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>NSE Indices has continued to use the current index methodology to come up with the 5 adds/deletes. The proposed methodology seems to be put on ice for reasons unknown.</li>
<li>
<a href="https://www.smartkarma.com/entities/punjab-national-bank" target="_blank" data-smartkarma-citation="entities:542:1" rel="noopener">Punjab National Bank</a>, <a href="https://www.smartkarma.com/entities/shriram-transport-finance" target="_blank" data-smartkarma-citation="entities:253:1" rel="noopener">Shriram Transport Finance</a>, <a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent</a>, <a href="https://www.smartkarma.com/entities/tvs-motor-co-ltd" target="_blank" data-smartkarma-citation="entities:16123:1" rel="noopener">TVS Motor</a> and <a href="https://www.smartkarma.com/entities/zydus-lifesciences-ltd" target="_blank" data-smartkarma-citation="entities:12914:1" rel="noopener">Zydus Lifesciences</a> will replace <a href="https://www.smartkarma.com/entities/acc-ltd" target="_blank" data-smartkarma-citation="entities:183:1" rel="noopener">ACC</a>, <a href="https://www.smartkarma.com/entities/fsn-e-commerce-ventures-nykaa" target="_blank" data-smartkarma-citation="entities:33796:1" rel="noopener">FSN E-Commerce Ventures</a>, <a href="https://www.smartkarma.com/entities/hdfc-asset-management-co-ltd" target="_blank" data-smartkarma-citation="entities:27027:1" rel="noopener">HDFC Asset Management</a>, <a href="https://www.smartkarma.com/entities/indus-towers-ltd" target="_blank" data-smartkarma-citation="entities:8922:1" rel="noopener">Indus Towers</a> and <a href="https://www.smartkarma.com/entities/page-industries-ltd" target="_blank" data-smartkarma-citation="entities:4940:1" rel="noopener">Page Industries</a>.</li>
<li>The adds, deletes, capping and funding changes will result in one-way turnover of 13% and in a one-way trade of INR 20.77bn. The impact on the adds/deletes is big.</li>
</ul>


NSE Indices has continued to use the current index methodology to come up with the 5 adds/deletes. The proposed methodology seems to be put on ice for reasons unknown.

Punjab National Bank, Shriram Transport Finance, Trent, TVS Motor and Zydus Lifesciences will replace ACC, FSN E-Commerce Ventures, HDFC Asset Management, Indus Towers and Page Industries.
The adds, deletes, capping and funding changes will result in one-way turnover of 13% and in a one-way trade of INR 20.77bn. The impact on the adds/deletes is big.


NIFTY NEXT50 Index Rebalance: Five Changes; Big Impact; Cross Index Flow

<ul>
<li>The review period for the September rebalance of the S&amp;P/ASX family of indices ends on Friday. There will be a lot of changes across the family.</li>
<li>Hang Seng Indices will announce the changes to the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> and the HSCI after market close on Friday.</li>
<li>There were HUGE inflows to onshore China focused ETFs during the week with <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300 Index</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500 Index</a> and <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50 Index</a> ETFs taking in the largest amounts.</li>
</ul>


The review period for the September rebalance of the S&amp;P/ASX family of indices ends on Friday. There will be a lot of changes across the family.
Hang Seng Indices will announce the changes to the Hang Seng Index, Hang Seng China Enterprises Index, Hang Seng TECH Index and the HSCI after market close on Friday.
There were HUGE inflows to onshore China focused ETFs during the week with CSI 300 Index, CSI 500 Index and SSE50 Index ETFs taking in the largest amounts.


Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/power-finance-corporation" target="_blank" data-smartkarma-citation="entities:13579:1" rel="noopener">Power Finance</a>, <a href="https://www.smartkarma.com/entities/astral-poly-technik-ltd" target="_blank" data-smartkarma-citation="entities:7890:1" rel="noopener">Astral</a>, <a href="https://www.smartkarma.com/entities/idfc-first-bank-limited" target="_blank" data-smartkarma-citation="entities:26934:1" rel="noopener">IDFC First Bank</a>, <a href="https://www.smartkarma.com/entities/cummins-india-ltd" target="_blank" data-smartkarma-citation="entities:7365:1" rel="noopener">Cummins India</a>, <a href="https://www.smartkarma.com/entities/hdfc-asset-management-co-ltd" target="_blank" data-smartkarma-citation="entities:27027:1" rel="noopener">HDFC Asset Management</a>, <a href="https://www.smartkarma.com/entities/ashok-leyland-ltd" target="_blank" data-smartkarma-citation="entities:20104:1" rel="noopener">Ashok Leyland</a>, <a href="https://www.smartkarma.com/entities/polycab-india-ltd" target="_blank" data-smartkarma-citation="entities:27877:1" rel="noopener">Polycab India</a> and <a href="https://www.smartkarma.com/entities/supreme-industries-ltd" target="_blank" data-smartkarma-citation="entities:11443:1" rel="noopener">Supreme Industries</a> have all run up over the recent past and have investor attention.</li>
<li>The increase in market cap has put the stocks on active manager radars and could also result in the stocks being added to global indices in the near future.</li>
<li>We take a look at the positioning on the stocks and recommend pair trades to reduce market risk while trying to capture alpha.</li>
</ul>



Power Finance, Astral, IDFC First Bank, Cummins India, HDFC Asset Management, Ashok Leyland, Polycab India and Supreme Industries have all run up over the recent past and have investor attention.
The increase in market cap has put the stocks on active manager radars and could also result in the stocks being added to global indices in the near future.
We take a look at the positioning on the stocks and recommend pair trades to reduce market risk while trying to capture alpha.


