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>With the review period complete, <a href="https://www.smartkarma.com/entities/titan-co-ltd" target="_blank" data-smartkarma-citation="entities:12630:1" rel="noopener">Titan Co Ltd (TTAN IN)</a> should replace <a href="https://www.smartkarma.com/entities/indian-oil-corp-ltd" target="_blank" data-smartkarma-citation="entities:7781:1" rel="noopener">Indian Oil Corp (IOCL IN)</a> in the Nifty100 Low Volatility 30 Index at the close on 27 March.</li>
<li>Constituent changes, volatility changes and capping changes will result in one-way turnover of 13.2% resulting in a one-way trade of INR 4.2bn.</li>
<li>The flows on the stocks are not very large but there will be same side and offsetting flows from other index trackers at the same time.</li>
</ul>


With the review period complete, Titan Co Ltd (TTAN IN) should replace Indian Oil Corp (IOCL IN) in the Nifty100 Low Volatility 30 Index at the close on 27 March.
Constituent changes, volatility changes and capping changes will result in one-way turnover of 13.2% resulting in a one-way trade of INR 4.2bn.
The flows on the stocks are not very large but there will be same side and offsetting flows from other index trackers at the same time.


NIFTY100 Low Volatility 30 Index Rebalance Preview: Titan Could Replace IOCL

<ul>
<li>There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, HSIII and global indices.</li>
<li>The review period for the March rebalance of the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200</a> and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.</li>
<li>There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.</li>
</ul>


There will be a bunch of rebalance announcements towards the start and at the end of the coming week. This includes the HSI, HSCEI, HSTECH, HSCI, HSIII and global indices.
The review period for the March rebalance of the S&amp;P/ASX 200 and related indices ends on 16 February. The announcement of the changes will come couple of weeks later.
There were HUGE inflows to mainland China ETFs for yet another week as Central Huijin indicated that they would continue to buy/create ETFs units.


Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

<ul>
<li>There could be one change for the Nifty100 Low Volatility 30 Index that will be implemented at the close on 28 March.</li>
<li>Constituent changes, volatility changes and capping changes will result in one-way turnover of 12.6% and in a one-way trade of INR 3.7bn.</li>
<li>While the deletion is fairly certain, there are a few non-constituents around the same level of volatility and price movements over the next few weeks will determine the inclusion.</li>
</ul>


There could be one change for the Nifty100 Low Volatility 30 Index that will be implemented at the close on 28 March.
Constituent changes, volatility changes and capping changes will result in one-way turnover of 12.6% and in a one-way trade of INR 3.7bn.
While the deletion is fairly certain, there are a few non-constituents around the same level of volatility and price movements over the next few weeks will determine the inclusion.


NIFTY100 Low Volatility 30 Index Rebalance Preview: One Change in March

External broker reports(aggregated public sources), HDFC Securities

HDFC Securities

External broker reports(aggregated public sources)

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Equity Bottom-Up

<ul><li>Indian Oil Corporation (IOCL) stock rallied ~64% and outperformed the Sensex by ~52% over the last 3M, driven by improving auto fuel marketing margins as Brent crude price declined by ~14% to USD ~82/bbl over the same period and strong refining margins as diesel and jet fuel crack spreads averaged ~USD 23/bbl</li><li>We downgrade IOCL to a REDUCE from an ADD, with a target price of INR 140/sh, owing to the risk of (1) margin pressure due to increasing petchem supplies/capacity, (2) lower auto-fuel marketing margins, and (3) moderation in refining margins.</li><li>At CMP, IOCL’s valuation remains demanding, trading at 6.1x EV/EBITDA – a 35% premium to its 5-year average EV/EBITDA multiple of 4.5x.  </li></ul><p><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></p>

Indian Oil Corporation (IOCL) stock rallied ~64% and outperformed the Sensex by ~52% over the last 3M, driven by improving auto fuel marketing margins as Brent crude price declined by ~14% to USD ~82/bbl over the same period and strong refining margins as diesel and jet fuel crack spreads averaged ~USD 23/bblWe downgrade IOCL to a REDUCE from an ADD, with a target price of INR 140/sh, owing to the risk of (1) margin pressure due to increasing petchem supplies/capacity, (2) lower auto-fuel marketing margins, and (3) moderation in refining margins.At CMP, IOCL’s valuation remains demanding, trading at 6.1x EV/EBITDA – a 35% premium to its 5-year average EV/EBITDA multiple of 4.5x.  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.

Indian Oil Corporation: Margins to Moderate, Downgrade to Reduce

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

Petroleo Brasileiro  / Technical Analysis

<ul>
<li>Global growth stocks that have significantly outperformed since the October 2023 lows are starting to pull back, and we believe a continued pause/pullback is likely in these growth areas.</li>
<li>Meanwhile, we are seeing a clear shift into value and defensives, and we recommend adding exposure to these areas. This type of Sector rotation is common during bull markets.</li>
<li>Major supports continue to hold, including $98-99 on MSCI ACWI (ACWI-US), 4600 on the S&amp;P 500, 4400 on the EURO STOXX 50, and 2300 on the TOPIX</li>
</ul>


Global growth stocks that have significantly outperformed since the October 2023 lows are starting to pull back, and we believe a continued pause/pullback is likely in these growth areas.
Meanwhile, we are seeing a clear shift into value and defensives, and we recommend adding exposure to these areas. This type of Sector rotation is common during bull markets.
Major supports continue to hold, including $98-99 on MSCI ACWI (ACWI-US), 4600 on the S&amp;P 500, 4400 on the EURO STOXX 50, and 2300 on the TOPIX


Buys Within Global Energy, Health Care, and Utilities; Bullish Outlook Intact on Global Equities

India

Indian Oil Corporation Limited explores for and refines crude oil, in addition to manufacturing petroleum & petroleum products. The Company's products include lubricating oils, liquid petroleum gas, aviation turbine fuels, greases, wax, bitumen and asphalt. Indian Oil Corporation has retail outlets throughout India. The greatest majority shareholding in the Company is held by Indian Government.

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Indian Oil Corp (IOCL IN)

NIFTY100 Low Volatility 30 Index Rebalance Preview: Titan Could Replace IOCL

Titan should replace IOC in the Nifty100 Low Volatility 30 Index at the close on 27 March. Constituent, volatility and capping changes result in 1...

Brian Freitas

Index Rebalance & ETF Flow Recap: STAR100, NEXT50, LowVol30, KOSPI200, TW50, NWD, ITC, India Float

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

Brian Freitas

NIFTY100 Low Volatility 30 Index Rebalance Preview: One Change in March

There could be one change for the Nifty100 Low Volatility 30 Index in March. The deletion is fairly certain but there are 4 stocks vying for the...

Brian Freitas

Indian Oil Corporation: Margins to Moderate, Downgrade to Reduce

At CMP, IOCL’s valuation remains demanding, trading at 6.1x EV/EBITDA – a 35% premium to its 5-year average EV/EBITDA multiple of 4.5x.

HDFC Securities

Buys Within Global Energy, Health Care, and Utilities; Bullish Outlook Intact on Global Equities

Seeing a clear shift into value and defensives, and we recommend adding exposure to these areas globally. Constructive if supports hold: $98-99 on...

Vermilion Research

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