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-December in January. There are companies with significant float changes from end-September and/or end-December.</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>There are 15 stocks that could have passive inflows from global trackers while 9 could see passive outflows in February.</li>
</ul>


Companies in India have disclosed their shareholding pattern as of end-December in January. There are companies with significant float changes from end-September and/or end-December.
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.
There are 15 stocks that could have passive inflows from global trackers while 9 could see passive outflows in February.


India: Free Float Changes & Passive Flows in February

<ul>
<li>NSE Indices have started a market consultation on dropping stocks that are not a part of the Futures &amp; Options segment from the <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index (NIFTYJR INDEX)</a>. </li>
<li>This will be done in two phases with a weight reduction for non-F&amp;O stocks in June and deletion from the index in September.</li>
<li>That will result in 11 inclusions to the <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index (NIFTYJR INDEX)</a> in September and bring in a lot of flow to the stocks.</li>
</ul>


NSE Indices have started a market consultation on dropping stocks that are not a part of the Futures &amp; Options segment from the Nifty Next 50 Index (NIFTYJR INDEX). 
This will be done in two phases with a weight reduction for non-F&amp;O stocks in June and deletion from the index in September.
That will result in 11 inclusions to the Nifty Next 50 Index (NIFTYJR INDEX) in September and bring in a lot of flow to the stocks.


NIFTY NEXT 50 Index Market Consultation: Non-F&O Stocks Could Be Dropped

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, 200, and 500 Indices in the December 2022 Rebalance.</li>
<li>The reference period for the trading data used for the index selection ended on 31st October 2022.</li>
<li>There have been a couple of key revisions to the index selection methodologies for SENSEX and SENSEX Next 50 which could have important consequences.</li>
</ul>


In this insight, we take a look at the Potential ADDs/DELs for the BSE SENSEX, 100, 200, and 500 Indices in the December 2022 Rebalance.
The reference period for the trading data used for the index selection ended on 31st October 2022.
There have been a couple of key revisions to the index selection methodologies for SENSEX and SENSEX Next 50 which could have important consequences.


S&P BSE/​Sensex Quiddity Leaderboard Dec 22: Potential ADDs Could Outperform the Index

<ul>
<li>The National Company Law Tribunal (NCLT) has ordered a meeting of <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited</a> and <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank</a> shareholders on 25 November to consider and approve the proposed Scheme of Amalgamation.</li>
<li>
<a href="https://www.smartkarma.com/entities/pidilite-industries-ltd" target="_blank" data-smartkarma-citation="entities:20573:1" rel="noopener">Pidilite Industries (PIDI IN)</a> is a high probability ad hoc inclusion to 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> with <a href="https://www.smartkarma.com/entities/tata-power-co-ltd" target="_blank" data-smartkarma-citation="entities:15618:1" rel="noopener">Tata Power (TPWR IN)</a> a lower probability inclusion candidate.</li>
<li>
<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> and <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> could be added to the <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> in December replacing <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a> and <a href="https://www.smartkarma.com/entities/dr-reddy-s-laboratories-ltd" target="_blank" data-smartkarma-citation="entities:16406:1" rel="noopener">Dr. Reddy's Laboratories (DRRD IN)</a>.</li>
</ul>


The National Company Law Tribunal (NCLT) has ordered a meeting of HDFC Limited and HDFC Bank shareholders on 25 November to consider and approve the proposed Scheme of Amalgamation.

Pidilite Industries (PIDI IN) is a high probability ad hoc inclusion to the NIFTY Index (NIFTY INDEX) with Tata Power (TPWR IN) a lower probability inclusion candidate.

Tata Motors Ltd (TTMT IN) and Adani Enterprises (ADE IN) could be added to the SENSEX INDEX in December replacing HDFC Limited (HDFC IN) and Dr. Reddy's Laboratories (DRRD IN).