India - Positioning on Some Interesting Names

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, and 200 Indices in the December 2023 Rebalance.</li>
<li>In July, we saw the deletion of <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a> from several indices in this family which triggered multiple intra-review index changes.</li>
<li>At present, I do not see any changes for the SENSEX index but I see seven ADDs/DELs for BSE 100 and five ADDs/DELs for BSE 200.</li>
</ul>


In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, and 200 Indices in the December 2023 Rebalance.
In July, we saw the deletion of HDFC Limited (HDFC IN) from several indices in this family which triggered multiple intra-review index changes.
At present, I do not see any changes for the SENSEX index but I see seven ADDs/DELs for BSE 100 and five ADDs/DELs for BSE 200.


Quiddity Leaderboard BSE/​​​​SENSEX Dec 23: 7 Changes for BSE 100 and 5 Changes for BSE 200

<ul>
<li>Using the current index methodology throws up 5 changes for the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index (NIFTYJR INDEX)</a> in September. Turnover will be BIG.</li>
<li>Using the proposed index methodology throws up 11 changes for the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index (NIFTYJR INDEX)</a> in September. Turnover will be HUGE.</li>
<li>The market consultation being put on hold could indicate pushback from index users or the possibility of F&amp;O contracts being introduced on some of the non-F&amp;O index constituents.</li>
</ul>


Using the current index methodology throws up 5 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September. Turnover will be BIG.
Using the proposed index methodology throws up 11 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September. Turnover will be HUGE.
The market consultation being put on hold could indicate pushback from index users or the possibility of F&amp;O contracts being introduced on some of the non-F&amp;O index constituents.


NIFTY/NEXT50 Index Rebalance Preview: Loads of Changes if Proposed Methodology Is Implemented

India

Cummins India Limited manufactures internal combustion engines, including diesel, reciprocating piston, gas turbine and gasoline engines. The Company also manufactures generating sets and public transport-type passenger motor vehicles, including luxury coaches and air-field buses.  In addition, Cummins India Ltd. operates a computerized and fully-equipped research and development facility.

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Cummins India (KKC IN)

NIFTY NEXT50 Index Rebalance: Five Changes; Big Impact; Cross Index Flow

There are 5 changes for the NEXT50 Index as the existing methodology is used. Turnover is huge and there will be big impact on a lot of stocks....

Brian Freitas

Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

India - Positioning on Some Interesting Names

Quite a few Indian stocks have jumped in price recently and the increased market cap will put them on active investors radars and could get the...

Brian Freitas

Quiddity Leaderboard BSE/SENSEX Dec 23: 7 Changes for BSE 100 and 5 Changes for BSE 200

All else equal, if Wipro's average share price for the remainder of the reference period is more than 17% lower than the latest price, the company...

Janaghan Jeyakumar, CFA

NIFTY/NEXT50 Index Rebalance Preview: Loads of Changes if Proposed Methodology Is Implemented

There could be 5 changes with the current methodology or 11 with the proposed methodology. Turnover will be big in both cases. There is a lot of...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

NIFTY NEXT50 Index Rebalance: Five Changes; Big Impact; Cross Index Flow

There are 5 changes for the NEXT50 Index as the existing methodology is used. Turnover is huge and there will be big impact on a lot of stocks....

Brian Freitas

Index Rebalance & ETF Flow Recap: JPXNK400, Kenedix, Positioning - India, Japan, Korea

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

India - Positioning on Some Interesting Names

Quite a few Indian stocks have jumped in price recently and the increased market cap will put them on active investors radars and could get the...

Brian Freitas

Quiddity Leaderboard BSE/​​​​SENSEX Dec 23: 7 Changes for BSE 100 and 5 Changes for BSE 200

All else equal, if Wipro's average share price for the remainder of the reference period is more than 17% lower than the latest price, the company...

Janaghan Jeyakumar, CFA

NIFTY/NEXT50 Index Rebalance Preview: Loads of Changes if Proposed Methodology Is Implemented

There could be 5 changes with the current methodology or 11 with the proposed methodology. Turnover will be big in both cases. There is a lot of...

Brian Freitas

Quiddity Leaderboard BSE/SENSEX Dec 23: 7 Changes for BSE 100 and 5 Changes for BSE 200