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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

<p>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.</p><p>The data cutoff for the March review is 26 February.</p><p>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>.</p><p><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.</p>

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"><p>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. </p></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?

Quantitative Analysis

<ul>
<li>TMI's short-term iron ore sentiment indicator has turned negative while steel sentiment holds up; a divergence of this magnitude hasn't been observed since 2018</li>
<li>This dynamic appears to be driven by recent Chinese steel shutdowns on environmental grounds, which the market perceives as aimed at cooling the iron ore price more so than the typical "anti-pollution" measures</li>
<li>Text mining shows a recent +2x STDEV increase in Chinese media mentions of steel in an environmental context, seen as supportive for steel prices but potentially negative for iron ore</li>
<li>More alarmingly, we are seeing a +2x STDEV spike in discussion of iron ore in a policy context, as Chinese authorities appear to be more attuned to CISA's complaint that foreign iron ore miners are disproportionately benefiting from the recovery while Chinese steelmakers suffer</li>
<li>Although underlying activity levels remain strong, the combination of punitive policies and an improving supply picture suggests tightness in iron ore may have peaked</li>
</ul><section><div id="ember4041"><div><div><div class="content-highlight"><p>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. </p></div></div></div></div></section>


TMI's short-term iron ore sentiment indicator has turned negative while steel sentiment holds up; a divergence of this magnitude hasn't been observed since 2018
This dynamic appears to be driven by recent Chinese steel shutdowns on environmental grounds, which the market perceives as aimed at cooling the iron ore price more so than the typical "anti-pollution" measures
Text mining shows a recent +2x STDEV increase in Chinese media mentions of steel in an environmental context, seen as supportive for steel prices but potentially negative for iron ore
More alarmingly, we are seeing a +2x STDEV spike in discussion of iron ore in a policy context, as Chinese authorities appear to be more attuned to CISA's complaint that foreign iron ore miners are disproportionately benefiting from the recovery while Chinese steelmakers suffer
Although underlying activity levels remain strong, the combination of punitive policies and an improving supply picture suggests tightness in iron ore may have peaked
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 Indicators: Iron Ore Sentiment Deteriorates As Increased Policy Focus Drives Greater Caution

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 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

TMI Indicators: Iron Ore Sentiment Deteriorates As Increased Policy Focus Drives Greater Caution

TMI

Elan Gore

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