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>There are 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.</li>
<li>Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn (US$384m). There are 13 stocks with over 0.5x ADV to trade, mostly on the deletes.</li>
<li>After steady outperformance over the last few months, there was a selloff in momentum names following the announcement of the election results. There has been a recovery since then.</li>
</ul>


There are 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.
Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn (US$384m). There are 13 stocks with over 0.5x ADV to trade, mostly on the deletes.
After steady outperformance over the last few months, there was a selloff in momentum names following the announcement of the election results. There has been a recovery since then.


NIFTY200 Momentum30 Index Rebalance: 13 Changes, 42% Turnover, Momentum Recovers After Selloff

<ul>
<li>There could be 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.</li>
<li>If all changes are on expected lines, one-way turnover is estimated at 48.8% and that will result in a one-way trade of INR 35.5bn (US$426m).</li>
<li>Since January, the potential adds to the index have outperformed the potential deletes by a big margin. Watch out for the general election results on 4 June for momentum change.</li>
</ul>


There could be 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.
If all changes are on expected lines, one-way turnover is estimated at 48.8% and that will result in a one-way trade of INR 35.5bn (US$426m).
Since January, the potential adds to the index have outperformed the potential deletes by a big margin. Watch out for the general election results on 4 June for momentum change.


NIFTY200 Momentum30 Index Rebalance Preview: 49% Turnover; US$850m Trade; Election Results Coming

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Equity Capital Markets

Nexus Select Trust / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/nexus-select-trust" target="_blank" data-smartkarma-citation="entities:36566:1" rel="noopener">Nexus Select Trust (NST IN)</a> raised around US$391m in its India IPO in May 2023.</li>
<li>NST is a REIT with a portfolio of 17 Grade A urban consumption centers. Its portfolio covers retail malls, office assets, hospitality assets and a renewable power plant. </li>
<li>In this note, we talk about the upcoming lock-up expiry and possible deal dynamics.</li>
</ul>



Nexus Select Trust (NST IN) raised around US$391m in its India IPO in May 2023.
NST is a REIT with a portfolio of 17 Grade A urban consumption centers. Its portfolio covers retail malls, office assets, hospitality assets and a renewable power plant. 
In this note, we talk about the upcoming lock-up expiry and possible deal dynamics.


Nexus Select Trust IPO Lockup Expiry - US$1.5bn Stake Comes Free. Will Likely Be a Coordinated Exit

Event-Driven

<ul>
<li>Companies in India have disclosed their shareholding pattern as of end-December in January. There are companies with significant float changes from end-September and/or end-December.</li>
<li>The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.</li>
<li>There are 15 stocks that could have passive inflows from global trackers while 9 could see passive outflows in February.</li>
</ul>


Companies in India have disclosed their shareholding pattern as of end-December in January. There are companies with significant float changes from end-September and/or end-December.
The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.
There are 15 stocks that could have passive inflows from global trackers while 9 could see passive outflows in February.


India: Free Float Changes & Passive Flows in February

Bharat Heavy Electricals / Index Rebalance

<ul>
<li>There are 18 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 28 December. We had forecast all the index changes.</li>
<li>Estimated one-way turnover is 57.7% resulting in a one-way trade of INR 21.75bn (US$261m). 8 stocks have over 1x ADV to trade; 21 stocks have atleast 0.5x ADV to trade.</li>
<li>The adds have continued to outperform the deletes and the index and there could be further outperformance heading into year-end and buying from passive trackers.</li>
</ul>


There are 18 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 28 December. We had forecast all the index changes.
Estimated one-way turnover is 57.7% resulting in a one-way trade of INR 21.75bn (US$261m). 8 stocks have over 1x ADV to trade; 21 stocks have atleast 0.5x ADV to trade.
The adds have continued to outperform the deletes and the index and there could be further outperformance heading into year-end and buying from passive trackers.


NIFTY200 Momentum30 Index Rebalance: 18 Changes a Side, 58% Turnover, Momentum Intact

India

DLF Limited is an Indian commercial real estate development company that develops residential, commercial, and retail properties, including luxury residential complexes, office spaces, and shopping malls. The company operates across various locations in India, with a significant presence in Gurugram, Delhi, Hyderabad, Noida, and Chennai. DLF Limited was founded by Chaudhary Raghvendra Singh in 1946 and is headquartered in Gurugram, Haryana, India.

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DLF (DLFU IN)

NIFTY200 Momentum30 Index Rebalance: 13 Changes, 42% Turnover, Momentum Recovers After Selloff

There are 13 changes for the Nifty200 Momentum 30 Index. Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn. The adds...

Brian Freitas

NIFTY200 Momentum30 Index Rebalance Preview: 49% Turnover; US$850m Trade; Election Results Coming

There could be 13 changes for the Nifty200 Momentum 30 Index in June. The potential adds have outpeformed the potential deletes. Results of the...

Brian Freitas

Nexus Select Trust IPO Lockup Expiry - US$1.5bn Stake Comes Free. Will Likely Be a Coordinated Exit

Nexus Select Trust (NST IN) raised around US$391m in its India IPO in May 2023. The company's pre-IPO shareholders will be released from their...

Sumeet Singh

India: Free Float Changes & Passive Flows in February

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 3...

Brian Freitas

NIFTY200 Momentum30 Index Rebalance: 18 Changes a Side, 58% Turnover, Momentum Intact

The adds and deletes have performed in line since announcement of the changes a little over a week ago. With 10 trading days to implementation,...

Brian Freitas

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