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.

Index Rebalance

<ul><li>JSE indices are due for rebalancing in the closing auction today. There will be no constituent changes to the Top 40, All Share, FINI, FINDI, INDI or RESI.</li><li>Naspers and Prosus are currently only capped in the Top 40, not the ALSI.</li><li>Naspers and Prosus will not be capped in the Capped Top 40 this quarter – both constituents sold off on a relative basis since the March rebalance; this explains the upweight in the Capped Top 40 relative to the Top 40 index.</li></ul>

JSE indices are due for rebalancing in the closing auction today. There will be no constituent changes to the Top 40, All Share, FINI, FINDI, INDI or RESI.Naspers and Prosus are currently only capped in the Top 40, not the ALSI.Naspers and Prosus will not be capped in the Capped Top 40 this quarter – both constituents sold off on a relative basis since the March rebalance; this explains the upweight in the Capped Top 40 relative to the Top 40 index.

DMA JSE June 26 Rebalance: No Changes to the Top 40 | MTN, CPI Top Buys, AGL, ANG, BTI Top Sells

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

Our base case continues to be for near-term consolidation while the market determines the implications of states’ reopening (i.e., the “wait-and-see” phase). Until this consolidation period resolves below support or above resistance we are maintaining a relatively neutral stance considering the wide range of outcomes. Many major indexes are testing logical resistance and until we see breakouts it is hard to get too bullish. In this report we highlight attractive stocks from a RS perspective.

Our base case continues to be for near-term consolidation while the market determines the implications of states’ reopening (i.e., the “wait-and-see” phase). Until this consolidation period resolves below support or above resistance we are maintaining a relatively neutral stance considering the wide range of outcomes. Many major indexes are testing logical resistance and until we see breakouts it is hard to get too bullish. In this report we highlight attractive stocks from a RS perspective.

U.S. Equity Strategy: Round Trip Back To Resistance

We continue to see increasingly more reasons to be bullish than not, and we believe the path of least resistance is higher for US equities. We also continue to recommend a “buy the dip” strategy. In this report we outline new developments, including more signs that the US dollar is rolling over, bullish developments for gold &amp; gold miners, and major breakouts for the Consumer Discretionary Sector. We also highlight attractive Groups and stocks within Materials and Energy: Copper, Gold, South Africa, Silver, Platinum, and Oil &amp; Gas Equip./Svcs., Large-Cap.

We continue to see increasingly more reasons to be bullish than not, and we believe the path of least resistance is higher for US equities. We also continue to recommend a “buy the dip” strategy. In this report we outline new developments, including more signs that the US dollar is rolling over, bullish developments for gold &amp; gold miners, and major breakouts for the Consumer Discretionary Sector. We also highlight attractive Groups and stocks within Materials and Energy: Copper, Gold, South Africa, Silver, Platinum, and Oil &amp; Gas Equip./Svcs., Large-Cap.

Weakening Dollar, Strengthening Commodities

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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Zijin Gold International / Index Rebalance

<ul>
<li>There could be 3 inclusions for the <a href="https://www.smartkarma.com/entities/vaneck-gold-miners-etf-usa" target="_blank" data-smartkarma-citation="entities:32924:1" rel="noopener">VanEck Gold Miners ETF/USA (GDX US)</a> in June. There are 3 more stocks that are close on free float market cap.</li>
<li>Following the lock-up expiry in March, <a href="https://www.smartkarma.com/entities/zijin-gold-international" target="_blank" data-smartkarma-citation="entities:45448:1" rel="noopener">Zijin Gold (2259 HK)</a>'s float increases above 10% and the stock is a high probability inclusion at the June rebalance. </li>
<li>With the 3 adds and capping changes, estimated one-way turnover is 2.4% resulting in a round-trip trade of US$1.6bn.</li>
</ul>


There could be 3 inclusions for the VanEck Gold Miners ETF/USA (GDX US) in June. There are 3 more stocks that are close on free float market cap.
Following the lock-up expiry in March, Zijin Gold (2259 HK)'s float increases above 10% and the stock is a high probability inclusion at the June rebalance. 
With the 3 adds and capping changes, estimated one-way turnover is 2.4% resulting in a round-trip trade of US$1.6bn.


Gold Miners ETF (GDX US) June Rebalance: 3 Adds Likely; US$1.6bn Trade

Materials, IPO & Equity Analyst

Venkat Ramana Nandyal

Uncompromised, Independent, Conflict-Free Research

Global Equity Research Ltd

Global Equity Research was started in 2017 by a group of experienced research professionals. It was founded on a passionate belief in the importance and the need for uncompromised, independent, conflict-free research. We aim to provide differentiated and actionable primary and bottom up fundamental research.

Commodities

we expand on our previous note <a href="https://www.smartkarma.com/insights/gold-is-it-the-beginning-of-new-golden-era-or-end-of-the-bull-run" target="_blank" data-smartkarma-citation="insights:12832" rel="noopener">Gold: Is It the Beginning of New Golden Era or End of the Bull Run?</a> Our analysis of returns on gold and gold-stock indicates the following:<ul>
<li>Gold stocks and gold commodity had no returns in FY18,</li>
<li>YTD FY19 gold stocks returns were superior compared to gold commodity,</li>
<li>Our portfolio of 11 gold producers returned 55% YTD with a Sharpe ratio of ~2.</li>
<li>Given the volatility in markets, we believe that ‘flight to safety’ will continue in short to mid-term, supporting gold prices.</li>
</ul>

we expand on our previous note Gold: Is It the Beginning of New Golden Era or End of the Bull Run? Our analysis of returns on gold and gold-stock indicates the following:
Gold stocks and gold commodity had no returns in FY18,
YTD FY19 gold stocks returns were superior compared to gold commodity,
Our portfolio of 11 gold producers returned 55% YTD with a Sharpe ratio of ~2.
Given the volatility in markets, we believe that ‘flight to safety’ will continue in short to mid-term, supporting gold prices.


South Africa

AngloGold Ashanti Limited is a holding company for a group of companies which explore for and mine gold internationally. The Group has operations in the Vaal River and West Witwatersrand areas of South Africa as well as Namibia, Mali, Brazil, Argentina, Australia, Tanzania and the United States.

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Anglogold Ashanti (ANG SJ)

DMA JSE June 26 Rebalance: No Changes to the Top 40 | MTN, CPI Top Buys, AGL, ANG, BTI Top Sells

JSE indices are due for rebalancing in the closing auction today. There will be no constituent changes to the Top 40, All Share, FINI, FINDI,...

DMA

U.S. Equity Strategy: Round Trip Back To Resistance

Our base case continues to be for near-term consolidation while the market determines the implications of states’ reopening (i.e., the...

Vermilion Research

Weakening Dollar, Strengthening Commodities

We continue to see increasingly more reasons to be bullish than not, and we believe the path of least resistance is higher for US equities. We also...

Vermilion Research

Gold Miners ETF (GDX US) June Rebalance: 3 Adds Likely; US$1.6bn Trade

The June changes for GDX will be announced after market close today and implemented after market close on 19 June. We forecast 5 adds: Zijin Gold,...

Brian Freitas

Gold: Gold Stocks Making a Comeback?

we expand on our previous note Gold: Is It the Beginning of New Golden Era or End of the Bull Run? Our analysis of returns on gold and gold-stock...

Venkat Ramana Nandyal

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