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>It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.</li>
<li>Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.</li>
<li>As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.</li>
</ul>


It has been a decent year for the index rebalance strategy, though there have been some big hiccups along the way.
Forecasting the index changes and impacts has been important, but timing (especially momentum/value regime changes) and hedge selection have also been major factors affecting the returns of the strategy.
As passive AUM continues to increase, we expect focus on the strategy to continue in 2025 with market players taking different approaches to trading the potential and announced index changes.


How Has the Index Rebalance Strategy Performed in 2024?

Head of Research, IPOs & Placements, Aequitas Research

Sumeet Singh

Head of Research, IPOs & Placements

IPOs and Placements coverage across Asia Pacific

Aequitas Research

We cover all listing across the Asia Pacific along with follow-up placements. As of Dec 2020, our team had covered 539 IPOs with a hit rate of 73.5% and 685 placements with a hit rate of 66.8%.

We combine fundamental bottom-up views with our proprietary quantitative framework to provide a holistic coverage across new listings and placements. Our coverage includes pre-IPO notes before the deal is launched, follow-up analysis once the deal is live and post-listing trading analysis as well.

Equity Capital Markets

<ul>
<li>2023 marked our eighth year covering Equity Capital Markets in Asia Pacific. In 2023, IPOs didn’t pick up much from the low base of 2022  while placements showed upward momentum.</li>
<li>We ended 2023 with an accuracy rate of 73.7% across 57 IPOs that we covered and 79.3% across 115 placements.</li>
<li>For those not familiar with our coverage, we aim to cover all IPOs and placements with a minimum deal size of US$100m across Asia-Pacific, including China ADRs.</li>
</ul>


2023 marked our eighth year covering Equity Capital Markets in Asia Pacific. In 2023, IPOs didn’t pick up much from the low base of 2022  while placements showed upward momentum.
We ended 2023 with an accuracy rate of 73.7% across 57 IPOs that we covered and 79.3% across 115 placements.
For those not familiar with our coverage, we aim to cover all IPOs and placements with a minimum deal size of US$100m across Asia-Pacific, including China ADRs.


Aequitas 2023 IPOs and Placements Performance Review - IPOs Forming a Low Base, Placements Pick Up

Max Healthcare Institute / Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/interglobe-aviation-ltd" target="_blank" data-smartkarma-citation="entities:24877:1" rel="noopener">InterGlobe Aviation Ltd (INDIGO IN)</a> and <a href="https://www.smartkarma.com/entities/max-healthcare-institute-ltd" target="_blank" data-smartkarma-citation="entities:35275:1" rel="noopener">Max Healthcare Institute (MAXHEALT IN)</a> replace <a href="https://www.smartkarma.com/entities/hero-motocorp-ltd" target="_blank" data-smartkarma-citation="entities:2391:1" rel="noopener">Hero Motocorp (HMCL IN)</a> and <a href="https://www.smartkarma.com/entities/indusind-bank-ltd" target="_blank" data-smartkarma-citation="entities:1558:1" rel="noopener">Indusind Bank (IIB 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> in September.</li>
<li>There are 5 constituent changes 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> leading to 4 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>. </li>
<li>There will be global passive buying in <a href="https://www.smartkarma.com/entities/swiggy-limited" target="_blank" data-smartkarma-citation="entities:35630:1" rel="noopener">Swiggy (SWIGGY IN)</a> on Tuesday. Then there will be net selling in the stock at the close on 29 September.</li>
</ul>



InterGlobe Aviation Ltd (INDIGO IN) and Max Healthcare Institute (MAXHEALT IN) replace Hero Motocorp (HMCL IN) and Indusind Bank (IIB IN) in the NIFTY Index (NIFTY INDEX) in September.
There are 5 constituent changes to the Nifty 100 Index (NSE100 INDEX) leading to 4 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX). 
There will be global passive buying in Swiggy (SWIGGY IN) on Tuesday. Then there will be net selling in the stock at the close on 29 September.


NIFTY50/NEXT50 Index Rebalance: Bunch Of (Mostly) Expected Changes; Positioning Increases

<ul>
<li>There are 13 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with flows from passive trackers of other indices.</li>
<li>Estimated one-way turnover is 7.8% resulting in a round-trip trade of INR 18.23bn (US$209m). With over US$43bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>The adds to the index have outperformed the deletes over the last 5 months and there has been noticeable outperformance in the last couple of weeks.</li>
</ul>


There are 13 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with flows from passive trackers of other indices.
Estimated one-way turnover is 7.8% resulting in a round-trip trade of INR 18.23bn (US$209m). With over US$43bn tracking the index actively, the impact on the stocks will be much larger.
The adds to the index have outperformed the deletes over the last 5 months and there has been noticeable outperformance in the last couple of weeks.


NIFTY MIDCAP150 Index Rebalance: 13 Changes a Side; Lots of Overlap with Other Index Flow

India

The Nifty Junior Index is a free-float capitalization weighted index of the most liquid stocks excluded from the Nifty Index.

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

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NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

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

The stock is up a lot from its lows following the placement. Global index inclusion in May is a possibility, though there is a risk given that...

Brian Freitas

How Has the Index Rebalance Strategy Performed in 2024?

The index rebalance strategy has performed reasonably well this year. Accurate forecasting of index changes and optimal hedge selection have played...

Brian Freitas

Aequitas 2023 IPOs and Placements Performance Review - IPOs Forming a Low Base, Placements Pick Up

2023 was our eight year of covering Asia ECM. We ended 2023 with an accuracy rate of 73.7% across 57 IPOs that we covered and 79.3% across 115...

Sumeet Singh

NIFTY50/NEXT50 Index Rebalance: Bunch Of (Mostly) Expected Changes; Positioning Increases

The changes to the NIFTY/NIFTYJR indices are mostly on expected lines. The inclusion of HZ could be a surprise. There is positioning in the changes...

Brian Freitas

NIFTY MIDCAP150 Index Rebalance: 13 Changes a Side; Lots of Overlap with Other Index Flow

There are 13 changes for the index in Sep. Estimated one-way turnover is 7.8% and the round-trip trade is INR 18.2bn. There are many stocks with...

Brian Freitas

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