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 could be 16 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 30 December.</li>
<li>If all changes are on expected lines, one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn (US$736m).</li>
<li>Since June, the potential adds to the index have outperformed the index and the potential deletes by a big margin. Momentum could keep the outperformance going till implementation date.</li>
</ul>


There could be 16 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 30 December.
If all changes are on expected lines, one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn (US$736m).
Since June, the potential adds to the index have outperformed the index and the potential deletes by a big margin. Momentum could keep the outperformance going till implementation date.


NIFTY200 Momentum30 Index Rebalance Preview: 56% Turnover, Big Trade & Strong Momentum

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> has a market cap of over US$27bn but is not a member of the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> and <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> since it is not an F&amp;O member.</li>
<li>Once SEBI's proposed and enhanced stock inclusion thresholds are implemented, <a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> should be added to the F&amp;O segment of the market.</li>
<li>Passive <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> and <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> will have to buy a lot of <a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato</a> stock at subsequent rebalances. The impact will be higher given the lower real float.</li>
</ul>



Zomato (ZOMATO IN) has a market cap of over US$27bn but is not a member of the NIFTY Index and S&amp;P BSE SENSEX Index since it is not an F&amp;O member.
Once SEBI's proposed and enhanced stock inclusion thresholds are implemented, Zomato (ZOMATO IN) should be added to the F&amp;O segment of the market.
Passive NIFTY Index and S&amp;P BSE SENSEX Index will have to buy a lot of Zomato stock at subsequent rebalances. The impact will be higher given the lower real float.


Zomato: Index Inclusions & Passive Impact (Once Added to F&O)

<ul>
<li>With 3 trading days left in the review period, there could be 7 changes (including 2 migrations) 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.</li>
<li>Estimated one-way turnover is 18% resulting in a one-way trade of INR 55bn (US$660m). 9 stocks will have over 1x ADV to trade from passive trackers.</li>
<li>All the deletes are F&amp;O members while most adds are not. NSE Indices may have to revisit the index membership criteria especially given the launch of futures on the index.</li>
</ul>


With 3 trading days left in the review period, there could be 7 changes (including 2 migrations) for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September.
Estimated one-way turnover is 18% resulting in a one-way trade of INR 55bn (US$660m). 9 stocks will have over 1x ADV to trade from passive trackers.
All the deletes are F&amp;O members while most adds are not. NSE Indices may have to revisit the index membership criteria especially given the launch of futures on the index.


NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

Bharat Heavy Electricals / Index Rebalance

<ul>
<li>With a substantial part of the review period complete, there could potentially be 7 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.</li>
<li>Estimated one-way turnover is 17.7% resulting in a one-way trade of INR 47.2bn (US$566m). 8 stocks will have over 1x ADV to trade from passive trackers.</li>
<li>There are a bunch of stocks that are potential migrations between Mid Cap and Large Cap segments in the AMFI Classification system and there will be flows from active managers.</li>
</ul>


With a substantial part of the review period complete, there could potentially be 7 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September.
Estimated one-way turnover is 17.7% resulting in a one-way trade of INR 47.2bn (US$566m). 8 stocks will have over 1x ADV to trade from passive trackers.
There are a bunch of stocks that are potential migrations between Mid Cap and Large Cap segments in the AMFI Classification system and there will be flows from active managers.


NIFTY NEXT50 Index Rebalance Preview: Active Meets Passive

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>NIFTY 50 represents the 50 largest stocks listed in the National Stock Exchange (NSE) of India and the NIFTY Next 50 index tracks the next 50 largest names.</li>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs during the September 2024 index rebal event.</li>
<li>Since my last insight, we have observed a couple of important changes to candidate rankings and that has resulted in some changes to our index change expectations.</li>
</ul>


NIFTY 50 represents the 50 largest stocks listed in the National Stock Exchange (NSE) of India and the NIFTY Next 50 index tracks the next 50 largest names.
In this insight, we take a look at the names leading the race to become ADDs/DELs during the September 2024 index rebal event.
Since my last insight, we have observed a couple of important changes to candidate rankings and that has resulted in some changes to our index change expectations.


Quiddity Leaderboard NIFTY Sep 24: Multiple Changes Possible for NIFTY 50; Some New Trade Ideas

India

Info Edge (India) Limited operates an online job posting website. The website offers services for recruiters, job seekers, and employers. The Company also operates an online matrimonial website for prospective brides, grooms, and relatives.

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Info Edge India (INFOE IN)

NIFTY200 Momentum30 Index Rebalance Preview: 56% Turnover, Big Trade & Strong Momentum

There could be 16 constituent changes in December. one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn...

Brian Freitas

Zomato: Index Inclusions & Passive Impact (Once Added to F&O)

Inclusion in the F&O segment will see Zomato added to the NIFTY and SENSEX and deleted from the NIFTYJR. Passives will need to buy a lot of real...

Brian Freitas

NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

There could be 7 changes for the Nifty Next 50. The addition of non-FnO stocks and deletion of FnO stocks raises index replication issues. Expect...

Brian Freitas

NIFTY NEXT50 Index Rebalance Preview: Active Meets Passive

There could be 7 changes for the NIFTY NEXT50 in Sep. 2 of those changes are migrations to/from the NIFTY50. There are stocks that will have flows...

Brian Freitas

Quiddity Leaderboard NIFTY Sep 24: Multiple Changes Possible for NIFTY 50; Some New Trade Ideas

There are at least four names eligible for NIFTY 50 addition in September 2024. However, the final count ADDs and DELs will be a discretionary...

Janaghan Jeyakumar, CFA

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