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

Power Grid Corporation Of India / Event-Driven

<ul>
<li>The rebalance of 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/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50</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</a>, <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 a bunch of other indices will be implemented at the close of trading today.</li>
<li>Depending on the index, there are constituent changes, changes to the number of shares and free float, plus capping changes. Put together, there is a lot of flow and impact.</li>
<li>The round-trip trade will be in excess of US$1bn. Add in the futures &amp; options expiry and volumes will be extremely high in the last 30 minutes of trading.</li>
</ul>


The rebalance of the NIFTY, Nifty Next 50, NSE Nifty Bank, CPSE ETF (CPSEBE IN) and a bunch of other indices will be implemented at the close of trading today.
Depending on the index, there are constituent changes, changes to the number of shares and free float, plus capping changes. Put together, there is a lot of flow and impact.
The round-trip trade will be in excess of US$1bn. Add in the futures &amp; options expiry and volumes will be extremely high in the last 30 minutes of trading.


NIFTY Family Index Rebalance: Flows at the Close Today + F&O Expiry

Global Emerging Market Equities, Propitious Research

Wium Malan, CFA

Global Emerging Market Equities

Independent, Fundamental Quantitative Research

Propitious Research

Fully independent, fundamental and quantitative equity research, focused on companies in the Telecommunication, Media, Technology, Internet and Healthcare sectors in the Global Emerging Markets. Idea generation focused on Quality stocks, trading below their intrinsic Value, with sound Corporate Governance.

Quantitative Analysis

<ul>
<li>During 1Q2024, the 200 largest weighted companies in the GEM index reported average EPS growth of +8.7%y/y, down slightly from the +10.1% reported during 4Q2023.</li>
<li>Only 47% of companies delivered positive EPS surprises, and only 44% delivered positive Sales surprises, a sharp correction from the positive trend witnessed during 2023.</li>
<li>Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.</li>
</ul>


During 1Q2024, the 200 largest weighted companies in the GEM index reported average EPS growth of +8.7%y/y, down slightly from the +10.1% reported during 4Q2023.
Only 47% of companies delivered positive EPS surprises, and only 44% delivered positive Sales surprises, a sharp correction from the positive trend witnessed during 2023.
Historically, there has been a significant difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.


Global Emerging Markets: Reporting Season Summary, 1Q2024

<ul>
<li>There were a few rebalance announcements in the last week and the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">SSE STAR50 (STAR50 INDEX)</a> and STAR100 Index rebalances were implemented at the close on Friday.</li>
<li>There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.</li>
<li>Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX)</a>. </li>
</ul>


There were a few rebalance announcements in the last week and the SSE STAR50 (STAR50 INDEX) and STAR100 Index rebalances were implemented at the close on Friday.
There are a lot of rebalances that will be implemented at the close on the coming Thursday and Friday.
Another big week of inflows for onshore China ETFs with Central Huijin likely behind the big flows to ETFs tracking the Shanghai Shenzhen CSI 300 Inde (SHSZ300 INDEX). 


Index Rebalance & ETF Flow Recap: NKY, ASX, CSI300, A50, STTF, LowVol30, Value Up

<ul>
<li>With the review period complete, <a href="https://www.smartkarma.com/entities/titan-co-ltd" target="_blank" data-smartkarma-citation="entities:12630:1" rel="noopener">Titan Co Ltd (TTAN IN)</a> should replace <a href="https://www.smartkarma.com/entities/indian-oil-corp-ltd" target="_blank" data-smartkarma-citation="entities:7781:1" rel="noopener">Indian Oil Corp (IOCL IN)</a> in the Nifty100 Low Volatility 30 Index at the close on 27 March.</li>
<li>Constituent changes, volatility changes and capping changes will result in one-way turnover of 13.2% resulting in a one-way trade of INR 4.2bn.</li>
<li>The flows on the stocks are not very large but there will be same side and offsetting flows from other index trackers at the same time.</li>
</ul>


With the review period complete, Titan Co Ltd (TTAN IN) should replace Indian Oil Corp (IOCL IN) in the Nifty100 Low Volatility 30 Index at the close on 27 March.
Constituent changes, volatility changes and capping changes will result in one-way turnover of 13.2% resulting in a one-way trade of INR 4.2bn.
The flows on the stocks are not very large but there will be same side and offsetting flows from other index trackers at the same time.


NIFTY100 Low Volatility 30 Index Rebalance Preview: Titan Could Replace IOCL

APAC IPOs & Placements, Aequitas Research

Ethan Aw

APAC 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

Bharat Highways InVIT / Equity Capital Markets

<ul>
<li>
<a href="https://www.smartkarma.com/entities/bharat-highways-invit" target="_blank" data-smartkarma-citation="entities:36714:1" rel="noopener">Bharat Highways InVIT (BHINV IN)</a> is looking to raise up to US$301m in its Indian IPO.</li>
<li>Bharat Highways InVIT is an infrastructure investment trust established to acquire, manage and invest in a portfolio of infrastructure assets in India.</li>
<li>In this note, we talk about the company’s historical performance and provide our quick thoughts on valuation.</li>
</ul>



Bharat Highways InVIT (BHINV IN) is looking to raise up to US$301m in its Indian IPO.
Bharat Highways InVIT is an infrastructure investment trust established to acquire, manage and invest in a portfolio of infrastructure assets in India.
In this note, we talk about the company’s historical performance and provide our quick thoughts on valuation.


Bharat Highways InvIT IPO - Hardly Attractive Given the Lackluster Sentiment

India

Power Grid Corporation of India Limited has been established by the Government of India as the central transmission utility of India. The mandate for the corporation is establishment and operation of EHV. AC & HVDC transmission lines, sub-stations, load dispatch centers and communications facilities throughout India.

Power Grid Corporation Of India (PWGR IN)

Power Grid Corporation Of India (PWGR IN)

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Bharat Highways InVIT (BHINV IN) is looking to raise up to US$301m in its Indian IPO. In this note, we talk about the company’s historical...

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