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

Mazagon Dock Shipbuilders  / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/mazagon-dock-shipbuilders-ltd" target="_blank" data-smartkarma-citation="entities:27022:1" rel="noopener">Mazagon Dock Shipbuilders (MAZDOCKS IN)</a> has announced an Offer for Sale of 4.01% of the Government holding in the stock. That is INR 41bn (US$481m) at the last close.</li>
<li>The increase in float brings the stock very close to inclusion in a global index at the May rebalance. However, that is dependent on how the stock performs from here.</li>
<li>Inclusion in the index will bring around US$222m/ 2x ADV of passive inflows and could help support the stock.</li>
</ul>



Mazagon Dock Shipbuilders (MAZDOCKS IN) has announced an Offer for Sale of 4.01% of the Government holding in the stock. That is INR 41bn (US$481m) at the last close.
The increase in float brings the stock very close to inclusion in a global index at the May rebalance. However, that is dependent on how the stock performs from here.
Inclusion in the index will bring around US$222m/ 2x ADV of passive inflows and could help support the stock.


Mazagon Dock Shipbuilders (MAZDOCKS IN): OFS & Potential Global Index Inclusion

<ul>
<li>With the review period nearing completion, there could be 4 changes (including 1 migration) 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>There is one stock close to inclusion zone and one stock close to deletion zone and price movements over the rest of the month will determine the final changes.</li>
<li>Estimated one-way turnover is 7.8% resulting in a one-way trade of INR 30.06bn (US$350m). Six of the eight potential changes will have over 2x ADV to trade from passive trackers.</li>
</ul>


With the review period nearing completion, there could be 4 changes (including 1 migration) for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September.
There is one stock close to inclusion zone and one stock close to deletion zone and price movements over the rest of the month will determine the final changes.
Estimated one-way turnover is 7.8% resulting in a one-way trade of INR 30.06bn (US$350m). Six of the eight potential changes will have over 2x ADV to trade from passive trackers.


NIFTY NEXT50 Index Rebalance Preview: Potential Changes & Close Names

<ul>
<li>We forecast 10 stocks moving from MidCap to LargeCap, 11 stocks moving from LargeCap to MidCap, 10 stocks from SmallCap to MidCap, and 13 stocks from MidCap to SmallCap.</li>
<li>From the new listings, 1 stock is expected to be added to Large cap, 2 stocks are expected to be added to Mid Cap, and multiple stocks to Small Cap.</li>
<li>There are multiple stocks among the AMFI changes that will be changes for global indices, <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> and/or Nifty Midcap 150 Index in September.</li>
</ul>


We forecast 10 stocks moving from MidCap to LargeCap, 11 stocks moving from LargeCap to MidCap, 10 stocks from SmallCap to MidCap, and 13 stocks from MidCap to SmallCap.
From the new listings, 1 stock is expected to be added to Large cap, 2 stocks are expected to be added to Mid Cap, and multiple stocks to Small Cap.
There are multiple stocks among the AMFI changes that will be changes for global indices, NIFTY Index, NSE Nifty Next 50 Index and/or Nifty Midcap 150 Index in September.


AMFI Stock Reclassification Preview (Jun 2025): Active Flows Lead to Passive Flows

<ul>
<li>There are 20 changes a side for the Nifty200 Momentum30 Index that will be implemented at the close on 27 June. We had correctly forecast 39 of the 40 changes.</li>
<li>Estimated one-way turnover is 68.4% resulting in a round-trip trade of INR 160bn (US$1.9bn). There are 22 stocks with over 1x ADV to trade.</li>
<li>The Financials sector has 9 net inclusions to the index while the Information Technology and Consumer Discretionary sectors have 2 net deletions each.</li>
</ul>


There are 20 changes a side for the Nifty200 Momentum30 Index that will be implemented at the close on 27 June. We had correctly forecast 39 of the 40 changes.
Estimated one-way turnover is 68.4% resulting in a round-trip trade of INR 160bn (US$1.9bn). There are 22 stocks with over 1x ADV to trade.
The Financials sector has 9 net inclusions to the index while the Information Technology and Consumer Discretionary sectors have 2 net deletions each.


NIFTY200 Momentum30 Index Rebalance: HUGE Turnover and Trade as Financials Shine

Aditya Birla Capital Ltd / Index Rebalance

<ul>
<li>There could be 19 constituent 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 64.2% and that will result in a round-trip trade of INR 163bn (US$1.8bn).</li>
<li>The adds have outperformed the deletes in the short-term. With the index based on momentum, there could be further gains over the next couple of weeks.</li>
</ul>


There could be 19 constituent 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 64.2% and that will result in a round-trip trade of INR 163bn (US$1.8bn).
The adds have outperformed the deletes in the short-term. With the index based on momentum, there could be further gains over the next couple of weeks.


NIFTY200 Momentum30 Index Rebalance Preview: 64% One-Way Turnover & US$1.8bn Trade

India

Mazagon Dock Shipbuilders Limited operates as a ship building company. The Company provides builds and repairs ships, barges, and off-shore drilling rigs, as well as offers submarines. Mazagon Dock Shipbuilders serves customers in India.

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Mazagon Dock Shipbuilders (MAZDOCKS IN)