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

Tata Motors Passenger Vehicles / Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a> / <a href="https://www.smartkarma.com/entities/tata-motors-ltd-a-dvr" target="_blank" data-smartkarma-citation="entities:349:1" rel="noopener">Tata Motors DVR (TTMT/A IN)</a> scheme of arrangement has received shareholder approval and regulatory approvals and should be implemented in the short-term.</li>
<li>There will be small buying from global passive trackers while there will be much bigger buying from <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index (SENSEX INDEX)</a> trackers.</li>
<li>In total, we estimate passive trackers will need to buy 25.2m shares (US$308m; 1.9x ADV) of <a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a> with buying coming in at different times. </li>
</ul>


The Tata Motors Ltd (TTMT IN) / Tata Motors DVR (TTMT/A IN) scheme of arrangement has received shareholder approval and regulatory approvals and should be implemented in the short-term.
There will be small buying from global passive trackers while there will be much bigger buying from NIFTY Index (NIFTY INDEX) and S&amp;P BSE SENSEX Index (SENSEX INDEX) trackers.
In total, we estimate passive trackers will need to buy 25.2m shares (US$308m; 1.9x ADV) of Tata Motors Ltd (TTMT IN) with buying coming in at different times. 


Tata Motors (TTMT IN): Index Impact of DVR Cancellation

Asia L/S Equity PM/Macro/Thematic Idea Generation

Rikki Malik

Cross Asset Strategy

<ul>
<li>A monthly review of how the markets and our themes are currently performing</li>
<li>Analysing what went wrong and what went right in stocks and sectors</li>
<li>Highlighting positions added or removed from the thematic investment portfolio</li>
</ul>


A monthly review of how the markets and our themes are currently performing
Analysing what went wrong and what went right in stocks and sectors
Highlighting positions added or removed from the thematic investment portfolio


July Themes and Thematic Portfolio Review

<ul>
<li>The <a href="https://www.smartkarma.com/entities/ola-electric-mobility-pvt-ltd" target="_blank" data-smartkarma-citation="entities:40618:1" rel="noopener">Ola Electric (1700674D IN)</a> IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company between US$3.79bn-US$4bn.</li>
<li>
<a href="https://www.smartkarma.com/entities/ola-electric-mobility-pvt-ltd" target="_blank" data-smartkarma-citation="entities:40618:1" rel="noopener">Ola Electric (1700674D IN)</a> will have a float of around 10% at the time of listing and that will increase to around 20% after the lock-up on anchor investors ends.</li>
<li>
<a href="https://www.smartkarma.com/entities/ola-electric-mobility-pvt-ltd" target="_blank" data-smartkarma-citation="entities:40618:1" rel="noopener">Ola Electric (1700674D IN)</a> could be added to global indices in February and March 2025, but inclusion in local indices with meaningful tracking assets will take longer.</li>
</ul>


The Ola Electric (1700674D IN) IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company between US$3.79bn-US$4bn.

Ola Electric (1700674D IN) will have a float of around 10% at the time of listing and that will increase to around 20% after the lock-up on anchor investors ends.

Ola Electric (1700674D IN) could be added to global indices in February and March 2025, but inclusion in local indices with meaningful tracking assets will take longer.


Ola Electric IPO: Offering Details & Index Inclusion

Index Rebalance

<ul>
<li>With 3 trading days left in the review period, there could be 7 changes (including 2 migrations) 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>Estimated one-way turnover is 18% resulting in a one-way trade of INR 55bn (US$660m). 9 stocks will have over 1x ADV to trade from passive trackers.</li>
<li>All the deletes are F&amp;O members while most adds are not. NSE Indices may have to revisit the index membership criteria especially given the launch of futures on the index.</li>
</ul>


With 3 trading days left in the review period, there could be 7 changes (including 2 migrations) for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September.
Estimated one-way turnover is 18% resulting in a one-way trade of INR 55bn (US$660m). 9 stocks will have over 1x ADV to trade from passive trackers.
All the deletes are F&amp;O members while most adds are not. NSE Indices may have to revisit the index membership criteria especially given the launch of futures on the index.


NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

Chief Economist & Political Strategist, CrossASEAN Research

Prasenjit K. Basu

Chief Economist & Political Strategist

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Macroeconomics

<ul>
<li>Headline CPI rose 1.33%MoM in Jun'24, because of a 3.17%MoM spike in food CPI. Consequently, headline CPI rose 5.08%YoY, driven by food inflation of 9.36%YoY.</li>
<li>Although core inflation was at 3.1%YoY in May-Jun'24, India targets headline inflation, not core. Vegetable inflation (+29.3%YoY) remained the main culprit pushing up headline inflation. Fiscal solutions will take time.  </li>
<li>Headline CPI inflation is likely to stay close to 5%YoY in Jul-Sep'24 (vs earlier expectations of it abating below 4%YoY). The first rate cut is therefore unlikely before Dec'24. </li>
</ul>


Headline CPI rose 1.33%MoM in Jun'24, because of a 3.17%MoM spike in food CPI. Consequently, headline CPI rose 5.08%YoY, driven by food inflation of 9.36%YoY.
Although core inflation was at 3.1%YoY in May-Jun'24, India targets headline inflation, not core. Vegetable inflation (+29.3%YoY) remained the main culprit pushing up headline inflation. Fiscal solutions will take time.  
Headline CPI inflation is likely to stay close to 5%YoY in Jul-Sep'24 (vs earlier expectations of it abating below 4%YoY). The first rate cut is therefore unlikely before Dec'24. 


India: Inflation Setback in June Pushes Out Prospect of Rate Cuts to Later in the Year

India

The S&P BSE Sensex Index is a cap-weighted index. The index members have been selected on the basis of liquidity, depth, and floating-stock-adjustment depth and industry representation. Sensex has a base date and value of 100 in 1978-1979. The Index shifted to free-float methodology since 09/01/03. Please see {SNSXOLD Index <GO>} for mid-month options.

S&P BSE SENSEX Index (SENSEX INDEX EQUITY)

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
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Dividend (Yield)	0.00

S&P BSE SENSEX Index (SENSEX INDEX EQUITY)

Tata Motors (TTMT IN): Index Impact of DVR Cancellation

With all approvals received, Tata Motors DVRs will be cancelled and new Tata Motors shares will be issued. That will result in increased weight for...

Brian Freitas

July Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

Ola Electric IPO: Offering Details & Index Inclusion

The Ola Electric IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company...

Brian Freitas

NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

There could be 7 changes for the Nifty Next 50. The addition of non-FnO stocks and deletion of FnO stocks raises index replication issues. Expect...

Brian Freitas

India: Inflation Setback in June Pushes Out Prospect of Rate Cuts to Later in the Year

Headline CPI rose to 5.08%YoY in Jun'24 due to food inflation (9.36%YoY). Despite the high base from Jul-Aug'23, CPI inflation will be near 5%YoY...

Prasenjit K. Basu

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Tata Motors (TTMT IN): Index Impact of DVR Cancellation

With all approvals received, Tata Motors DVRs will be cancelled and new Tata Motors shares will be issued. That will result in increased weight for...

Brian Freitas

July Themes and Thematic Portfolio Review

We review overall market performance, our investment themes, highlighting additions and substractions in the thematic portfolio.

Rikki Malik

Ola Electric IPO: Offering Details & Index Inclusion

The Ola Electric IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company...

Brian Freitas

NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

There could be 7 changes for the Nifty Next 50. The addition of non-FnO stocks and deletion of FnO stocks raises index replication issues. Expect...

Brian Freitas

India: Inflation Setback in June Pushes Out Prospect of Rate Cuts to Later in the Year

​Headline CPI rose to 5.08%YoY in Jun'24 due to food inflation (9.36%YoY). Despite the high base from Jul-Aug'23, CPI inflation will be near 5%YoY...

Prasenjit K. Basu

Headline CPI rose to 5.08%YoY in Jun'24 due to food inflation (9.36%YoY). Despite the high base from Jul-Aug'23, CPI inflation will be near 5%YoY...