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>Nearing the end of the review period, we see 5 stocks moving from MidCap to LargeCap, 2 new listings added to LargeCap and 7 stocks moving from LargeCap to MidCap.</li>
<li>We see 7 stocks moving from SmallCap to MidCap, 3 new listings added to MidCap, and 12 stocks moving from MidCap to SmallCap.</li>
<li>Stock migrating upward have, on average, outperformed stocks that are downward migrations. Stocks moving from MidCap to LargeCap have performed the best.</li>
</ul>


Nearing the end of the review period, we see 5 stocks moving from MidCap to LargeCap, 2 new listings added to LargeCap and 7 stocks moving from LargeCap to MidCap.
We see 7 stocks moving from SmallCap to MidCap, 3 new listings added to MidCap, and 12 stocks moving from MidCap to SmallCap.
Stock migrating upward have, on average, outperformed stocks that are downward migrations. Stocks moving from MidCap to LargeCap have performed the best.


India: AMFI Stock Reclassification Preview

<div><p>The Indian mutual fund industry has assets of almost INR 6.6 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap, Small Cap and Flexi Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks. Flexi cap funds can invest across market caps.</p></div><div>
<p>The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.</p>
<p>At the next recategorization in July 2021, we see 7 stocks moving from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 13 stocks are expected to move from the small cap segment to the mid cap segment with the 16 stocks moving from the mid cap to the small cap segment. There are 3 recent listings that will enter the mid cap segment with over 18 joining the small cap segment.</p>
<p>Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.</p>
</div>

The Indian mutual fund industry has assets of almost INR 6.6 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap, Small Cap and Flexi Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks. Flexi cap funds can invest across market caps.
The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.
At the next recategorization in July 2021, we see 7 stocks moving from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 13 stocks are expected to move from the small cap segment to the mid cap segment with the 16 stocks moving from the mid cap to the small cap segment. There are 3 recent listings that will enter the mid cap segment with over 18 joining the small cap segment.
Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.


India: Stock Reclassification & Active Portfolio Management

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<p style="text-align: justify;">With the MSCI ACWI (ACWI-US) breaking below our $70 “line in the sand” support level we highlighted last week, we believe additional downside is likely and that the path of least resistance is lower for global equities. Considering the damage done to major indexes around the world, any potential bottom is likely to take months to develop and until we see evidence of this repair process we want to be positioned primarily in Sectors with defensive characteristics. Of course, there will be major <em>countertrend </em>rallies along the way, but for now the trend is lower and we would treat rallies as selling opportunities. We outline important technical levels across all markets and highlight actionable opportunities within EM, and the Services and Staples Sectors.</p>

With the MSCI ACWI (ACWI-US) breaking below our $70 “line in the sand” support level we highlighted last week, we believe additional downside is likely and that the path of least resistance is lower for global equities. Considering the damage done to major indexes around the world, any potential bottom is likely to take months to develop and until we see evidence of this repair process we want to be positioned primarily in Sectors with defensive characteristics. Of course, there will be major countertrend rallies along the way, but for now the trend is lower and we would treat rallies as selling opportunities. We outline important technical levels across all markets and highlight actionable opportunities within EM, and the Services and Staples Sectors.

ACWI Below Our Line In The Sand: Further Weakness Expected

<div><p>Last evening post market close, the National Stock Exchange of India (NSE) published a list of three stocks that would be excluded from the Futures and Options segment of the market with effect from December 27. The list includes <a href="https://www.smartkarma.com/entities/hexaware-technologies-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:7882:1">Hexaware Technologies (HEXW IN)</a>, <a href="https://www.smartkarma.com/entities/tata-elxsi-ltd" target="_blank" rel="noopener" data-smartkarma-citation="entities:13949:1">Tata Elxsi Ltd (TELX IN)</a> and <a href="https://www.smartkarma.com/entities/union-bank-of-india" target="_blank" rel="noopener" data-smartkarma-citation="entities:546:1">Union Bank Of India (UNBK IN)</a>.  </p></div><div><p>In our earlier Insights, <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> and <a href="https://www.smartkarma.com/insights/the-tail-wags-the-dog-redux" target="_blank" rel="noopener" data-smartkarma-citation="insights:31238">The Tail Wags the Dog Redux</a>, we highlighted the performance of stocks that were excluded from the Futures and Options (F&amp;O) segment of the market in April and September this year and we recommend going short a basket of the three excluded stocks against their peers as a short term play.</p></div>

