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

Index Rebalance

<ul>
<li>In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. Then came the market consultation in August.</li>
<li>SEBI has now confirmed the changes along with the timeline for capping changes to the largest stocks in the index.</li>
<li>The changes could commence in December and continue till March. The adds will take place in December and weight changes for the largest stocks will take place in 4 tranches.</li>
</ul>


In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. Then came the market consultation in August.
SEBI has now confirmed the changes along with the timeline for capping changes to the largest stocks in the index.
The changes could commence in December and continue till March. The adds will take place in December and weight changes for the largest stocks will take place in 4 tranches.


NIFTY Bank Index: Methodology Changes to Result in Big Flows

Derivatives and Quantitative Strategist

Gaudenz Schneider

Equity Bottom-Up

<ul>
<li>
Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.</li>
<li>
Highlight: Currently eight pair trade opportunities across three markets and four sectors persist.</li>
<li>
Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs. </li>
</ul>



Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.

Highlight: Currently eight pair trade opportunities across three markets and four sectors persist.

Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs. 


Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (25 Aug)

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> vs. <a href="https://www.smartkarma.com/entities/idfc-first-bank-limited" target="_blank" data-smartkarma-citation="entities:26934:1" rel="noopener">IDFC First Bank (IDFCBK IN)</a> Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> and short <a href="https://www.smartkarma.com/entities/idfc-first-bank-limited" target="_blank" data-smartkarma-citation="entities:26934:1" rel="noopener">IDFC First Bank (IDFCBK IN)</a> targets a 9% return to the statistical mean reversion level.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The Yes Bank (YES IN) vs. IDFC First Bank (IDFCBK IN) Price-Ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Yes Bank (YES IN) and short IDFC First Bank (IDFCBK IN) targets a 9% return to the statistical mean reversion level.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Yes Bank (YES IN) Vs. IDFC First Bank (IDFCBK IN): Quant Divergence Opens Statistical Arb Window

Market & Forensics Analyst, Beat the Street

Nimish Maheshwari

Market & Forensics Analyst

Beat the Street

Beat The Street was founded by Nimish Maheshwari and Sudarshan Bhandari, both of whom are Chartered Accountants by Profession, known for their expert analysis in the fields of Business, Sectoral analysis, and Corporate governance.

With a strong social media presence of 45,000+ Subscribers across various platforms, they are considered trusted voices in the industry. Their insights and analysis have been featured in some of India’s most prominent publications, including the Economic Times, Dalal Street Investment Journal, The Morning Context, and The Ken.

Their analysis on Bankrupt & Insolvent companies has been instrumental in saving investors from significant losses. They have a keen eye for identifying red flags and has identified exclusive redflags earlier in Vedanta, Nykaa, Dhani Services, Adani and many more.

Read Business Not Stock Prices

Thematic (Sector/Industry)

<ul>
<li>The 0.4% MDR is not pure fintech revenue. Exemptions, fee-sharing, merchant behaviour and competitive incentives will determine how much reaches profits.</li>
<li>Paytm is the strongest listed beneficiary: Its presence across consumer UPI and merchant acquiring allows it to earn from both sides of eligible transactions.</li>
<li>Pine Labs, MobiKwik benefit differently: Pine Labs gains through merchant acquiring, while MobiKwik’s upside depends on scaling UPI volumes and merchant transactions.</li>
</ul>


The 0.4% MDR is not pure fintech revenue. Exemptions, fee-sharing, merchant behaviour and competitive incentives will determine how much reaches profits.
Paytm is the strongest listed beneficiary: Its presence across consumer UPI and merchant acquiring allows it to earn from both sides of eligible transactions.
Pine Labs, MobiKwik benefit differently: Pine Labs gains through merchant acquiring, while MobiKwik’s upside depends on scaling UPI volumes and merchant transactions.


How MDR Will Impact Paytm, Pinelabs, MobiKwik?

