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>Companies in India have disclosed their shareholding pattern as of end-September in October. There are companies with significant float changes from end-March and/or end-June.</li>
<li>The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.</li>
<li>Depending on the date that the shareholding was published, there could be 11 stocks with passive inflows from global trackers while 6 could see passive outflows in November.</li>
</ul>


Companies in India have disclosed their shareholding pattern as of end-September in October. There are companies with significant float changes from end-March and/or end-June.
The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.
Depending on the date that the shareholding was published, there could be 11 stocks with passive inflows from global trackers while 6 could see passive outflows in November.


India: Potential Free Float Changes & Passive Flows in November

Index Rebalance

<ul>
<li>There could be 16 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 30 December.</li>
<li>If all changes are on expected lines, one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn (US$736m).</li>
<li>Since June, the potential adds to the index have outperformed the index and the potential deletes by a big margin. Momentum could keep the outperformance going till implementation date.</li>
</ul>


There could be 16 changes for the Nifty200 Momentum 30 Index that will be implemented at the close on 30 December.
If all changes are on expected lines, one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn (US$736m).
Since June, the potential adds to the index have outperformed the index and the potential deletes by a big margin. Momentum could keep the outperformance going till implementation date.


NIFTY200 Momentum30 Index Rebalance Preview: 56% Turnover, Big Trade & Strong Momentum

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, and 200 Indices in the June 2024 index rebal event.</li>
<li>
<a href="https://www.smartkarma.com/entities/wipro-ltd" target="_blank" data-smartkarma-citation="entities:15360:1" rel="noopener">Wipro Ltd (WPRO IN)</a>'s deletion from Sensex is imminent but there are question marks over the top replacement names as this involves some subjectivity.  </li>
<li>For BSE 100, <a href="https://www.smartkarma.com/entities/jio-financial-services-limited" target="_blank" data-smartkarma-citation="entities:40042:1" rel="noopener">Jio Financial Services (JIOFIN IN)</a> is a new potential ADD and that has caused major changes to the index change expectations I had previously.</li>
</ul>


In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, and 200 Indices in the June 2024 index rebal event.

Wipro Ltd (WPRO IN)'s deletion from Sensex is imminent but there are question marks over the top replacement names as this involves some subjectivity.  
For BSE 100, Jio Financial Services (JIOFIN IN) is a new potential ADD and that has caused major changes to the index change expectations I had previously.


Quiddity Leaderboard BSE/​​​​SENSEX Jun 24: Jio Financial Addition Creates New Possibilities

<ul>
<li>In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, and 200 Indices in the June 2024 index rebal event.</li>
<li>As things stand, there could be one index change for the SENSEX index but there is room for these names to change during the remainder of the reference period.</li>
<li>Separately, there could be five ADDs/DELs for the BSE 100 index and six ADDs/DELs for the BSE 200 index.</li>
</ul>


In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, and 200 Indices in the June 2024 index rebal event.
As things stand, there could be one index change for the SENSEX index but there is room for these names to change during the remainder of the reference period.
Separately, there could be five ADDs/DELs for the BSE 100 index and six ADDs/DELs for the BSE 200 index.


Quiddity Leaderboard BSE/​​​​SENSEX Jun 24: Who Will Replace Wipro?

<ul>
<li>The last week was a very busy one. The coming week has some announcements and implementations but is a relatively quieter one.</li>
<li>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 changes for March will be implemented at the close on Friday, the 8th.</li>
<li>Another week of inflows for the <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets ex-China (EMXC US)</a> ETF as creations cross US$2bn for 2024. ETF AUM has gone from US$420m in 2021 to US$11bn now!</li>
</ul>


The last week was a very busy one. The coming week has some announcements and implementations but is a relatively quieter one.
The SSE STAR50 (STAR50 INDEX) and STAR100 Index changes for March will be implemented at the close on Friday, the 8th.
Another week of inflows for the iShares Emerging Markets ex-China (EMXC US) ETF as creations cross US$2bn for 2024. ETF AUM has gone from US$420m in 2021 to US$11bn now!


Index Rebalance & ETF Flow Recap: STAR50/100, FXI, NIFTY/NEXT50, S&P500, KOSPI, Goodman, Ecopro BM

India

REC Limited operates as a financial firm. The Company provides loan assistance to various state and central power utilities, private sector project developers, and state governments for investments in power generation, transmission, distribution, and other system improvement schemes. REC serves clients in India.

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REC (RECL IN)

India: Potential Free Float Changes & Passive Flows in November

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 4...

Brian Freitas

NIFTY200 Momentum30 Index Rebalance Preview: 56% Turnover, Big Trade & Strong Momentum

There could be 16 constituent changes in December. one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn...

Brian Freitas

Quiddity Leaderboard BSE/SENSEX Jun 24: Jio Financial Addition Creates New Possibilities

Wipro will be replaced by Adani Ports & S.E.Zone in the SENSEX index as expected. There will be five changes for BSE 100 which are consistent with...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard BSE/SENSEX Jun 24: Who Will Replace Wipro?

I see Wipro as a high conviction DEL for SENSEX in June 2024 but there are questions marks over who will replace Wipro as size-based rankings and...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: STAR50/100, FXI, NIFTY/NEXT50, S&P500, KOSPI, Goodman, Ecopro BM

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

India: Potential Free Float Changes & Passive Flows in November

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 4...

Brian Freitas

NIFTY200 Momentum30 Index Rebalance Preview: 56% Turnover, Big Trade & Strong Momentum

There could be 16 constituent changes in December. one-way turnover is estimated at 55.6% and that will result in a one-way trade of INR 62bn...

Brian Freitas

Quiddity Leaderboard BSE/​​​​SENSEX Jun 24: Jio Financial Addition Creates New Possibilities

Wipro will be replaced by Adani Ports & S.E.Zone in the SENSEX index as expected. There will be five changes for BSE 100 which are consistent with...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard BSE/​​​​SENSEX Jun 24: Who Will Replace Wipro?

I see Wipro as a high conviction DEL for SENSEX in June 2024 but there are questions marks over who will replace Wipro as size-based rankings and...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: STAR50/100, FXI, NIFTY/NEXT50, S&P500, KOSPI, Goodman, Ecopro BM

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Quiddity Leaderboard BSE/SENSEX Jun 24: Jio Financial Addition Creates New Possibilities

Quiddity Leaderboard BSE/SENSEX Jun 24: Who Will Replace Wipro?