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>We are past the halfway mark in the review period for the September rebalance of the NIFTY100 Index. We see five potential changes which should be announced end August.</li>
<li>There is a high probability of <a href="https://www.smartkarma.com/entities/tata-power-co-ltd" target="_blank" data-smartkarma-citation="entities:15618:1" rel="noopener">Tata Power (TPWR IN)</a>, <a href="https://www.smartkarma.com/entities/indian-railway-catering-and-tourism-corporation-limited" target="_blank" data-smartkarma-citation="entities:33951:1" rel="noopener">Indian Railway Catering and Tourism (IRCTC IN)</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics (BHE IN)</a> and <a href="https://www.smartkarma.com/entities/mphasis-ltd" target="_blank" data-smartkarma-citation="entities:7672:1" rel="noopener">Mphasis Ltd (MPHL IN)</a> being added to the index.</li>
<li>High probability deletions are <a href="https://www.smartkarma.com/entities/lupin-ltd" target="_blank" data-smartkarma-citation="entities:17910:1" rel="noopener">Lupin Ltd (LPC IN)</a>, <a href="https://www.smartkarma.com/entities/jubilant-foodworks-ltd" target="_blank" data-smartkarma-citation="entities:986:1" rel="noopener">Jubilant Foodworks (JUBI IN)</a>, <a href="https://www.smartkarma.com/entities/zydus-lifesciences-ltd" target="_blank" data-smartkarma-citation="entities:12914:1" rel="noopener">Zydus Lifesciences Ltd (ZYDUSLIF IN)</a>, <a href="https://www.smartkarma.com/entities/punjab-national-bank" target="_blank" data-smartkarma-citation="entities:542:1" rel="noopener">Punjab National Bank (PNB IN)</a> and <a href="https://www.smartkarma.com/entities/steel-authority-of-india" target="_blank" data-smartkarma-citation="entities:14323:1" rel="noopener">Steel Authority of India (SAIL IN)</a>.</li>
</ul>


We are past the halfway mark in the review period for the September rebalance of the NIFTY100 Index. We see five potential changes which should be announced end August.
There is a high probability of Tata Power (TPWR IN), Indian Railway Catering and Tourism (IRCTC IN), Bharat Electronics (BHE IN) and Mphasis Ltd (MPHL IN) being added to the index.
High probability deletions are Lupin Ltd (LPC IN), Jubilant Foodworks (JUBI IN), Zydus Lifesciences Ltd (ZYDUSLIF IN), Punjab National Bank (PNB IN) and Steel Authority of India (SAIL IN).


NIFTY100 Index Rebalance Preview: Five Potential Changes in September

Equity Analyst, Event-driven, Quiddity Advisors

Janaghan Jeyakumar, CFA

Equity Analyst, Event-driven

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>On 6th May 2022, <a href="https://www.smartkarma.com/entities/larsen-toubro-ltd" target="_blank" data-smartkarma-citation="entities:2499:1" rel="noopener">Larsen &amp; Toubro (LT IN)</a>'s publicly-listed subsidiaries <a href="https://www.smartkarma.com/entities/mindtree-ltd" target="_blank" data-smartkarma-citation="entities:7297:1" rel="noopener">Mindtree Ltd (MTCL IN)</a> and <a href="https://www.smartkarma.com/entities/larsen-toubro-infotech-ltd" target="_blank" data-smartkarma-citation="entities:22778:1" rel="noopener">Larsen &amp; Toubro Infotech (LTI IN)</a> announced plans to merge.</li>
<li>I discussed this situation previously in <a href="https://www.smartkarma.com/insights/mindtree-lti-a-potential-us-20bn-indian-tech-merger-mindtree-could-outperform-lti" target="_blank" data-smartkarma-citation="insights:68634" rel="noopener">Mindtree-LTI: A Potential US$20bn+ Indian Tech Merger; Mindtree Could Outperform LTI</a> when the ratio was 0.66, expecting a scrip ratio north of 0.70.  </li>
<li>Below is a closer look at the details of the transaction and the outlook for the combined entity.</li>
</ul>


On 6th May 2022, Larsen &amp; Toubro (LT IN)'s publicly-listed subsidiaries Mindtree Ltd (MTCL IN) and Larsen &amp; Toubro Infotech (LTI IN) announced plans to merge.
I discussed this situation previously in Mindtree-LTI: A Potential US$20bn+ Indian Tech Merger; Mindtree Could Outperform LTI when the ratio was 0.66, expecting a scrip ratio north of 0.70.  
Below is a closer look at the details of the transaction and the outlook for the combined entity.


