Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The September 2022 Rebalance results for the NIFTY 50, 100, and 500 Indices were announced after the close on 1st September 2022.</li>
<li>There will be one ADD/DEL for the NIFTY 50 Index and 6 ADDs/DELs for the NIFTY 100 Index, mostly in line with our expectations.</li>
<li>In this insight, we take a closer look at our expectations for index flows and potential trading ideas.</li>
</ul>


The September 2022 Rebalance results for the NIFTY 50, 100, and 500 Indices were announced after the close on 1st September 2022.
There will be one ADD/DEL for the NIFTY 50 Index and 6 ADDs/DELs for the NIFTY 100 Index, mostly in line with our expectations.
In this insight, we take a closer look at our expectations for index flows and potential trading ideas.


NIFTY Sep 2022 Rebal: Adani Enterprises and Adani Total Gas Are Top Positives

<ul>
<li>The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.</li>
<li>In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.</li>
<li>In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.</li>
</ul>


The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.
In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.
In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.


NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the <em>NIFTY 50, 100, and 500</em> Indices for the <em>September 2022</em> Rebalance.</li>
<li>With only one month left in the reference period, most changes for the NIFTY 50 and NIFTY 100 Index seem to be high-conviction index changes.</li>
<li>In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the NIFTY 50, 100, and 500 Indices for the September 2022 Rebalance.
With only one month left in the reference period, most changes for the NIFTY 50 and NIFTY 100 Index seem to be high-conviction index changes.
In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.


NIFTY Quiddity Leaderboard Sep 2022: June Trades Successful; More to Come

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

Event-Driven

<ul>
<li>Two-Thirds of the way through the review period, we see 7 stocks migrating from MidCap to LargeCap, 8 stocks from LargeCap to MidCap, and 1 new listing added to LargeCap.</li>
<li>Post listing, <a href="https://www.smartkarma.com/entities/life-insurance-corp-of-india-lic" target="_blank" data-smartkarma-citation="entities:28829:1" rel="noopener">Life Insurance Corp of India (LIC) (1248Z IN)</a> should be added to the LargeCap segment while <a href="https://www.smartkarma.com/entities/delhivery-pvt-ltd" target="_blank" data-smartkarma-citation="entities:33471:1" rel="noopener">Delhivery (1058656D IN)</a> should be added to the MidCap segment.</li>
<li>On average, stocks expected to migrate from Mid Cap to Large Cap have outperformed. Stocks expected to migrate from the Large Cap to Mid Cap segment have performed the worst.</li>
</ul>


Two-Thirds of the way through the review period, we see 7 stocks migrating from MidCap to LargeCap, 8 stocks from LargeCap to MidCap, and 1 new listing added to LargeCap.
Post listing, Life Insurance Corp of India (LIC) (1248Z IN) should be added to the LargeCap segment while Delhivery (1058656D IN) should be added to the MidCap segment.
On average, stocks expected to migrate from Mid Cap to Large Cap have outperformed. Stocks expected to migrate from the Large Cap to Mid Cap segment have performed the worst.


India: Preview of Stock Reclassification for Active Funds

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

<ul>
<li>Broad global MSCI equity indexes (ACWI, ACWI ex-US, EAFE, and EM) remain bearish, as do indexes in Japan, Hong Kong, China, Europe, and Germany.</li>
<li>Until we see these indexes break above downtrends and key resistance levels, we cannot be bullish.</li>
<li>Remain overweight Energy and Materials with the secular commodity bull market intact. Defensive Sectors are also hitting 1-2-year RS highs; we recommend overweights to Health Care, Utilities, and Consumer Staples.</li>
</ul>


Broad global MSCI equity indexes (ACWI, ACWI ex-US, EAFE, and EM) remain bearish, as do indexes in Japan, Hong Kong, China, Europe, and Germany.
Until we see these indexes break above downtrends and key resistance levels, we cannot be bullish.
Remain overweight Energy and Materials with the secular commodity bull market intact. Defensive Sectors are also hitting 1-2-year RS highs; we recommend overweights to Health Care, Utilities, and Consumer Staples.


Opportunities Within Energy and Materials

India

Jindal Steel Limited manufactures steel products. The Company offers steel rails, parallel flange beams and columns, angles and channels, plates, and coils, as well as engages in the power, mining, manufacturing, and infrastructure construction businesses. Jindal Steel serves customers worldwide.

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Jindal Steel (JINDALST IN)

NIFTY Sep 2022 Rebal: Adani Enterprises and Adani Total Gas Are Top Positives

The NIFTY 50 index changes are the significant ones. NIFTY 50 ADD Adani Enterprises and NIFTY 50 DEL Shree Cement could see flows of approximately...

Janaghan Jeyakumar, CFA

NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

I expect at least one change for NIFTY 50 and I expect 5 and 25 ADDs/DELs for NIFTY 100 and NIFTY 500 respectively. Adani Total Gas (ATGL IN) could...

Janaghan Jeyakumar, CFA

NIFTY Quiddity Leaderboard Sep 2022: June Trades Successful; More to Come

NIFTY 50 could see one or two changes. NIFTY 100 and NIFTY 500 could see 5 and 25 changes respectively. There might be some interesting trades to...

Janaghan Jeyakumar, CFA

India: Preview of Stock Reclassification for Active Funds

Two-thirds of the way through the review period, we see quite a few changes to the Large/Mid/Small Cap classification for Indian stocks. The upward...

Brian Freitas

Opportunities Within Energy and Materials

Global indexes remain below our key lines in the sand of $54 on $ACWX, $75.25 on $EFA, and the 200-day MA on $ACWI. As long as prices are below...

Vermilion Research

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