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>
<a href="https://www.smartkarma.com/entities/life-insurance-corp-of-india-lic" target="_blank" data-smartkarma-citation="entities:28829:1" rel="noopener">Life Insurance Corp of India (LIC) (LICI IN)</a> and <a href="https://www.smartkarma.com/entities/tata-power-co-ltd" target="_blank" data-smartkarma-citation="entities:15618:1" rel="noopener">Tata Power (TPWR IN)</a> will replace <a href="https://www.smartkarma.com/entities/nmdc-ltd" target="_blank" data-smartkarma-citation="entities:2016:1" rel="noopener">Nmdc Ltd (NMDC IN)</a> and <a href="https://www.smartkarma.com/entities/piramal-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:14158:1" rel="noopener">Piramal Enterprises (PIEL IN)</a> at the close on 5 August.</li>
<li>In September, <a href="https://www.smartkarma.com/entities/adani-wilmar" target="_blank" data-smartkarma-citation="entities:34763:1" rel="noopener">Adani Wilmar (AWLTD IN)</a>, <a href="https://www.smartkarma.com/entities/indian-railway-catering-and-tourism-corporation-limited" target="_blank" data-smartkarma-citation="entities:33951:1" rel="noopener">Indian Railway Catering and Tourism (IRCTC IN)</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics (BHE IN)</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics Ltd (HNAL IN)</a> and <a href="https://www.smartkarma.com/entities/mphasis-ltd" target="_blank" data-smartkarma-citation="entities:7672:1" rel="noopener">Mphasis Ltd (MPHL IN)</a> are potential inclusions.</li>
<li>At over 4 days of deliverable volume to trade, the impact is especially large on  <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics (BHE IN)</a>, <a href="https://www.smartkarma.com/entities/zydus-lifesciences-ltd" target="_blank" data-smartkarma-citation="entities:12914:1" rel="noopener">Zydus Lifesciences Ltd (ZYDUSLIF IN)</a> and <a href="https://www.smartkarma.com/entities/lupin-ltd" target="_blank" data-smartkarma-citation="entities:17910:1" rel="noopener">Lupin Ltd (LPC IN)</a>. </li>
</ul>



Life Insurance Corp of India (LIC) (LICI IN) and Tata Power (TPWR IN) will replace Nmdc Ltd (NMDC IN) and Piramal Enterprises (PIEL IN) at the close on 5 August.
In September, Adani Wilmar (AWLTD IN), Indian Railway Catering and Tourism (IRCTC IN), Bharat Electronics (BHE IN), Hindustan Aeronautics Ltd (HNAL IN) and Mphasis Ltd (MPHL IN) are potential inclusions.
At over 4 days of deliverable volume to trade, the impact is especially large on  Bharat Electronics (BHE IN), Zydus Lifesciences Ltd (ZYDUSLIF IN) and Lupin Ltd (LPC IN). 


NIFTY100 Index Rebalance Preview: Couple of Changes in August, Then 5 More in September

<ul>
<li>As expected, the December review of the <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index (SENSEX INDEX)</a> sees <a href="https://www.smartkarma.com/entities/wipro-ltd" target="_blank" data-smartkarma-citation="entities:15360:1" rel="noopener">Wipro Ltd (WPRO IN)</a> added and <a href="https://www.smartkarma.com/entities/bajaj-auto-ltd" target="_blank" data-smartkarma-citation="entities:3613:1" rel="noopener">Bajaj Auto Ltd (BJAUT IN)</a> deleted.</li>
<li>Buying on Wipro is 2.5 days of ADV and 8.2 days of delivery volume, while selling on Bajaj Auto is 4.5 days of ADV and 8.9 days of delivery volume.</li>
<li>The overweight of the Information Technology sector in the Sensex gets even bigger and the Consumer Discretionary sector gets even more underweighted vs the BSE All Cap Index.</li>
</ul>


As expected, the December review of the S&amp;P BSE SENSEX Index (SENSEX INDEX) sees Wipro Ltd (WPRO IN) added and Bajaj Auto Ltd (BJAUT IN) deleted.
Buying on Wipro is 2.5 days of ADV and 8.2 days of delivery volume, while selling on Bajaj Auto is 4.5 days of ADV and 8.9 days of delivery volume.
The overweight of the Information Technology sector in the Sensex gets even bigger and the Consumer Discretionary sector gets even more underweighted vs the BSE All Cap Index.


SENSEX Dec 21 Index Rebalance: Wipro Added, Bajaj Auto Deleted

Event-Driven

<div>The Indian mutual fund industry has assets of almost INR 6.6 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap, Small Cap and Flexi Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks. Flexi cap funds can invest across market caps.</div><div>
The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.
At the next recategorization in July 2021, we see 7 stocks moving from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 13 stocks are expected to move from the small cap segment to the mid cap segment with the 16 stocks moving from the mid cap to the small cap segment. There are 3 recent listings that will enter the mid cap segment with over 18 joining the small cap segment.
Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.
</div>

The Indian mutual fund industry has assets of almost INR 6.6 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap, Small Cap and Flexi Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks. Flexi cap funds can invest across market caps.
The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.
At the next recategorization in July 2021, we see 7 stocks moving from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 13 stocks are expected to move from the small cap segment to the mid cap segment with the 16 stocks moving from the mid cap to the small cap segment. There are 3 recent listings that will enter the mid cap segment with over 18 joining the small cap segment.
Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.


