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>The <a href="https://www.smartkarma.com/entities/national-stock-exchange" target="_blank" data-smartkarma-citation="entities:23751:1" rel="noopener">National Stock Exchange (NSEIN IN)</a> has announced a list of 45 stocks that will be added to the Futures &amp; Options (F&amp;O) segment of the market from 29 November.</li>
<li>There will be changes to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a>, <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</a>, <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</a> and the CNXIT Index over the next couple of rebalances.</li>
<li>There are some interesting situations out there, including a change to the universe 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> that could lead to more changes. </li>
</ul>


The National Stock Exchange (NSEIN IN) has announced a list of 45 stocks that will be added to the Futures &amp; Options (F&amp;O) segment of the market from 29 November.
There will be changes to the NIFTY Index, NSE Nifty Next 50 Index, S&amp;P BSE SENSEX Index and the CNXIT Index over the next couple of rebalances.
There are some interesting situations out there, including a change to the universe for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that could lead to more changes. 


INDIA: Index Changes Due to the 45 New Additions to the F&O Segment

<ul>
<li>The last week was a very busy one. The coming week has some announcements and implementations but is a relatively quieter one.</li>
<li>The <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index changes for March will be implemented at the close on Friday, the 8th.</li>
<li>Another week of inflows for the <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets ex-China (EMXC US)</a> ETF as creations cross US$2bn for 2024. ETF AUM has gone from US$420m in 2021 to US$11bn now!</li>
</ul>


The last week was a very busy one. The coming week has some announcements and implementations but is a relatively quieter one.
The SSE STAR50 (STAR50 INDEX) and STAR100 Index changes for March will be implemented at the close on Friday, the 8th.
Another week of inflows for the iShares Emerging Markets ex-China (EMXC US) ETF as creations cross US$2bn for 2024. ETF AUM has gone from US$420m in 2021 to US$11bn now!


Index Rebalance & ETF Flow Recap: STAR50/100, FXI, NIFTY/NEXT50, S&P500, KOSPI, Goodman, Ecopro BM

<ul>
<li>There are five 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> that will be implemented at the close on 27 March. Changes are on expected lines.</li>
<li>Estimated one-way turnover 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> is 10.1% resulting in a one-way trade of INR 22.2bn (US$268m).</li>
<li>Apart from the impact on the adds and deletes, there will be a big impact on some of the non-F&amp;O stocks due to capping and funding flows.</li>
</ul>


There are five changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that will be implemented at the close on 27 March. Changes are on expected lines.
Estimated one-way turnover for the NSE Nifty Next 50 Index (NIFTYJR INDEX) is 10.1% resulting in a one-way trade of INR 22.2bn (US$268m).
Apart from the impact on the adds and deletes, there will be a big impact on some of the non-F&amp;O stocks due to capping and funding flows.


NIFTY NEXT50 Index Rebalance: Five Changes on Expected Lines; Big Turnover

<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

Power Finance Corporation / Index Rebalance

<ul>
<li>With the review period for the March rebalance complete, there could be 6 potential 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> using the current index methodology.</li>
<li>Estimated one-way turnover is 13.9% resulting in a one-way trade of INR 28.6bn. Four inclusions will have over 1x ADV to buy; five deletions will have 2.5x+ ADV to sell.</li>
<li>The potential adds have outperformed the potential deletes by 28.6% over the last month. With positioning from a rebalance perspective mostly done, gradually unwind over the next few weeks.</li>
</ul>


With the review period for the March rebalance complete, there could be 6 potential changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) using the current index methodology.
Estimated one-way turnover is 13.9% resulting in a one-way trade of INR 28.6bn. Four inclusions will have over 1x ADV to buy; five deletions will have 2.5x+ ADV to sell.
The potential adds have outperformed the potential deletes by 28.6% over the last month. With positioning from a rebalance perspective mostly done, gradually unwind over the next few weeks.


NIFTY NEXT50 Index Rebalance Preview: Potential Adds Continue to Run

India

Indian Railway Finance Corporation (IRFC) is the dedicated funding arm of Indian Railways, mobilizing funds from domestic and overseas markets. The company primarily finances the acquisition of rolling stock assets and infrastructure projects, which are then leased to Indian Railways and related entities. IRFC was established in December 1986 and is headquartered in New Delhi, India.

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Indian Railway Finance (IRFC IN)

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