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>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

Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/anthem-biosciences" target="_blank" data-smartkarma-citation="entities:44206:1" rel="noopener">Anthem Biosciences</a> raised INR 34bn (US$394m) in its IPO valuing the company at INR 320bn (US$3.7bn). The stock lists today.</li>
<li>The grey market premium is INR 132/share, so the stock could list 23.2% higher than the IPO price. That will help in getting larger index flows.</li>
<li>
<a href="https://www.smartkarma.com/entities/anthem-biosciences" target="_blank" data-smartkarma-citation="entities:44206:1" rel="noopener">Anthem Biosciences</a> could be added to one global index in November while the stock price gain will determine whether the stock is added to the other global index in December.</li>
</ul>



Anthem Biosciences raised INR 34bn (US$394m) in its IPO valuing the company at INR 320bn (US$3.7bn). The stock lists today.
The grey market premium is INR 132/share, so the stock could list 23.2% higher than the IPO price. That will help in getting larger index flows.

Anthem Biosciences could be added to one global index in November while the stock price gain will determine whether the stock is added to the other global index in December.


Anthem Biosciences IPO: Lists Today; Index Inclusion Timing

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> should replace <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> and <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> in the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> in September.</li>
<li>The review period for the September rebalance ends 31 July, the announcement of the changes will take place end August and implemented at the close of trading on 29 September.</li>
<li>While there has been a steady increase in cumulative excess volume for <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>, there could be more room to run in the stock. </li>
</ul>



InterGlobe Aviation Ltd (INDIGO IN) and Max Healthcare Institute (MAXHEALT IN) should replace Indusind Bank (IIB IN) and Hero Motocorp (HMCL IN) in the NIFTY Index in September.
The review period for the September rebalance ends 31 July, the announcement of the changes will take place end August and implemented at the close of trading on 29 September.
While there has been a steady increase in cumulative excess volume for Max Healthcare Institute (MAXHEALT IN), there could be more room to run in the stock. 


NIFTY50 Index Rebalance Preview: Forecast Changes, Impact, Positioning

<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

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)

NIFTY NEXT50 Index Rebalance Preview: Potential Changes & Close Names

There should be 5 NIFTY100 changes leading to 4 NEXT50 changes. There are two other stocks close to add/delete ranks. Estimated one-way turnover is...

Brian Freitas

Anthem Biosciences IPO: Lists Today; Index Inclusion Timing

Anthem Biosciences raised US$394m in its IPO valuing the company at US$3.7bn. The stock lists today. No Fast Entry but the stock should be added to...

Brian Freitas

NIFTY50 Index Rebalance Preview: Forecast Changes, Impact, Positioning

There could be 2 changes for the NIFTY50 in September and passives will need to trade 5.3-14.9x ADV (11.2-23x delivery volume). Max Healthcare has...

Brian Freitas

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

We currently forecast 44 migrations for the AMFI July reclassification. Some IPOs could be added to Large/Mid cap. The forecast upward migrations...

Brian Freitas

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

The Nifty200 Momentum30 Index rebalances at the close tomorrow. Since announcement, the adds have outperformed the deletes (but only marginally)....

Brian Freitas

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