Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.</li>
<li>In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.</li>
<li>In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.</li>
</ul>


The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.
In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.
In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.


NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

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

<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

Asset Allocation & Fund Positioning, Copley Fund Research

Steven Holden

Asset Allocation & Fund Positioning

Copley Fund Research

Copley Fund Research provide research and data on asset allocation among Global and Emerging Market equity funds.  The analysis details absolute and relative positioning across countries, sectors and industries together with highly granular data on single stock and single fund allocations.  The data is updated monthly with time series going back to January 2011.

Global Research - Analysis of 165 prominent Global equity funds, combined AUM $335bn
GEM Research - Analysis of 127 prominent global EM equity funds, combined AUM $250bn

Asset Allocation - Global and GEM Equity

Thematic (Sector/Industry)

<ul>
<li>Utilities ownership among Asia Ex-Japan funds has fallen to its lowest levels on record. Average fund weights stand at an all-time low of 0.98%, with just 41.3% of funds invested</li>
<li>Record underweights driven by benchmark increases in stocks that active managers have ignored (Adani Green Energy, Adani Transmission and Adani Gas).</li>
<li>Investor flight driven by Growth investors, with Aggressive Growth strategies all but abandoning the sector.  If risk assets continue to deteriorate, some of that rotation may start to reverse.</li>
</ul>


Utilities ownership among Asia Ex-Japan funds has fallen to its lowest levels on record. Average fund weights stand at an all-time low of 0.98%, with just 41.3% of funds invested
Record underweights driven by benchmark increases in stocks that active managers have ignored (Adani Green Energy, Adani Transmission and Adani Gas).
Investor flight driven by Growth investors, with Aggressive Growth strategies all but abandoning the sector.  If risk assets continue to deteriorate, some of that rotation may start to reverse.


Utilities: Record Underweight as Active Managers Exit

External broker reports(aggregated public sources), ICICI Securities Ltd

ICICI Securities Limited

External broker reports(aggregated public sources)

ICICI Securities Ltd

ICICI Securities Limited provides investment services. The Company provides corporate and investment banking, securities, wealth management, retail brokerage, initial public offerings, and advisory services. 

Content available is external broker reports authored by a third party outside the Smartkarma network and has been aggregated by an online aggregator through publicly available sources and is displayed by Smartkarma in this format for user's convenience and general informational purposes only. Content does not constitute investment or financial advice and Smartkarma makes no representation or warranty regarding its accuracy or contents. Original third party author retains all copyright and other proprietary rights in the content. Access or use of third party links not controlled by Smartkarma are at the user's own risk.

Equity Bottom-Up

<ul><li>Adani Total Gas (ATGL) is India’s largest private city gas distribution company with highest number of geographical areas.</li><li>It has license to cater to 52 geographical areas on a consolidated basis</li><li>Target Price and Valuation: We value ATGL at Rs 1775/share based DCF method.</li></ul><div class="content-highlight"><em>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.</em></div>

Adani Total Gas (ATGL) is India’s largest private city gas distribution company with highest number of geographical areas.It has license to cater to 52 geographical areas on a consolidated basisTarget Price and Valuation: We value ATGL at Rs 1775/share based DCF method.Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

Adani Gas: Higher Gas Costs Impact Gross Margins

<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

India

Adani Total Gas Limited provides utility services. The Company produces and distributes natural gas. Adani Total Gas offers industrial and compressed natural gas (CNG) to commercial, residential, and transports sectors in India.

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Adani Total Gas (ATGL IN)

NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

I expect at least one change for NIFTY 50 and I expect 5 and 25 ADDs/DELs for NIFTY 100 and NIFTY 500 respectively. Adani Total Gas (ATGL IN) could...

Janaghan Jeyakumar, CFA

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

Utilities: Record Underweight as Active Managers Exit

Utilities ownership among Asia Ex-Japan funds has fallen to its lowest levels on record. Average fund weights stand at an all-time low of 0.98%,...

Steven Holden

Adani Gas: Higher Gas Costs Impact Gross Margins

Adani Total Gas (ATGL) is India’s largest private city gas distribution company with highest number of geographical areas.

ICICI Securities Limited

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

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