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 10 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 March.</li>
<li>Estimated one-way turnover is 15.9% resulting in a one-way trade of INR 52bn (US$600m). All forecast changes, bar one, have over 1.5x ADV to trade from passive trackers.</li>
<li>All the forecast deletes are F&amp;O members while two adds are not. NSE Indices could revisit the index membership criteria especially given the launch of futures on the index.</li>
</ul>


With 10 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 March.
Estimated one-way turnover is 15.9% resulting in a one-way trade of INR 52bn (US$600m). All forecast changes, bar one, have over 1.5x ADV to trade from passive trackers.
All the forecast deletes are F&amp;O members while two adds are not. NSE Indices could revisit the index membership criteria especially given the launch of futures on the index.


NIFTY NEXT50 Index Rebalance Preview: 7 Potential Changes in March

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

Event-Driven

<ul>
<li>Reportedly, Ito Junro's MBO for <a href="https://www.smartkarma.com/entities/seven-i-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:1041:1" rel="noopener">Seven &amp; I (3382 JP)</a> includes a US assets IPO to help pay down MBO debt to Japanese banks.  Possible strategic mistake by Ito-san here.</li>
<li>Starwood/Warburg Pincus' firm Offer for <a href="https://www.smartkarma.com/entities/esr-group-ltd" target="_blank" data-smartkarma-citation="entities:27983:1" rel="noopener">ESR Group (1821 HK)</a> secures support from 30.79% of the register.</li>
<li>We may be wrong on <a href="https://www.smartkarma.com/entities/sanrio-co-ltd" target="_blank" data-smartkarma-citation="entities:16476:1" rel="noopener">Sanrio (8136 JP)</a> by a big factor but the multiple and the concentration risk of momentum factor means you are in an illiquid stock.</li>
</ul>


Reportedly, Ito Junro's MBO for Seven &amp; I (3382 JP) includes a US assets IPO to help pay down MBO debt to Japanese banks.  Possible strategic mistake by Ito-san here.
Starwood/Warburg Pincus' firm Offer for ESR Group (1821 HK) secures support from 30.79% of the register.
We may be wrong on Sanrio (8136 JP) by a big factor but the multiple and the concentration risk of momentum factor means you are in an illiquid stock.


Last Week in Event SPACE: Seven & I Holdings, ESR Group, Sanrio, HKBN

<ul>
<li>Following the introduction of 45 stocks in the F&amp;O segment from 29 November, there will be big capping 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 December.</li>
<li>We estimate one-way turnover of 21.9% leading to a one-way trade of INR 75bn (US$881m). There are 25 stocks with over 1x ADV to trade.</li>
<li>There could be changes to the index methodology announced in the next few months and that could result in the deletion of a couple of constituents in March.</li>
</ul>


Following the introduction of 45 stocks in the F&amp;O segment from 29 November, there will be big capping changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in December.
We estimate one-way turnover of 21.9% leading to a one-way trade of INR 75bn (US$881m). There are 25 stocks with over 1x ADV to trade.
There could be changes to the index methodology announced in the next few months and that could result in the deletion of a couple of constituents in March.


Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

<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 for these indices in the March 2025 index rebal event.</li>
<li>
<a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> and <a href="https://www.smartkarma.com/entities/jio-financial-services-limited" target="_blank" data-smartkarma-citation="entities:40042:1" rel="noopener">Jio Financial Services (JIOFIN IN)</a> could see index inflows during the December 2024 rebalance and March 2025 rebalance.</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 for these indices in the March 2025 index rebal event.

Zomato (ZOMATO IN) and Jio Financial Services (JIOFIN IN) could see index inflows during the December 2024 rebalance and March 2025 rebalance.


Quiddity Leaderboard NIFTY Mar 25: Inflows for Zomato and Jiofin in Dec 24 and Mar 25

<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

India

Jio Financial Services Limited operates as a non-banking financial company. The Company provides financial and investment services with robust infrastructure technology solutions. Jio Financial Services serves customers in India.

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Jio Financial Services (JIOFIN IN)

NIFTY NEXT50 Index Rebalance Preview: 7 Potential Changes in March

There could be 7 changes in March. Estimated one-way turnover is 15.9% resulting in a one-way trade of INR 52bn (US$600m). Index methodology could...

Brian Freitas

Last Week in Event SPACE: Seven & I Holdings, ESR Group, Sanrio, HKBN

It’s Sunday! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed during the...

David Blennerhassett

Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

The introduction of new F&O contracts will result in an estimated 21.9% turnover and a one-way trade of INR 75bn (US$881m) for the Nifty Next50...

Brian Freitas

Quiddity Leaderboard NIFTY Mar 25: Inflows for Zomato and Jiofin in Dec 24 and Mar 25

The recent changes to the NSE F&O segment have resulted in fairly significant changes to our Dec 24 flow expectations and Mar 25 index change...

Janaghan Jeyakumar, CFA

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

Futures & Options start trading on 45 new stocks in India today. Things could get interesting in the 3 Adani names where the stock prices have been...

Brian Freitas

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