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

<ul>
<li>Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.</li>
<li>The introduction of some stocks in the F&amp;O segment could lead to their inclusion in the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank</a> and CNXIT indices and weight changes in the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next50</a>.</li>
<li>The inclusion of stocks in indices with a fixed number of constituents will result in deletion of some stocks from these indices. There should be methodology changes too.</li>
</ul>


Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.
The introduction of some stocks in the F&amp;O segment could lead to their inclusion in the NIFTY, SENSEX, Nifty Bank and CNXIT indices and weight changes in the Nifty Next50.
The inclusion of stocks in indices with a fixed number of constituents will result in deletion of some stocks from these indices. There should be methodology changes too.


India: Index Implications of Additions to the F&O Segment

<ul>
<li>Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.  </li>
<li>The new framework could lead to mechanical entry and exit of stocks in the F&amp;O segment with minimal intervention from SEBI.</li>
<li>The introduction of some large cap stocks in the F&amp;O segment could lead to their inclusion in 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/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX Index</a> and other local indices.</li>
</ul>


Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.  
The new framework could lead to mechanical entry and exit of stocks in the F&amp;O segment with minimal intervention from SEBI.
The introduction of some large cap stocks in the F&amp;O segment could lead to their inclusion in the NIFTY Index, SENSEX Index and other local indices.


India: Potential Adds/Deletes from F&O Segment

<ul>
<li>
<a href="https://www.smartkarma.com/entities/bajaj-housing-finance" target="_blank" data-smartkarma-citation="entities:43675:1" rel="noopener">Bajaj Housing Finance (BHF IN)</a> is looking to list on the exchanges by selling INR 65.6bn of stock at a valuation rumoured to be between INR 560-590bn.</li>
<li>The anchor allocations will be completed later this week, and the stock is expected to start trading on 16 September.</li>
<li>
<a href="https://www.smartkarma.com/entities/bajaj-housing-finance" target="_blank" data-smartkarma-citation="entities:43675:1" rel="noopener">Bajaj Housing Finance (BHF IN)</a>'s maximum float will be around 10% and that will limit inclusion to just one global index in the following 6 months. </li>
</ul>



Bajaj Housing Finance (BHF IN) is looking to list on the exchanges by selling INR 65.6bn of stock at a valuation rumoured to be between INR 560-590bn.
The anchor allocations will be completed later this week, and the stock is expected to start trading on 16 September.

Bajaj Housing Finance (BHF IN)'s maximum float will be around 10% and that will limit inclusion to just one global index in the following 6 months. 


Bajaj Housing Finance IPO: Offering Details & Index Inclusion

Index Rebalance

<ul>
<li>The review period for the Nifty 100 Low Volatility 30 Index ends on 30 August. The changes will be announced mid-September and implemented at the close on 27 September.</li>
<li>Four potential constituent changes, volatility changes and capping changes will result in one-way turnover of 16.05% resulting in a round-trip trade of INR 14.4bn (US$172m).</li>
<li>Three of the four potential deletions will have sell flows from 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</a> and <a href="https://www.smartkarma.com/entities/nifty-100-index" target="_blank" data-smartkarma-citation="entities:36051:1" rel="noopener">Nifty 100 Index</a> trackers as well.</li>
</ul>


The review period for the Nifty 100 Low Volatility 30 Index ends on 30 August. The changes will be announced mid-September and implemented at the close on 27 September.
Four potential constituent changes, volatility changes and capping changes will result in one-way turnover of 16.05% resulting in a round-trip trade of INR 14.4bn (US$172m).
Three of the four potential deletions will have sell flows from the NSE Nifty Next 50 Index and Nifty 100 Index trackers as well.


NIFTY100 Low Volatility 30 Index Rebalance Preview: 4 Changes as Review Cutoff Nears

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)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
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NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

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

India: Index Implications of Additions to the F&O Segment

With 79 stocks potentially added to the FnO market in the next few months, there will be a lot of changes for the NIFTY, NEXT50, NSEBANK, CNXIT,...

Brian Freitas

India: Potential Adds/Deletes from F&O Segment

There could be 79 inclusions and 18 deletions for the FnO segment following the revised eligibility criteria. That will in turn result in some of...

Brian Freitas

Bajaj Housing Finance IPO: Offering Details & Index Inclusion

Bajaj Housing Finance is looking to list by selling INR 65.6bn of stock in its IPO. Valuations are expensive compared to peers but there will be...

Brian Freitas

NIFTY100 Low Volatility 30 Index Rebalance Preview: 4 Changes as Review Cutoff Nears

4 potential constituent changes, volatility changes and capping changes will result in 1-way turnover of 16.05% resulting in a round-trip trade of...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)