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>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">Nifty Next 50 Index</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">NSE Nifty Bank Index</a>, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF</a> rebalance at the close tomorrow.</li>
<li>The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.</li>
<li>Stocks with the largest inflows are <a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics</a>, <a href="https://www.smartkarma.com/entities/canara-bank" target="_blank" data-smartkarma-citation="entities:543:1" rel="noopener">Canara Bank</a>, <a href="https://www.smartkarma.com/entities/bharat-heavy-electricals" target="_blank" data-smartkarma-citation="entities:460:1" rel="noopener">Bharat Heavy Electricals</a>, <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</a>, <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics</a> and <a href="https://www.smartkarma.com/entities/interglobe-aviation-ltd" target="_blank" data-smartkarma-citation="entities:24877:1" rel="noopener">InterGlobe Aviation</a>.</li>
</ul>


The NIFTY Index, Nifty Next 50 Index, NSE Nifty Bank Index, CNXIT Index, Nifty Midcap 150 Index, Nifty100 Low Volatility30 Index and the CPSE ETF rebalance at the close tomorrow.
The round-trip trade across the indices is US$3.3bn and there are 13 stocks with over 1 day of ADV to trade from passive trackers.
Stocks with the largest inflows are Trent, Bharat Electronics, Canara Bank, Bharat Heavy Electricals, Oil &amp; Natural Gas Corp, Coal India, Hindustan Aeronautics and InterGlobe Aviation.


NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

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 2024 Rebalance results for the NIFTY broad market Indices were announced after the close on Friday 23rd August 2024.</li>
<li>There will be two changes for NIFTY 50 and five changes for NIFTY 100 during the September 2024 index rebal event. All of these changes were as predicted. </li>
<li>All NIFTY 50 and NIFTY 100 changes will also be reflected in the NIFTY Next 50 index which could see US$647mn one-way capping flows.</li>
</ul>


The September 2024 Rebalance results for the NIFTY broad market Indices were announced after the close on Friday 23rd August 2024.
There will be two changes for NIFTY 50 and five changes for NIFTY 100 during the September 2024 index rebal event. All of these changes were as predicted. 
All NIFTY 50 and NIFTY 100 changes will also be reflected in the NIFTY Next 50 index which could see US$647mn one-way capping flows.


Quiddity NIFTY Sep 24 Rebal: US$647mn One-Way Capping for NIFTY Next 50; All Changes Were Predicted

Bharat Heavy Electricals / Index Rebalance

<ul>
<li>There are 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> that will be implemented at the close on 27 September. 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">Nifty Next 50 Index (NIFTYJR INDEX)</a> is 19.6% resulting in a one-way trade of INR 63.64bn (US$759m). Many stocks have over 1x ADV to trade.</li>
<li>The adds have outperformed the deletes this year but there has been big underperformance over the last month as stocks expected to benefit from rural spending have rallied.</li>
</ul>


There are 7 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that will be implemented at the close on 27 September. Changes are on expected lines.
Estimated one-way turnover for the Nifty Next 50 Index (NIFTYJR INDEX) is 19.6% resulting in a one-way trade of INR 63.64bn (US$759m). Many stocks have over 1x ADV to trade.
The adds have outperformed the deletes this year but there has been big underperformance over the last month as stocks expected to benefit from rural spending have rallied.


NIFTY NEXT50 Index Rebalance: 7 Changes on Expected Lines

<ul>
<li>
<a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent (TRENT IN)</a> and <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> will replace <a href="https://www.smartkarma.com/entities/ltimindtree-ltd" target="_blank" data-smartkarma-citation="entities:22778:1" rel="noopener">LTIMindtree (LTIM IN)</a> and <a href="https://www.smartkarma.com/entities/divi-s-laboratories-ltd" target="_blank" data-smartkarma-citation="entities:4871:1" rel="noopener">Divi's Laboratories (DIVI IN)</a> in the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> at the close on 27 September.</li>
<li>Passive trackers will need to trade at least 5 days of ADV and over 11 days of delivery volume in the stocks.</li>
<li>All the index changes are also 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> and there will be opposing flows (though much smaller in size) for the stocks.</li>
</ul>



Trent (TRENT IN) and Bharat Electronics (BHE IN) will replace LTIMindtree (LTIM IN) and Divi's Laboratories (DIVI IN) in the NIFTY Index (NIFTY INDEX) at the close on 27 September.
Passive trackers will need to trade at least 5 days of ADV and over 11 days of delivery volume in the stocks.
All the index changes are also changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) and there will be opposing flows (though much smaller in size) for the stocks.


NIFTY50 Index Rebalance: Trent, BEL to Replace Divi's Lab, LTIMindtree

Dr. Reddy's Laboratories / Index Rebalance

<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>With three more trading days left in the reference period, we are presenting our final  expectations for ADDs and DELs for the September 2024 index rebal event.</li>
<li>We see five changes for the NIFTY 100 index which will also affect the NIFTY Next 50 index. There could also be multiple changes for the NIFTY 50 index.</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.
With three more trading days left in the reference period, we are presenting our final  expectations for ADDs and DELs for the September 2024 index rebal event.
We see five changes for the NIFTY 100 index which will also affect the NIFTY Next 50 index. There could also be multiple changes for the NIFTY 50 index.


Quiddity Leaderboard NIFTY Sep 24: Final Expectations; Trades Perform Positively; New Ideas

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)

NIFTY Indices: Flows (Post Capping) At the Close Tomorrow; Round-Trip US$3.3bn

The next rebalance of the Nifty family of indices takes place at the close on 27 Sep. The round-trip trade is US$3.3bn and there are 13 stocks with...

Brian Freitas

Quiddity NIFTY Sep 24 Rebal: US$647mn One-Way Capping for NIFTY Next 50; All Changes Were Predicted

The NIFTY50/NIFTY Next 50 Inclusion/Exclusion events will take place at the close of 27th September 2024. The final capping flows will be decided...

Janaghan Jeyakumar, CFA

NIFTY NEXT50 Index Rebalance: 7 Changes on Expected Lines

There are 7 changes for the NIFTY Next50 Index. Estimated 1-way turnover is 19.6% resulting in a 1-way trade of INR 63.64bn (US$759m). There are...

Brian Freitas

NIFTY50 Index Rebalance: Trent, BEL to Replace Divi's Lab, LTIMindtree

Trent and Bharat Electronics will replace LTIM and Divi Lab in the NIFTY50. There is over 5x ADV/11x delivery volume to trade in the stocks. There...

Brian Freitas

Quiddity Leaderboard NIFTY Sep 24: Final Expectations; Trades Perform Positively; New Ideas

The official index changes for the NIFTY September 2024 index rebal event will be confirmed after market close on Friday 23rd August 2024. In this...

Janaghan Jeyakumar, CFA

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