Last evening post market close, the National Stock Exchange of India (NSE) published a list of three stocks that would be excluded from the Futures and Options segment of the market with effect from December 27. The list includes Hexaware Technologies (HEXW IN), Tata Elxsi Ltd (TELX IN) and Union Bank Of India (UNBK IN).  In our earlier Insights, India Equity Derivatives - The Tail Wags the Dog and The Tail Wags the Dog Redux, we highlighted the performance of stocks that were excluded from the Futures and Options (F&amp;O) segment of the market in April and September this year and we recommend going short a basket of the three excluded stocks against their peers as a short term play.

India Equity Derivatives - F&O Exclusion Trades

Asia-Focused Industry Research, Speeda Research

Speeda

Asia-Focused Industry Research

Speeda Research

Speeda Research analysts cover China, Japan, India and SEA on the latest trends and topics. We have analysts of diverse nationalities who are able to access information in their respective local languages to provide customers with comprehensive reports. With access to private company data in these regions, Speeda Research is also able to provide insights into niche sectors which are not usually covered by other parties. We are also able to undertake ad hoc company and industry research reports.

Thematic (Sector/Industry)

<p><strong>At 2x the Size, Feature Phone Market Looms over Smartphones in India</strong></p><p>Much like the unsophisticated Maruti Suzuki 800 that became a part of 2.6 million households, feature phones too are making a strong drive into the hands of consumers in India, especially in rural areas where wireless teledensity is a low 52.84 compared to 165.04 in urban India. According to Speeda, the Indian mobile phone market is predominantly a feature phone market with smartphones making up for only 39.7% of handset sales…</p>

At 2x the Size, Feature Phone Market Looms over Smartphones in IndiaMuch like the unsophisticated Maruti Suzuki 800 that became a part of 2.6 million households, feature phones too are making a strong drive into the hands of consumers in India, especially in rural areas where wireless teledensity is a low 52.84 compared to 165.04 in urban India. According to Speeda, the Indian mobile phone market is predominantly a feature phone market with smartphones making up for only 39.7% of handset sales…

Feature Phones Dominate Sales Even as India Enters Age Where "Data Is the New Oil"

India

Tata Elxsi Limited manufactures computers and workstations besides providing system design, software development and integration services. The Group supplies its products to a number of industries, including the automotive, metals, consumer products, finance, IT & Communications, energy, chemicals, engineering, pharmaceuticals, entertainment and agro industries.

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Tata Elxsi Ltd (TELX IN)

India: AMFI Stock Reclassification Preview

With 9 trading days to go in the review period, we see 5 stocks moving from Mid to Large and 7 stocks moving the other way. 2 new listings will be...

Brian Freitas

India: Stock Reclassification & Active Portfolio Management

There are a lot of segment changes expected in July when AMFI recategorizes stocks and mutual funds start to rebalance their portfolios. We...

Brian Freitas

ACWI Below Our Line In The Sand: Further Weakness Expected

With the MSCI ACWI (ACWI-US) breaking below our $70 “line in the sand” support level we highlighted last week, we believe additional downside is...

Vermilion Research

India Equity Derivatives - F&O Exclusion Trades

Last evening post market close, the National Stock Exchange of India (NSE) published a list of three stocks that would be excluded from the Futures...

Brian Freitas

Feature Phones Dominate Sales Even as India Enters Age Where "Data Is the New Oil"

At 2x the Size, Feature Phone Market Looms over Smartphones in IndiaMuch like the unsophisticated Maruti Suzuki 800 that became a part of 2.6...

Speeda Research

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