HDFC/HDFCB Merger in the Home Stretch: Potential Changes to NIFTY50, NIFTY100 & SENSEX Indices

Index Rebalance

<ul>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the BSE SENSEX, 100, 200, and 500 Indices in the December 2022 Rebalance.</li>
<li>SENSEX and BSE 100 could both see one index change each. There could be multiple ADDs/DELs for the BSE 200 and BSE 500 indices.</li>
<li>There are several trading opportunities with interesting potential index flow dynamics.</li>
</ul>


In this insight, we take a look at the names leading the race to become ADDs/DELs for the BSE SENSEX, 100, 200, and 500 Indices in the December 2022 Rebalance.
SENSEX and BSE 100 could both see one index change each. There could be multiple ADDs/DELs for the BSE 200 and BSE 500 indices.
There are several trading opportunities with interesting potential index flow dynamics.


S&P BSE Quiddity Leaderboard Dec 2022: Some More Interesting LONG-SHORT Pairs

India

SRF Limited is a multi-business Indian multinational engaging in the manufacture of chemical based industrial intermediates. The Company has a business portfolio that encompasses technical textiles, chemicals, packaging films and engineering plastics.

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SRF Ltd (SRF IN)

India: Free Float Changes & Passive Flows in February

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 3...

Brian Freitas

NIFTY NEXT 50 Index Market Consultation: Non-F&O Stocks Could Be Dropped

A market consultation could lead to the deletion of non-F&O stocks from the NIFTY NEXT50 index in September. That means 11 new index members and...

Brian Freitas

S&P BSE/Sensex Quiddity Leaderboard Dec 22: Potential ADDs Could Outperform the Index

I see one change for SENSEX, 3 ADDs/DELs for BSE 100, 5 ADDs/DELs for the BSE 200, and 13 ADDs/DELs for the BSE 500. I expect the potential ADDs...

Janaghan Jeyakumar, CFA

HDFC/HDFCB Merger in the Home Stretch: Potential Changes to NIFTY50, NIFTY100 & SENSEX Indices

Approval of the scheme of amalgamation by HDFC & HDFCB shareholders on 25 Nov will trigger changes to the NIFTY and NIFTYJR in December. Sensex...

Brian Freitas

S&P BSE Quiddity Leaderboard Dec 2022: Some More Interesting LONG-SHORT Pairs

Tata Motors Ltd could be added to SENSEX and Dr. Reddy's Laboratories could be deleted. Adani Total Gas could get deleted from BSE 100 for...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

India: Free Float Changes & Passive Flows in February

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 3...

Brian Freitas

NIFTY NEXT 50 Index Market Consultation: Non-F&O Stocks Could Be Dropped

A market consultation could lead to the deletion of non-F&O stocks from the NIFTY NEXT50 index in September. That means 11 new index members and...

Brian Freitas

S&P BSE/​Sensex Quiddity Leaderboard Dec 22: Potential ADDs Could Outperform the Index

I see one change for SENSEX, 3 ADDs/DELs for BSE 100, 5 ADDs/DELs for the BSE 200, and 13 ADDs/DELs for the BSE 500. I expect the potential ADDs...

Janaghan Jeyakumar, CFA

HDFC/HDFCB Merger in the Home Stretch: Potential Changes to NIFTY50, NIFTY100 & SENSEX Indices

Approval of the scheme of amalgamation by HDFC & HDFCB shareholders on 25 Nov will trigger changes to the NIFTY and NIFTYJR in December. Sensex...

Brian Freitas

S&P BSE Quiddity Leaderboard Dec 2022: Some More Interesting LONG-SHORT Pairs

Tata Motors Ltd could be added to SENSEX and Dr. Reddy's Laboratories could be deleted. Adani Total Gas could get deleted from BSE 100 for...

Janaghan Jeyakumar, CFA

S&P BSE/Sensex Quiddity Leaderboard Dec 22: Potential ADDs Could Outperform the Index