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

<ul>
<li>There are 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.</li>
<li>Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn (US$384m). There are 13 stocks with over 0.5x ADV to trade, mostly on the deletes.</li>
<li>After steady outperformance over the last few months, there was a selloff in momentum names following the announcement of the election results. There has been a recovery since then.</li>
</ul>


There are 13 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 27 June.
Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn (US$384m). There are 13 stocks with over 0.5x ADV to trade, mostly on the deletes.
After steady outperformance over the last few months, there was a selloff in momentum names following the announcement of the election results. There has been a recovery since then.


NIFTY200 Momentum30 Index Rebalance: 13 Changes, 42% Turnover, Momentum Recovers After Selloff

Last evening, the Index Maintenance Sub-Committee (IMSC) of NSE Indices announced the results of the March index review for 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>. The rebalance will be effective after the close of trading on 30 March and passive funds will need to trade at the close (VWAP over the last 30 minutes of trading) on the day.<a href="https://www.smartkarma.com/entities/tata-consumer-products" target="_blank" data-smartkarma-citation="entities:258:1" rel="noopener">Tata Consumer Products (TATACONS IN)</a> has been included in the index and replaces <a href="https://www.smartkarma.com/entities/gail-india-ltd" target="_blank" data-smartkarma-citation="entities:15263:1" rel="noopener">Gail India Ltd (GAIL IN)</a>. This is in line with what we expected and makes <a href="https://www.smartkarma.com/entities/tata-consumer-products" target="_blank" data-smartkarma-citation="entities:258:1" rel="noopener">Tata Consumer Products (TATACONS IN)</a> the fifth Tata group company to be included in the index.NSE indices have also announced a number of changes to other indices. There are 7 changes to the NIFTY Next 50 (which together with the NIFTY 50 makes up the NIFTY 100) with <a href="https://www.smartkarma.com/entities/adani-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:245:1" rel="noopener">Adani Enterprises (ADE IN)</a>, <a href="https://www.smartkarma.com/entities/apollo-hospitals-enterprise" target="_blank" data-smartkarma-citation="entities:880:1" rel="noopener">Apollo Hospitals Enterprise (APHS IN)</a>, <a href="https://www.smartkarma.com/entities/gail-india-ltd" target="_blank" data-smartkarma-citation="entities:15263:1" rel="noopener">Gail India Ltd (GAIL IN)</a>, <a href="https://www.smartkarma.com/entities/jubilant-foodworks-ltd" target="_blank" data-smartkarma-citation="entities:986:1" rel="noopener">Jubilant Foodworks (JUBI IN)</a>, <a href="https://www.smartkarma.com/entities/mrf-ltd" target="_blank" data-smartkarma-citation="entities:2930:1" rel="noopener">Mrf Ltd (MRF IN)</a>, <a href="https://www.smartkarma.com/entities/vedanta-ltd" target="_blank" data-smartkarma-citation="entities:514:1" rel="noopener">Vedanta Ltd (VEDL IN)</a> and <a href="https://www.smartkarma.com/entities/yes-bank-ltd" target="_blank" data-smartkarma-citation="entities:767:1" rel="noopener">Yes Bank (YES IN)</a> replacing <a href="https://www.smartkarma.com/entities/bank-of-baroda" target="_blank" data-smartkarma-citation="entities:545:1" rel="noopener">Bank Of Baroda (BOB IN)</a>, <a href="https://www.smartkarma.com/entities/container-corp-of-india-ltd" target="_blank" data-smartkarma-citation="entities:17912:1" rel="noopener">Container Corp of India (CCRI IN)</a>, <a href="https://www.smartkarma.com/entities/general-ins-corp-of-india" target="_blank" data-smartkarma-citation="entities:25944:1" rel="noopener">General Insurance Corp Of India (GICRE IN)</a>, <a href="https://www.smartkarma.com/entities/hindustan-zinc-ltd" target="_blank" data-smartkarma-citation="entities:8688:1" rel="noopener">Hindustan Zinc (HZ IN)</a>, <a href="https://www.smartkarma.com/entities/oracle-financial-services" target="_blank" data-smartkarma-citation="entities:7775:1" rel="noopener">Oracle Financial Services (OFSS IN)</a>, <a href="https://www.smartkarma.com/entities/power-finance-corporation" target="_blank" data-smartkarma-citation="entities:13579:1" rel="noopener">Power Finance (POWF IN)</a> and <a href="https://www.smartkarma.com/entities/tata-consumer-products" target="_blank" data-smartkarma-citation="entities:258:1" rel="noopener">Tata Consumer Products (TATACONS IN)</a>.Changes have also been made to the index methodology. The main change from the perspective of 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> is that the index reviews will be effective after the close on the second last working day of the review month. The existing methodology specifies that the index review will be effective after the close on the F&amp;O expiry day (last Thursday) of the review month.<div class="content-highlight">This Insight has been marked as Bullish since TATACONS could outperform its peers in the near term.</div>

