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

Life Insurance  of India / Index Rebalance

<ul>
<li>
<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) (LICI IN)</a> and <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> will be added to the <a href="https://www.smartkarma.com/entities/nifty-100-index" target="_blank" data-smartkarma-citation="entities:36051:1" rel="noopener">Nifty 100 Index (NSE100 INDEX)</a> and <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index (NIFTYJR INDEX)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/nmdc-ltd" target="_blank" data-smartkarma-citation="entities:2016:1" rel="noopener">Nmdc Ltd (NMDC IN)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a> and there will be no replacement in the index.</li>
<li>The NMDC deletion along with capping changes means that there is decent volume (and ADV) to buy on quite a few names in the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a>.</li>
</ul>



Life Insurance Corp of India (LIC) (LICI IN) and Tata Power (TPWR IN) will be added to the Nifty 100 Index (NSE100 INDEX) and Nifty Next 50 Index (NIFTYJR INDEX). 

Nmdc Ltd (NMDC IN) will be deleted from the CPSE ETF (CPSEBE IN) and there will be no replacement in the index.
The NMDC deletion along with capping changes means that there is decent volume (and ADV) to buy on quite a few names in the CPSE ETF (CPSEBE IN).


NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

Event-Driven

With the anchor book for the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" rel="noopener" data-smartkarma-citation="entities:28191:1">R* Shares CPSE ETF (CPSEBE IN)</a> Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the trade. The January series futures and options (F&amp;O) expire today and this may provide an opportunity to enter the trade at better levels than earlier in the week.The price setting on the ETFs will be done at tomorrows VWAP (being the non-anchor subscription day) and there should be decent volume going through on the stocks and single stock futures.In this Insight, we take a look at the main details for this offering and at some of the inputs used in determining how to hedge the trade.Please see our earlier Insights, <a href="https://www.smartkarma.com/insights/a-look-at-the-cpse-etf-ahead-of-a-potential-offering" target="_blank" rel="noopener" data-smartkarma-citation="insights:35966">A Look at the CPSE ETF Ahead of a Potential Offering</a> and <a href="https://www.smartkarma.com/insights/the-cpse-etf-arb-bigger-size-slimmer-margins" target="_blank" rel="noopener" data-smartkarma-citation="insights:36023">The CPSE ETF Arb - Bigger Size, Slimmer Margins</a> for more information.

With the anchor book for the R* Shares CPSE ETF (CPSEBE IN) Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the trade. The January series futures and options (F&amp;O) expire today and this may provide an opportunity to enter the trade at better levels than earlier in the week.The price setting on the ETFs will be done at tomorrows VWAP (being the non-anchor subscription day) and there should be decent volume going through on the stocks and single stock futures.In this Insight, we take a look at the main details for this offering and at some of the inputs used in determining how to hedge the trade.Please see our earlier Insights, A Look at the CPSE ETF Ahead of a Potential Offering and The CPSE ETF Arb - Bigger Size, Slimmer Margins for more information.

CPSE ETF Further Fund Offering - Last Look

The <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" rel="noopener" data-smartkarma-citation="entities:28191:1">R* Shares CPSE ETF (CPSEBE IN)</a> ETF is a passive fund that was created to help the Government of India divest some of its stake in selected Central Public Sector Enterprises (CPSE) through the ETF route. The ETF is based on the Nifty CPSE index and will include 12 CPSEs effective 24 January 2020.The seventh tranche of the ETF (Further Fund Offering 6 or FFO6) will open on January 30 to anchor investors and on January 31 to non-anchor investors and the new units are expected to start trading in mid February. This tranche will have an issue size of INR 100bn with a greenshoe option of INR 80bn and the discount on the ETF is expected to be in the range of 2.5% to 3%, opening up arbitrage opportunities to investors.There could also be an additional trade in <a href="https://www.smartkarma.com/entities/power-grid-corporation-of-india-limited" target="_blank" rel="noopener" data-smartkarma-citation="entities:12621:1">Power Grid Corporation Of India (PWGR IN)</a> depending on whether the Government of India sells stock in the name to the ETF in the rebalance that gets implemented today.

The R* Shares CPSE ETF (CPSEBE IN) ETF is a passive fund that was created to help the Government of India divest some of its stake in selected Central Public Sector Enterprises (CPSE) through the ETF route. The ETF is based on the Nifty CPSE index and will include 12 CPSEs effective 24 January 2020.The seventh tranche of the ETF (Further Fund Offering 6 or FFO6) will open on January 30 to anchor investors and on January 31 to non-anchor investors and the new units are expected to start trading in mid February. This tranche will have an issue size of INR 100bn with a greenshoe option of INR 80bn and the discount on the ETF is expected to be in the range of 2.5% to 3%, opening up arbitrage opportunities to investors.There could also be an additional trade in Power Grid Corporation Of India (PWGR IN) depending on whether the Government of India sells stock in the name to the ETF in the rebalance that gets implemented today.

