Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>In this insight, we take a look at the potential index changes for F100 and F250 in the run-up to the June 2024 index rebal event.</li>
<li>I see two regular changes for the F100 index during the June 2024 review. There are more names very close to triggering F100 index changes.</li>
<li>I see eight other changes for F250 in the run up to the June 2024 review including three intra-review changes. <strong>One of those intra-review changes will be confirmed later today.</strong>
</li>
</ul>


In this insight, we take a look at the potential index changes for F100 and F250 in the run-up to the June 2024 index rebal event.
I see two regular changes for the F100 index during the June 2024 review. There are more names very close to triggering F100 index changes.
I see eight other changes for F250 in the run up to the June 2024 review including three intra-review changes. One of those intra-review changes will be confirmed later today.



Quiddity Leaderboard F100/​​​250 Jun 24: Potential ADDs Could Outperform the Index

<ul>
<li>In this insight, we take a look at the potential index changes for F100 and F250 in the run-up to the June 2024 index rebal event.</li>
<li>There could be up to three intra-review changes for the F250 index during the next two months.</li>
<li>Separately, there could be one change for F100 and two changes for F250 during the regular rebalance in June 2024.</li>
</ul>


In this insight, we take a look at the potential index changes for F100 and F250 in the run-up to the June 2024 index rebal event.
There could be up to three intra-review changes for the F250 index during the next two months.
Separately, there could be one change for F100 and two changes for F250 during the regular rebalance in June 2024.


Quiddity Leaderboard F100/​​​250 Jun 24: LONG OCN - SHORT FSJ Could Be Interesting

<ul>
<li>In this insight, we take a look at the potential index changes for F100 and F250 in the run-up to the March 2024 index rebal event.</li>
<li>Although I do not see any regular ADDs/DELs for the March 2024 rebalance, there might be one or two intra-review changes during the first quarter of 2024. </li>
<li>These intra-review changes will be triggered by the completion of M&amp;A events and it is important to know which names are leading the race to become intra-review ADDs.</li>
</ul>


In this insight, we take a look at the potential index changes for F100 and F250 in the run-up to the March 2024 index rebal event.
Although I do not see any regular ADDs/DELs for the March 2024 rebalance, there might be one or two intra-review changes during the first quarter of 2024. 
These intra-review changes will be triggered by the completion of M&amp;A events and it is important to know which names are leading the race to become intra-review ADDs.


Quiddity Leaderboard F100/​​​250 Mar 24: Intra-Review Replacements for NETW and LXI REIT

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.

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

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.

Equity Bottom-Up

<p><a href="https://www.smartkarma.com/entities/fortescue-metals-group-ltd" target="_blank" data-smartkarma-citation="entities:41:1" rel="noopener">Fortescue Metals (FMG AU)</a>, an Australian pure-play iron ore producer, has returned nearly 130%, whilst LSE listed <a href="https://www.smartkarma.com/entities/ferrexpo-plc" target="_blank" data-smartkarma-citation="entities:24163:1" rel="noopener">Ferrexpo Plc (FXPO LN)</a> is trading 25% lower YTD. These stocks have diverged from the Iron ore prices which have increased by only 20% YTD.    </p><p>More details below.</p>

Fortescue Metals (FMG AU), an Australian pure-play iron ore producer, has returned nearly 130%, whilst LSE listed Ferrexpo Plc (FXPO LN) is trading 25% lower YTD. These stocks have diverged from the Iron ore prices which have increased by only 20% YTD.    More details below.

Australian Material: FMG - Too Rich Compared to Its Peers?

Switzerland

Ferrexpo is a Swiss-headquartered iron ore company that produces and exports high-grade iron ore pellets and concentrate for the global steel industry. Its primary mining and processing operations are located in central Ukraine. The company was founded in 1960 and is headquartered in Baar, Switzerland.

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Ferrexpo (FXPO LN)

Quiddity Leaderboard F100/250 Jun 24: Potential ADDs Could Outperform the Index

The top 10 F250 potential ADDs could outperform the F250 index over the next few weeks. These names could have very high impact if they were to be...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard F100/250 Jun 24: LONG OCN - SHORT FSJ Could Be Interesting

There could be 50+ days of volume to buy in OCN if the stock outperforms the other F250 potential ADDs and climbs into the expected ADDs basket and...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard F100/250 Mar 24: Intra-Review Replacements for NETW and LXI REIT

F250 members Network International Holdings and LXI REIT could get deleted from the F250 index in 1Q 2024. The F250 potential ADDs leading the race...

Janaghan Jeyakumar, CFA

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

TMI

Elan Gore

Australian Material: FMG - Too Rich Compared to Its Peers?

Fortescue Metals (FMG AU), an Australian pure-play iron ore producer, has returned nearly 130%, whilst LSE listed Ferrexpo Plc (FXPO LN) is trading...

Venkat Ramana Nandyal

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52-week Range

Market Cap (USDm)

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Quiddity Leaderboard F100/​​​250 Jun 24: Potential ADDs Could Outperform the Index

The top 10 F250 potential ADDs could outperform the F250 index over the next few weeks. These names could have very high impact if they were to be...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard F100/​​​250 Jun 24: LONG OCN - SHORT FSJ Could Be Interesting

There could be 50+ days of volume to buy in OCN if the stock outperforms the other F250 potential ADDs and climbs into the expected ADDs basket and...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard F100/​​​250 Mar 24: Intra-Review Replacements for NETW and LXI REIT

F250 members Network International Holdings and LXI REIT could get deleted from the F250 index in 1Q 2024. The F250 potential ADDs leading the race...

Janaghan Jeyakumar, CFA

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

TMI

Elan Gore

Australian Material: FMG - Too Rich Compared to Its Peers?

Fortescue Metals (FMG AU), an Australian pure-play iron ore producer, has returned nearly 130%, whilst LSE listed Ferrexpo Plc (FXPO LN) is trading...

Venkat Ramana Nandyal

Quiddity Leaderboard F100/250 Jun 24: Potential ADDs Could Outperform the Index

Quiddity Leaderboard F100/250 Jun 24: LONG OCN - SHORT FSJ Could Be Interesting

Quiddity Leaderboard F100/250 Mar 24: Intra-Review Replacements for NETW and LXI REIT