entities:7460:1" rel="noopener">Pilbara Minerals (PLS AU)</a> and <a href="https://www.smartkarma.com/entities/champion-iron-ltd" target="_blank" data-smartkarma-citation="entities:19734:1" rel="noopener">Champion Iron (CIA AU)</a> are close adds while <a href="https://www.smartkarma.com/entities/bravura-solutions-ltd" target="_blank" data-smartkarma-citation="entities:23648:1" rel="noopener">Bravura Solutions (BVS AU)</a> and <a href="https://www.smartkarma.com/entities/smartgroup-corp-ltd" target="_blank" data-smartkarma-citation="entities:19954:1" rel="noopener">Smartgroup Corp (SIQ AU)</a> are close deletes.

S&amp;P Dow Jones Indices will announce changes to the S&amp;P/ASX 200 (AS51 INDEX) as part of the March index review on 12 March and the changes will be effective after the close of trading on 19 March.The data cutoff for the March review is 26 February.Using market data to the close of trading on 15 January, we expect PointsBet Holdings Pty Ltd (PBH AU), De Grey Mining (DEG AU) and Codan Ltd (CDA AU) to be added to the index, replacing Service Stream (SSM AU), Tassal (TGR AU) and Gwa Group Ltd (GWA AU).Pilbara Minerals (PLS AU) and Champion Iron (CIA AU) are close adds while Bravura Solutions (BVS AU) and Smartgroup Corp (SIQ AU) are close deletes.

ASX200 Index Rebalance Preview: Three Potential Changes for Now; Could Increase to Five

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>We run sentiment analysis around Rio Tinto's Juukan Gorge heritage site crisis, text-mining for ESG-related sentiment since news of ethically-challenged practices at RIO broke out</li>
<li>In early June, Rio Tinto revealed it had blasted a 46,000-year-old sacred aboriginal site, sparking widespread controversy and resulting in a management shakeout and parliamentary enquiry</li>
<li>Perceived as an ESG disaster, Rio Tinto continues to underperform FMG and the MSCI Global Metals &amp; Mining Index, though its performance gap with BHP closed in September following executive resignations</li>
<li>Fortescue's performance appears to have been unaffected by the Juukan Gorge crisis, but our sentiment analysis and news attributions see gathering clouds as FMG is recently linked to significant negative stewardship headlines</li>
<li>Our daily RIO ESG sentiment time series has been 74% correlated with RIO performance since May 31 with a 7-day lead</li>
<li>Though entirely dependent on the quality and volume of news flow, NLP-based sentiment analysis can help identify and attribute decoupling between equity performance and newsflow tone, as well as challenge confirmation biases, taking into account the rapid pace of news decay</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


We run sentiment analysis around Rio Tinto's Juukan Gorge heritage site crisis, text-mining for ESG-related sentiment since news of ethically-challenged practices at RIO broke out
In early June, Rio Tinto revealed it had blasted a 46,000-year-old sacred aboriginal site, sparking widespread controversy and resulting in a management shakeout and parliamentary enquiry
Perceived as an ESG disaster, Rio Tinto continues to underperform FMG and the MSCI Global Metals &amp; Mining Index, though its performance gap with BHP closed in September following executive resignations
Fortescue's performance appears to have been unaffected by the Juukan Gorge crisis, but our sentiment analysis and news attributions see gathering clouds as FMG is recently linked to significant negative stewardship headlines
Our daily RIO ESG sentiment time series has been 74% correlated with RIO performance since May 31 with a 7-day lead
Though entirely dependent on the quality and volume of news flow, NLP-based sentiment analysis can help identify and attribute decoupling between equity performance and newsflow tone, as well as challenge confirmation biases, taking into account the rapid pace of news decay
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot:  After Juukan Gorge, Rio Tinto Sentiment Stabilizes.  Reckoning Time For FMG?

Australia

champion Iron Limited is a exploration company. The Company acquires, explores and develops properties for iron ore deposits.

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Champion Iron (CIA AU)

ASX200 Index Rebalance: More Change Than Expected

There are 6 inclusions and 6 exclusions for the ASX200 at the March review. There are a few 'surprises' and there is quite a lot of short interest...

Brian Freitas

ASX200 Index Rebalance Preview: Three Potential Changes & Some Close Names

We see three potential changes to the ASX200 in the March review while there are another two close adds/deletes. High short interest on the...

Brian Freitas

Saracen/Northern Star Merger: Index Flow

Saracen Minerals will be deleted from all indices at the close on 3 February following its merger with Northern Star. There could be a lot of flow...

Brian Freitas

ASX200 Index Rebalance Preview: Three Potential Changes for Now; Could Increase to Five

There could be up to 5 changes at the next ASX200 rebalance in March. The expected adds have outperformed the deletes significantly and are trading...

Brian Freitas

TMI Snapshot: After Juukan Gorge, Rio Tinto Sentiment Stabilizes. Reckoning Time For FMG?

We text mined for ESG-related coverage of Rio Tinto to find that sentiment (74% correlated with the equity) has stabilized since the Juukan Gorge...

Elan Gore

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