India: Stock Reclassification & Active Portfolio Management

Pan-Asia Catalysts/Events, Quiddity Advisors

Travis Lundy

Pan-Asia Catalysts/Events

Quiddity Advisors

On 29 May 2020, the promoters of <a href="https://www.smartkarma.com/entities/adani-power-ltd" target="_blank" data-smartkarma-citation="entities:247:1" rel="noopener">Adani Power Ltd (ADANI IN)</a> announced a proposed Delisting Offer. It was duly put to the board, approved, then put to shareholders, and shareholders approved the move to allow progress on the Delisting Offer and concomitant Reverse Book Build auction. 
The deadline for the company to apply to the Stock Exchange for In-Principle Approval of Delisting is one year from the shareholder approval (23 July 2020). That leaves plenty of time. 
The Indicative Price for the Delisting Offer was Rs. 33.85/share. Yesterday, the stock fell by the limit and closed at nearly three times that price at Rs. 99.15/share. 
There isn't much coverage, but there doesn't need to be. It is not really going up because of fundamentals as far as I can tell. 
The shareholder movement in calendar Q4 last year was instructive.

On 29 May 2020, the promoters of Adani Power Ltd (ADANI IN) announced a proposed Delisting Offer. It was duly put to the board, approved, then put to shareholders, and shareholders approved the move to allow progress on the Delisting Offer and concomitant Reverse Book Build auction. 
The deadline for the company to apply to the Stock Exchange for In-Principle Approval of Delisting is one year from the shareholder approval (23 July 2020). That leaves plenty of time. 
The Indicative Price for the Delisting Offer was Rs. 33.85/share. Yesterday, the stock fell by the limit and closed at nearly three times that price at Rs. 99.15/share. 
There isn't much coverage, but there doesn't need to be. It is not really going up because of fundamentals as far as I can tell. 
The shareholder movement in calendar Q4 last year was instructive. 

On 29 May, post India market close, <a href="https://www.smartkarma.com/entities/adani-power-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:247:1">Adani Power Ltd (ADANI IN)</a> informed the Exchanges that Adani Properties Private Limited (a member of the Promoter Group) had expressed its intention to acquire all shares of <a href="https://www.smartkarma.com/entities/adani-power-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:247:1">Adani Power Ltd (ADANI IN)</a> held by the public shareholders and, if successful, delist the company from the Stock Exchanges.The Promoter Group holds 74.97% of the equity share capital of the company with the public shareholders holding the remaining 25.03%. However, the public shareholders may not really be 'public' after all. The same shareholder names appear in a lot of Adani group companies leading us to believe that there is more than meets the eye.The floor price (VWAP over the last 60 trading days prior to the company announcement of the delisting) works out to INR 33.8078 and is at a premium to the stock price over the last month but at a big discount to longer term prices and VWAPs.We feel that the Promoter Group has this almost sewn up and there will not be a massive premium to the current market price. Investors can buy stock up to INR 36-38 per share expecting to tender their shares around the INR 42-44 per share range.

On 29 May, post India market close, Adani Power Ltd (ADANI IN) informed the Exchanges that Adani Properties Private Limited (a member of the Promoter Group) had expressed its intention to acquire all shares of Adani Power Ltd (ADANI IN) held by the public shareholders and, if successful, delist the company from the Stock Exchanges.The Promoter Group holds 74.97% of the equity share capital of the company with the public shareholders holding the remaining 25.03%. However, the public shareholders may not really be 'public' after all. The same shareholder names appear in a lot of Adani group companies leading us to believe that there is more than meets the eye.The floor price (VWAP over the last 60 trading days prior to the company announcement of the delisting) works out to INR 33.8078 and is at a premium to the stock price over the last month but at a big discount to longer term prices and VWAPs.We feel that the Promoter Group has this almost sewn up and there will not be a massive premium to the current market price. Investors can buy stock up to INR 36-38 per share expecting to tender their shares around the INR 42-44 per share range.

Adani Power Delisting - Going Off The Grid

India

Adani Total Gas Limited is a prominent Indian city gas distribution company that develops networks to supply Piped Natural Gas (PNG) to industrial, commercial, and domestic customers, and Compressed Natural Gas (CNG) to the transport sector. The company also diversifies into E-mobility (EV charging), Compressed Bio-Gas, and Hydrogen blending. It was incorporated in 2005 and is headquartered in Ahmedabad, Gujarat, India.

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Adani Total Gas (ATGL IN)

NIFTY100 Index Rebalance Preview: Couple of Changes in August, Then 5 More in September

There are two index changes at the close on 5 August, then there should be 5 more at the close on 29 September. Passive funds will have over 4-5...

Brian Freitas

SENSEX Dec 21 Index Rebalance: Wipro Added, Bajaj Auto Deleted

Wipro will be added to the Sensex in December while Bajaj Auto will be deleted. Impact on both stocks is over 8 days of delivery volume to trade....

Brian Freitas

India: Stock Reclassification & Active Portfolio Management

There are a lot of segment changes expected in July when AMFI recategorizes stocks and mutual funds start to rebalance their portfolios. We...

Brian Freitas

Adani Power: How Much Is Too Much?

Adani Power is +99%ytd after spiking nearly 60% in early Dec20 and falling back 20%. Volumes are much higher than share ownership changes. There is...

Travis Lundy

Adani Power Delisting - Going Off The Grid

On 29 May, post India market close, Adani Power Ltd (ADANI IN) informed the Exchanges that Adani Properties Private Limited (a member of the...

Brian Freitas

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