Mindtree-LTI: Merger Announced to Form India's 5th Largest IT Services Player

<ul>
<li>On Monday, Bloomberg reported that <a href="https://www.smartkarma.com/entities/larsen-toubro-ltd" target="_blank" data-smartkarma-citation="entities:2499:1" rel="noopener">Larsen &amp; Toubro (LT IN)</a> was planning a merger between its public-listed subsidiaries <a href="https://www.smartkarma.com/entities/mindtree-ltd" target="_blank" data-smartkarma-citation="entities:7297:1" rel="noopener">Mindtree Ltd (MTCL IN)</a> and <a href="https://www.smartkarma.com/entities/larsen-toubro-infotech-ltd" target="_blank" data-smartkarma-citation="entities:22778:1" rel="noopener">Larsen &amp; Toubro Infotech (LTI IN)</a>. </li>
<li>The companies have responded by saying that the news reports of a merger between MINDTREE and LTI are "<em>speculative in nature</em>".</li>
<li>Below is a closer look at the likelihood of this Deal and the valuations of the two companies involved in this event.</li>
</ul>


On Monday, Bloomberg reported that Larsen &amp; Toubro (LT IN) was planning a merger between its public-listed subsidiaries Mindtree Ltd (MTCL IN) and Larsen &amp; Toubro Infotech (LTI IN). 
The companies have responded by saying that the news reports of a merger between MINDTREE and LTI are "speculative in nature".
Below is a closer look at the likelihood of this Deal and the valuations of the two companies involved in this event.


Mindtree-LTI: A Potential US$20bn+ Indian Tech Merger; Mindtree Could Outperform LTI

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

Shanghai Stock Exchange Composite Index / Technical Analysis

<p>While there are always exceptions at the individual stock level, MSCI Emerging Markets (EEM-US) and Japan (TOPIX, TOPIX Small) have been some of the weaker areas to invest throughout 2021. We now see early signs of positive change and we recommend adding exposure to emerging markets and Japan.</p>

While there are always exceptions at the individual stock level, MSCI Emerging Markets (EEM-US) and Japan (TOPIX, TOPIX Small) have been some of the weaker areas to invest throughout 2021. We now see early signs of positive change and we recommend adding exposure to emerging markets and Japan.

Buying Opportunities Within Emerging Markets and Japan; US Dollar Failing At 93.50

<div><p>The <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 (SENSEX INDEX)</a> is the flagship index of the Bombay Stock Exchange (BSE). The index has 30 stocks and is a free float weighted market cap index. The next rebalance will be effective after the close of trading on 18 June.</p></div><div>
<p>The June review uses the market cap and turnover data from 1 November to 30 April to determine the stocks to be included and excluded from the index, and the announcement of the changes is made 4 weeks before the rebalance effective date.</p>
<p>We see <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp (ONGC IN)</a> as a high probability deletion, while <a href="https://www.smartkarma.com/entities/wipro-ltd" target="_blank" data-smartkarma-citation="entities:15360:1" rel="noopener">Wipro Ltd (WPRO IN)</a> holds the edge over <a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a> as an index inclusion.</p>
<p>There will be between 3-6 days of average delivery volume to trade from passive funds on the stocks that are included into and deleted from the index.</p>
</div>

The S&amp;P BSE SENSEX Index (SENSEX INDEX) is the flagship index of the Bombay Stock Exchange (BSE). The index has 30 stocks and is a free float weighted market cap index. The next rebalance will be effective after the close of trading on 18 June.
The June review uses the market cap and turnover data from 1 November to 30 April to determine the stocks to be included and excluded from the index, and the announcement of the changes is made 4 weeks before the rebalance effective date.
We see Oil &amp; Natural Gas Corp (ONGC IN) as a high probability deletion, while Wipro Ltd (WPRO IN) holds the edge over Tata Steel Ltd (TATA IN) as an index inclusion.
There will be between 3-6 days of average delivery volume to trade from passive funds on the stocks that are included into and deleted from the index.


Sensex June21 Index Rebalance Preview: Index Committee Has a Decision to Make

India

LTIMindtree Limited provides information technology services and solutions. The Company offers analytics and information management, enterprise integration, applications management, cloud computing, testing, and consulting services, as well as geographical information and manufacturing execution systems. LTIMindtree serves customers worldwide.

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LTIMindtree (LTIM IN)

NIFTY100 Index Rebalance Preview: Five Potential Changes in September

We see five potential changes to the NIFTY100 Index at the September rebalance. Most are high probability changes and there will be over 1.5 days...

Brian Freitas

Mindtree-LTI: Merger Announced to Form India's 5th Largest IT Services Player

Larsen & Toubro (LT IN)'s public-listed subsidiaries Mindtree Ltd (MTCL IN) and Larsen & Toubro Infotech (LTI IN) announced plans to merge. The...

Janaghan Jeyakumar, CFA

Mindtree-LTI: A Potential US$20bn+ Indian Tech Merger; Mindtree Could Outperform LTI

Indian Tech Companies MINDTREE and LTI could announce a merger as early as next week and our analysis shows MINDTREE could outperform LTI in the...

Janaghan Jeyakumar, CFA

Buying Opportunities Within Emerging Markets and Japan; US Dollar Failing At 93.50

MSCI Emerging Markets (EEM-US) and Japan (TOPIX, TOPIX Small) have been some of the weaker areas to invest throughout 2021. We now see early signs...

Vermilion Research

Sensex June21 Index Rebalance Preview: Index Committee Has a Decision to Make

ONGC is a high probability deletion from the Sensex at the June review. The index committee needs to decide whether to include Wipro or Tata Steel....

Brian Freitas

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