Last evening, the Index Maintenance Sub-Committee (IMSC) of NSE Indices announced the results of the March index review for the NIFTY Index (NIFTY INDEX). The rebalance will be effective after the close of trading on 30 March and passive funds will need to trade at the close (VWAP over the last 30 minutes of trading) on the day.Tata Consumer Products (TATACONS IN) has been included in the index and replaces Gail India Ltd (GAIL IN). This is in line with what we expected and makes Tata Consumer Products (TATACONS IN) the fifth Tata group company to be included in the index.NSE indices have also announced a number of changes to other indices. There are 7 changes to the NIFTY Next 50 (which together with the NIFTY 50 makes up the NIFTY 100) with Adani Enterprises (ADE IN), Apollo Hospitals Enterprise (APHS IN), Gail India Ltd (GAIL IN), Jubilant Foodworks (JUBI IN), Mrf Ltd (MRF IN), Vedanta Ltd (VEDL IN) and Yes Bank (YES IN) replacing Bank Of Baroda (BOB IN), Container Corp of India (CCRI IN), General Insurance Corp Of India (GICRE IN), Hindustan Zinc (HZ IN), Oracle Financial Services (OFSS IN), Power Finance (POWF IN) and Tata Consumer Products (TATACONS IN).Changes have also been made to the index methodology. The main change from the perspective of the NIFTY Index (NIFTY INDEX) is that the index reviews will be effective after the close on the second last working day of the review month. The existing methodology specifies that the index review will be effective after the close on the F&amp;O expiry day (last Thursday) of the review month.This Insight has been marked as Bullish since TATACONS could outperform its peers in the near term.