<ul>
<li>
Context: The <a href="https://www.smartkarma.com/entities/idfc-first-bank-limited" target="_blank" data-smartkarma-citation="entities:26934:1" rel="noopener">IDFC First Bank (IDFCFB IN)</a> vs. <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.</li>
<li>
Highlights: Going long <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> and short <a href="https://www.smartkarma.com/entities/idfc-first-bank-limited" target="_blank" data-smartkarma-citation="entities:26934:1" rel="noopener">IDFC First Bank (IDFCFB IN)</a> targets a 6% return, with Yes Bank supported by cheaper valuations.</li>
<li>
Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.</li>
</ul>



Context: The IDFC First Bank (IDFCFB IN) vs. Yes Bank (YES IN) price ratio has deviated more than two standard deviations from its one-year average, presenting a potential relative value opportunity.

Highlights: Going long Yes Bank (YES IN) and short IDFC First Bank (IDFCFB IN) targets a 6% return, with Yes Bank supported by cheaper valuations.

Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.


Yes Bank (YES IN) Vs IDFC First Bank (IDFCFB IN): Fresh Stat Arb Signal Backed by Historical Success

India

YES BANK Limited provides banking services. The Bank offers deposits, personal loans, e-banking, trade finance, corporate, and business banking services. YES BANK serves the food and agribusiness, life sciences, healthcare, biotechnology, telecommunications, media, information technology, and infrastructure development industries in India.

Price Gauge
52-week Range	0.00 - 0.00
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Yes Bank (YES IN)

NIFTY Bank Index: Methodology Changes to Result in Big Flows

The methodology and capping changes for the Nifty Bank Index will be implemented in 4 tranches, likely ending in March. The flows are big and the...

Brian Freitas

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (25 Aug)

Quantitative analysis identifies eight pair trade opportunities across three markets and four sectors, offering unique insights into relative value.

Gaudenz Schneider

Yes Bank (YES IN) Vs. IDFC First Bank (IDFCBK IN): Quant Divergence Opens Statistical Arb Window

Opportunity for mean reversion trade between Yes Bank and IDFC First Bank presents high potential with detailed execution framework and risk...

Gaudenz Schneider

How MDR Will Impact Paytm, Pinelabs, MobiKwik?

India’s decision to introduce a 0.4% Merchant Discount Rate on selected UPI merchant payments changes the economics of digital payments. The...

Nimish Maheshwari

Yes Bank (YES IN) Vs IDFC First Bank (IDFCFB IN): Fresh Stat Arb Signal Backed by Historical Success

Pair trade with a 6% target-return and a history of successful signals. Opportunity for quantitative traders seeking mean-reversion plays.

Gaudenz Schneider

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

NIFTY Bank Index: Methodology Changes to Result in Big Flows

The methodology and capping changes for the Nifty Bank Index will be implemented in 4 tranches, likely ending in March. The flows are big and the...

Brian Freitas

Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (25 Aug)

​Quantitative analysis identifies eight pair trade opportunities across three markets and four sectors, offering unique insights into relative value.

Gaudenz Schneider

Yes Bank (YES IN) Vs. IDFC First Bank (IDFCBK IN): Quant Divergence Opens Statistical Arb Window

​Opportunity for mean reversion trade between Yes Bank and IDFC First Bank presents high potential with detailed execution framework and risk...

Gaudenz Schneider

How MDR Will Impact Paytm, Pinelabs, MobiKwik?

India’s decision to introduce a 0.4% Merchant Discount Rate on selected UPI merchant payments changes the economics of digital payments. The...

Nimish Maheshwari

Yes Bank (YES IN) Vs IDFC First Bank (IDFCFB IN): Fresh Stat Arb Signal Backed by Historical Success

Pair trade with a 6% target-return and a history of successful signals. Opportunity for quantitative traders seeking mean-reversion plays.

Gaudenz Schneider

Quantitative analysis identifies eight pair trade opportunities across three markets and four sectors, offering unique insights into relative value.

Opportunity for mean reversion trade between Yes Bank and IDFC First Bank presents high potential with detailed execution framework and risk...