The CPSE ETF Arb - Bigger Size, Slimmer Margins

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" rel="noopener" data-smartkarma-citation="entities:28191:1">R* Shares CPSE ETF (CPSEBE IN)</a> is a passive fund that was created to help the Government of India divest some of its stake in selected CPSEs through the ETF route. The ETF is based on the Nifty CPSE index and currently includes 10 listed Central Public Sector Enterprises. This will change to 12 securities once the latest round of rebalancing is completed on 23 January 2020.Each time that the CPSE index has been rebalanced, a Further Fund Offering (FFO) has ensued. We believe this time it will be no different.In this Insight we take a look at the history of the ETF, the current portfolio, historical changes to the index and their impact, and some main points on the potential offering.

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund R* Shares CPSE ETF (CPSEBE IN) is a passive fund that was created to help the Government of India divest some of its stake in selected CPSEs through the ETF route. The ETF is based on the Nifty CPSE index and currently includes 10 listed Central Public Sector Enterprises. This will change to 12 securities once the latest round of rebalancing is completed on 23 January 2020.Each time that the CPSE index has been rebalanced, a Further Fund Offering (FFO) has ensued. We believe this time it will be no different.In this Insight we take a look at the history of the ETF, the current portfolio, historical changes to the index and their impact, and some main points on the potential offering.

A Look at the CPSE ETF Ahead of a Potential Offering

India - Politics, Industrials, IT and Large Caps, EMAlpha

Pankaj Sharma

India - Politics, Industrials, IT and Large Caps

Thematic (Sector/Industry)

In a change of strategy from the Central Government on how to raise money through PSUs, there is an increased possibility that buybacks could become the preferred option over disinvestment because of not-so-good market conditions and consistent underperformance of PSUs over some time. While a large and 'at premium' buyback by PSUs could temporarily help the stock price, the support is unlikely to last long. There is a negative impact on balance sheet health, less money available post buyback for growth plans and questionable timing. The share buyback will not really do much to address the medium and long term underperformance of PSU stocks unless fundamental issues are resolved.

In a change of strategy from the Central Government on how to raise money through PSUs, there is an increased possibility that buybacks could become the preferred option over disinvestment because of not-so-good market conditions and consistent underperformance of PSUs over some time. While a large and 'at premium' buyback by PSUs could temporarily help the stock price, the support is unlikely to last long. There is a negative impact on balance sheet health, less money available post buyback for growth plans and questionable timing. The share buyback will not really do much to address the medium and long term underperformance of PSU stocks unless fundamental issues are resolved.

India: Share Buyback Could Be Positive for PSUs, but It Will Only Be a Temporary Relief

India

NBCC (India) Limited provides construction and engineering services. The Company constructs residential, commercial, and institutional buildings, as well as offers services, including project conceptualization, feasibility studies, construction drawings, detailed project reports, and project consulting services.

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NBCC (India) Limited (NBCC IN)

NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

LIC and Tata Power will be added to the NIFTY100 Index at the close on 5 August. NMDC is being deleted from the NIFTY100 & CPSE indices. There is a...

Brian Freitas

CPSE ETF Further Fund Offering - Last Look

With the anchor book for the R* Shares CPSE ETF (CPSEBE IN) Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the...

Brian Freitas

The CPSE ETF Arb - Bigger Size, Slimmer Margins

The R* Shares CPSE ETF (CPSEBE IN) ETF is a passive fund that was created to help the Government of India divest some of its stake in selected...

Brian Freitas

A Look at the CPSE ETF Ahead of a Potential Offering

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund R* Shares CPSE ETF (CPSEBE IN) is a passive fund that was created to help the...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

LIC and Tata Power will be added to the NIFTY100 Index at the close on 5 August. NMDC is being deleted from the NIFTY100 & CPSE indices. There is a...

Brian Freitas

CPSE ETF Further Fund Offering - Last Look

With the anchor book for the R* Shares CPSE ETF (CPSEBE IN) Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the...

Brian Freitas

The CPSE ETF Arb - Bigger Size, Slimmer Margins

The R* Shares CPSE ETF (CPSEBE IN) ETF is a passive fund that was created to help the Government of India divest some of its stake in selected...

Brian Freitas

A Look at the CPSE ETF Ahead of a Potential Offering

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund R* Shares CPSE ETF (CPSEBE IN) is a passive fund that was created to help the...

Brian Freitas

India: Share Buyback Could Be Positive for PSUs, but It Will Only Be a Temporary Relief

In a change of strategy from the Central Government on how to raise money through PSUs, there is an increased possibility that buybacks could...

Pankaj Sharma