NIFTY50 Index Rebalance: TATACONS In, GAIL Out; Methodology Changes Too

Event-Driven

Once up a time in India, there was a smorgasbord of mutual fund schemes launched by different fund houses. The same fund house had myriad schemes that were almost identical to each other. Different fund houses has similar sounding schemes that invested in stocks that were nothing like each other. Fund houses had discretion in determining parameters that assigned stocks to large cap, mid cap and small cap categories.Finally in 2017, the Securities and Exchange Board of India (SEBI) stepped in and created a framework to bring in uniformity and standardize scheme categories and the characteristics of each category. The implementation was left up to the Association of Mutual Funds in India (AMFI).AMFI publishes a list of stocks every January and July using data from the previous six months to categorize stocks into large cap, mid cap and small cap segments of the market. Mutual funds have one month to rebalance their portfolios to adhere to the new categorization.For the six months ending 30 June 2020, we see quite a few changes due to the volatility in the markets and active fund managers will need to buy/sell these stocks to align with the new categorization. These category changes throw up trading opportunities due to the large AUM tracking these schemes.  The changes should be announced in a few days.<table class="table table-striped">
<colgroup>
<col>
<col>
<col>
<col>
</colgroup>
<tbody>
<tr>
<td colspan="2" style="width: 301pt;">MID CAP TO LARGE CAP</td>
<td colspan="2" style="width: 333pt;">LARGE CAP TO MID CAP</td>
</tr>
<tr>
<td>Code</td>
<td>Name</td>
<td>Code</td>
<td>Name</td>
</tr>
<tr>
<td>SBIC.NS</td>
<td>SBI Cards and Payment Services Ltd</td>
<td>PIRA.NS</td>
<td>Piramal Enterprises Ltd</td>
</tr>
<tr>
<td>ADNA.NS</td>
<td>Adani Green Energy Ltd</td>
<td>PWFC.NS</td>
<td>Power Finance Corporation Ltd</td>
</tr>
<tr>
<td>ABOT.NS</td>
<td>Abbott India Ltd</td>
<td>YESB.NS</td>
<td>Yes Bank Ltd</td>
</tr>
<tr>
<td>IGAS.NS</td>
<td>Indraprastha Gas Ltd</td>
<td>ACC.NS</td>
<td>ACC Ltd</td>
</tr>
<tr>
<td>CADI.NS</td>
<td>Cadila Healthcare Ltd</td>
<td>KANE.NS</td>
<td>Kansai Nerolac Paints Ltd</td>
</tr>
<tr>
<td>ALKE.NS</td>
<td>Alkem Laboratories Ltd</td>
<td>RECM.NS</td>
<td>REC Ltd</td>
</tr>
<tr>
<td>TACN.NS</td>
<td>Tata Consumer Products Ltd</td>
<td>ABB.NS</td>
<td>ABB India Ltd</td>
</tr>
<tr>
<td>MRF.NS</td>
<td>MRF Ltd</td>
<td>ORCL.NS</td>
<td>Oracle Financial Services Software Ltd</td>
</tr>
<tr>
<td>WHIR.NS</td>
<td>Whirlpool of India Ltd</td>
<td>ZEE.NS</td>
<td>Zee Entertainment Enterprises Ltd</td>
</tr>
<tr>
<td colspan="2">SMALL CAP TO MID CAP</td>
<td colspan="2">MID CAP TO SMALL CAP</td>
</tr>
<tr>
<td>Code</td>
<td>Name</td>
<td>Code</td>
<td>Name</td>
</tr>
<tr>
<td>SUMH.NS</td>
<td>Sumitomo Chemical India Ltd</td>
<td>INDB.NS</td>
<td>Indiabulls Ventures Ltd</td>
</tr>
<tr>
<td>RCSY.NS</td>
<td>Ruchi Soya Industries Ltd</td>
<td>SHCU.NS</td>
<td>Shriram City Union Finance Ltd</td>
</tr>
<tr>
<td>ESCO.NS</td>
<td>Escorts Ltd</td>
<td>UJJI.NS</td>
<td>Ujjivan Small Finance Bank Ltd</td>
</tr>
<tr>
<td>CBI.NS</td>
<td>Central Bank of India Ltd</td>
<td>MRPL.NS</td>
<td>Mangalore Refinery and Petrochemicals Ltd</td>
</tr>
<tr>
<td>TBEI.NS</td>
<td>Tube Investments of India Ltd</td>
<td>EDEL.NS</td>
<td>Edelweiss Financial Services Ltd</td>
</tr>
<tr>
<td>JULS.NS</td>
<td>Jubilant Life Sciences Ltd</td>
<td>EIHO.NS</td>
<td>EIH Ltd</td>
</tr>
<tr>
<td>ITEL.NS</td>
<td>ITI Ltd</td>
<td>FLFL.NS</td>
<td>Future Lifestyle Fashions Ltd</td>
</tr>
<tr>
<td>METP.NS</td>
<td>Metropolis Healthcare Ltd</td>
<td>PNBH.NS</td>
<td>PNB Housing Finance Ltd</td>
</tr>
<tr>
<td>TTKL.NS</td>
<td>TTK Prestige Ltd</td>
<td colspan="2" rowspan="3"></td>
</tr>
<tr>
<td>JMSH.NS</td>
<td>JM Financial Ltd</td>
</tr>
<tr>
<td>SHEF.NS</td>
<td>Sheela Foam Ltd</td>
</tr>
</tbody>
</table>

