In today’s briefing:
- MV Global Junior Gold Miners Index Rebalance: Round-Trip Trade of Over US$400m
- Harvesting Seasonality in Iron Ore Prices Induced by Weather, Inventory Restocking, and Holidays
MV Global Junior Gold Miners Index Rebalance: Round-Trip Trade of Over US$400m
- There are no constituent changes for the VanEck Vectors Junior Gold Miners ETF (GDXJ US) in June but there are a lot of float and capping changes.
- Estimated one-way turnover is 3.9% resulting in a round-trip trade of US$418m. There are 17 stocks with over 1x ADV to trade from passive trackers.
- The largest inflows are expected in Cia de Minas Buenaventura SAA (BVN US), Equinox Gold (EQX US) and Red 5 Ltd (RED AU).
Harvesting Seasonality in Iron Ore Prices Induced by Weather, Inventory Restocking, and Holidays
- SGX Iron Ore prices exhibit seasonality. For select six months being long Iron Ore combined with short positions during other months deliver positive P&L based on back tests.
- In line with prices, realised volatility exhibits seasonality too. Options strategies can exploit this to deliver superior alpha & higher sharpe ratio.
- Averages confound extreme variances. Monthly iron ore futures price returns are less volatile during the months of December, February, June, October, & March based on range.
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