Once up a time in India, there was a smorgasbord of mutual fund schemes launched by different fund houses. The same fund house had myriad schemes that were almost identical to each other. Different fund houses has similar sounding schemes that invested in stocks that were nothing like each other. Fund houses had discretion in determining parameters that assigned stocks to large cap, mid cap and small cap categories.Finally in 2017, the Securities and Exchange Board of India (SEBI) stepped in and created a framework to bring in uniformity and standardize scheme categories and the characteristics of each category. The implementation was left up to the Association of Mutual Funds in India (AMFI).AMFI publishes a list of stocks every January and July using data from the previous six months to categorize stocks into large cap, mid cap and small cap segments of the market. Mutual funds have one month to rebalance their portfolios to adhere to the new categorization.For the six months ending 30 June 2020, we see quite a few changes due to the volatility in the markets and active fund managers will need to buy/sell these stocks to align with the new categorization. These category changes throw up trading opportunities due to the large AUM tracking these schemes.  The changes should be announced in a few days.








MID CAP TO LARGE CAP
LARGE CAP TO MID CAP


Code
Name
Code
Name


SBIC.NS
SBI Cards and Payment Services Ltd
PIRA.NS
Piramal Enterprises Ltd


ADNA.NS
Adani Green Energy Ltd
PWFC.NS
Power Finance Corporation Ltd


ABOT.NS
Abbott India Ltd
YESB.NS
Yes Bank Ltd


IGAS.NS
Indraprastha Gas Ltd
ACC.NS
ACC Ltd


CADI.NS
Cadila Healthcare Ltd
KANE.NS
Kansai Nerolac Paints Ltd


ALKE.NS
Alkem Laboratories Ltd
RECM.NS
REC Ltd


TACN.NS
Tata Consumer Products Ltd
ABB.NS
ABB India Ltd


MRF.NS
MRF Ltd
ORCL.NS
Oracle Financial Services Software Ltd


WHIR.NS
Whirlpool of India Ltd
ZEE.NS
Zee Entertainment Enterprises Ltd


SMALL CAP TO MID CAP
MID CAP TO SMALL CAP


Code
Name
Code
Name


SUMH.NS
Sumitomo Chemical India Ltd
INDB.NS
Indiabulls Ventures Ltd


RCSY.NS
Ruchi Soya Industries Ltd
SHCU.NS
Shriram City Union Finance Ltd


ESCO.NS
Escorts Ltd
UJJI.NS
Ujjivan Small Finance Bank Ltd


CBI.NS
Central Bank of India Ltd
MRPL.NS
Mangalore Refinery and Petrochemicals Ltd


TBEI.NS
Tube Investments of India Ltd
EDEL.NS
Edelweiss Financial Services Ltd


JULS.NS
Jubilant Life Sciences Ltd
EIHO.NS
EIH Ltd


ITEL.NS
ITI Ltd
FLFL.NS
Future Lifestyle Fashions Ltd


METP.NS
Metropolis Healthcare Ltd
PNBH.NS
PNB Housing Finance Ltd


TTKL.NS
TTK Prestige Ltd



JMSH.NS
JM Financial Ltd


SHEF.NS
Sheela Foam Ltd




India Stock Classification Changes - Active Portfolio Churn

Last evening, the National Stock Exchange of India (NSE) published a list of nine stocks that would be excluded from the Futures and Options segment of the market with effect from September 26. The list includes <a href="https://www.smartkarma.com/entities/arvind-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:4442:1">Arvind Ltd (ARVND IN)</a>, <a href="https://www.smartkarma.com/entities/engineers-india-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:13697:1">Engineers India (ENGR IN)</a>, <a href="https://www.smartkarma.com/entities/hindustan-zinc-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:8688:1">Hindustan Zinc (HZ IN)</a>, <a href="https://www.smartkarma.com/entities/idbi-bank-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:10669:1">Idbi Bank Ltd (IDBI IN)</a>, <a href="https://www.smartkarma.com/entities/kajaria-ceramics-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:13916:1">Kajaria Ceramics (KJC IN)</a>, <a href="https://www.smartkarma.com/entities/multi-commodity-exch-india" target="_blank" rel="noopener" data-smartkarma-citation="entities:13518:1">Multi Commodity Exch India (MCX IN)</a>, <a href="https://www.smartkarma.com/entities/oracle-financial-services" target="_blank" rel="noopener" data-smartkarma-citation="entities:7775:1">Oracle Financial Services (OFSS IN)</a>, <a href="https://www.smartkarma.com/entities/raymond-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:7064:1">Raymond Ltd (RW IN)</a> and Birlasoft Limited.In our earlier note, <a href="https://www.smartkarma.com/insights/india-equity-derivatives-the-tail-wags-the-dog" target="_blank" rel="noopener" data-smartkarma-citation="insights:30878">India Equity Derivatives - The Tail Wags the Dog</a>, we highlighted the performance of 34 stocks that were excluded from the Futures and Options (F&amp;O) segment of the market in April this year and we recommend going short a basket of the nine excluded stocks against the Nifty as a short term play.

Last evening, the National Stock Exchange of India (NSE) published a list of nine stocks that would be excluded from the Futures and Options segment of the market with effect from September 26. The list includes Arvind Ltd (ARVND IN), Engineers India (ENGR IN), Hindustan Zinc (HZ IN), Idbi Bank Ltd (IDBI IN), Kajaria Ceramics (KJC IN), Multi Commodity Exch India (MCX IN), Oracle Financial Services (OFSS IN), Raymond Ltd (RW IN) and Birlasoft Limited.In our earlier note, India Equity Derivatives - The Tail Wags the Dog, we highlighted the performance of 34 stocks that were excluded from the Futures and Options (F&amp;O) segment of the market in April this year and we recommend going short a basket of the nine excluded stocks against the Nifty as a short term play.

Quantitative Analysis

In Friday's Union Budget presentation, the Finance Minister proposed increasing the Minimum Public Shareholding (MPS) in listed companies from 25% to 35% and has asked the Securities and Exchange Board of India (SEBI) to consider raising the threshold. If and when implemented, promoters will need to either sell down their stake to meet the 35% threshold or buy back their stock and delist from the exchanges.In this piece, we look at multinational companies that have subsidiaries listed in India that do not meet the 35% threshold currently, and possible action on their part based on the current stock price, delisting guidelines and other considerations.

In Friday's Union Budget presentation, the Finance Minister proposed increasing the Minimum Public Shareholding (MPS) in listed companies from 25% to 35% and has asked the Securities and Exchange Board of India (SEBI) to consider raising the threshold. If and when implemented, promoters will need to either sell down their stake to meet the 35% threshold or buy back their stock and delist from the exchanges.In this piece, we look at multinational companies that have subsidiaries listed in India that do not meet the 35% threshold currently, and possible action on their part based on the current stock price, delisting guidelines and other considerations.

India

Oracle Financial Services Software Ltd. provides comprehensive information technology solutions to the financial services industry worldwide. The Company provides transaction processing and accounting software for banks, investment managers and mutual funds. Oracle Financial also provides internet delivery of financial services as well as business intelligence and analytical applications.

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Oracle Financial Services (OFSS IN)

NIFTY200 Momentum30 Index Rebalance: 13 Changes, 42% Turnover, Momentum Recovers After Selloff

There are 13 changes for the Nifty200 Momentum 30 Index. Estimated one-way turnover is 42.3% resulting in a one-way trade of INR 32bn. The adds...

Brian Freitas

NIFTY50 Index Rebalance: TATACONS In, GAIL Out; Methodology Changes Too

TATACONS has been added to the NIFTY50 replacing GAIL. There are changes to a bunch of other indices too and methodology changes which shift the...

Brian Freitas

India Stock Classification Changes - Active Portfolio Churn

Once up a time in India, there was a smorgasbord of mutual fund schemes launched by different fund houses. The same fund house had myriad schemes...

Brian Freitas

The Tail Wags the Dog Redux

Last evening, the National Stock Exchange of India (NSE) published a list of nine stocks that would be excluded from the Futures and Options...

Brian Freitas

India - Stake Sale or Delisting?

In Friday's Union Budget presentation, the Finance Minister proposed increasing the Minimum Public Shareholding (MPS) in listed companies from 25%...

Brian Freitas

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52-week Range

Market Cap (USDm)

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