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>We see 8 stocks moving from MidCap to LargeCap, 8 stocks moving from LargeCap to MidCap, 13 stocks from SmallCap to MidCap, and 14 stocks from MidCap to SmallCap.</li>
<li>Some stocks are expected to be inclusions to global indices later this month while others are potential <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> and/or <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 Index</a> changes in March.</li>
<li>On average, the upward migrating stocks have outperformed the downward migrating stocks by close to 100% over the last 8 months. The passive flow can be used as an exit.</li>
</ul>


We see 8 stocks moving from MidCap to LargeCap, 8 stocks moving from LargeCap to MidCap, 13 stocks from SmallCap to MidCap, and 14 stocks from MidCap to SmallCap.
Some stocks are expected to be inclusions to global indices later this month while others are potential NIFTY Index and/or Nifty Next 50 Index changes in March.
On average, the upward migrating stocks have outperformed the downward migrating stocks by close to 100% over the last 8 months. The passive flow can be used as an exit.


AMFI Stock Reclassification Preview (Dec 2023): HUGE Outperformance as Active and Passive Meet

Index Rebalance

<ul>
<li>Halfway through the review period, we see 6 potential changes 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> using the current index methodology.</li>
<li>Estimated one-way turnover is 15.26% and that will result in a one-way trade of INR 24bn. There will be more than 2x ADV to sell on nearly all deletes.</li>
<li>There is a possibility of an index methodology change, but no news for the last 4 months could indicate pushback from users or more stocks added to the F&amp;O market.</li>
</ul>


Halfway through the review period, we see 6 potential changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) using the current index methodology.
Estimated one-way turnover is 15.26% and that will result in a one-way trade of INR 24bn. There will be more than 2x ADV to sell on nearly all deletes.
There is a possibility of an index methodology change, but no news for the last 4 months could indicate pushback from users or more stocks added to the F&amp;O market.


NIFTY NEXT50 Index Rebalance Preview: 6 Changes & Big Turnover

Senior Credit Analyst, Lucror Analytics

Trung Nguyen

Senior Credit Analyst

High Yield Experts

Lucror Analytics

Lucror Analytics is a leading credit and ESG research specialist and a provider of technology solutions for differentiated fixed income strategies. Our roots are in bottom-up fundamental credit analysis with a specialization in high yield corporate credits from Europe, Asia and Latin America. We are one of few research specialists integrating ESG considerations with fundamental credit research through a dedicated ESG platform. Our ESG assessment covers five key criteria: Disclosure, E,S, & G Pillars, Controversies, ESG Impact on Credit and ESG Momentum.

Recognizing the importance and value-add of Factor Investing in fixed income, Lucror developed the Smart Quant Navigator (SQN), an intuitive platform that helps clients devise and implement factor-based strategies ranging from pure quant to active fundamental, with integrated ESG.

Our company has been at the forefront of developments in the fixed income markets, identifying opportunities and consistently delivering new products and value-adding solutions to clients. Lucror has close relationships with the largest and most reputable asset managers, family offices, hedge funds, investment and wealth managers globally.

Credit

UPL's Q2/23-24 results were very weak, with revenues and earnings declining significantly and a deterioration in working capital. Our scepticism of the company has continued to deepen with the results. We are concerned about the lack of discussion on the huge debt reduction and unusual earnings call set-up in Q4/22-23, as well as the subsequent rebound in debt in Q1/23-24. We note that the pressure to reduce net debt to USD 2 bn in Q4/22-23 was to meet management's aggressive guidance and rating agencies' expectations. Management had released the Q4 results in early May 2023, almost halfway through Q1/23-24. Yet, there were few indications of very weak Q1 or H1 numbers. In addition, we are sceptical of management's guidance, even after it has been revised downwards. The new guidance implies c. 18% y-o-y revenue growth and a c. 28-30% increase in EBITDA in H2/23-24. That said, management does not expect y-o-y improvement in Q3. Hence, for UPL to meet the guidance, all the growth would have to be registered in Q4. We do not believe that the company will be able to meet the full-year guidance.

  UPL's Q2/23-24 results were very weak, with revenues and earnings declining significantly and a deterioration in working capital. Our scepticism of the company has continued to deepen with the results. We are concerned about the lack of discussion on the huge debt reduction and unusual earnings call set-up in Q4/22-23, as well as the subsequent rebound in debt in Q1/23-24. We note that the pressure to reduce net debt to USD 2 bn in Q4/22-23 was to meet management's aggressive guidance and rating agencies' expectations. Management had released the Q4 results in early May 2023, almost halfway through Q1/23-24. Yet, there were few indications of very weak Q1 or H1 numbers.   In addition, we are sceptical of management's guidance, even after it has been revised downwards. The new guidance implies c. 18% y-o-y revenue growth and a c. 28-30% increase in EBITDA in H2/23-24. That said, management does not expect y-o-y improvement in Q3. Hence, for UPL to meet the guidance, all the growth would have to be registered in Q4. We do not believe that the company will be able to meet the full-year guidance. 

UPL Limited - Earnings Flash - Q2 FY 2023-24 Results - Lucror Analytics

Leonard Law, CFA

Lucror Analytics Weekly Wraps provide an overview of all Morning Views comments and reports published by our analyst team in the past week, and also showcase a list of the most-read reports.In this Insight:<ol><li><a href='/entities/adani-green-energy-ltd' target='_blank' rel='noopener'>Adani Green Energy</a></li><li><a href='/entities/vedanta-resources-ltd' target='_blank' rel='noopener'>Vedanta Resources</a></li><li><a href='/entities/china-jinmao-holdings-group' target='_blank' rel='noopener'>China Jinmao Holdings</a></li><li><a href='/entities/geely-automobile-holdings-ltd' target='_blank' rel='noopener'>Geely Auto</a></li><li><a href='/entities/first-pacific-co-ltd' target='_blank' rel='noopener'>First Pacific Co</a></li></ol>and more...

Lucror Analytics Weekly Wraps provide an overview of all Morning Views comments and reports published by our analyst team in the past week, and also showcase a list of the most-read reports.In this Insight:Adani Green EnergyVedanta ResourcesChina Jinmao HoldingsGeely AutoFirst Pacific Coand more...

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>NIFTY 50 represents the 50 largest stocks listed in the National Stock Exchange (NSE) of India and the NIFTY Next 50 index tracks the next 50 largest names.</li>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for the NIFTY 50 and NIFTY Next 50 indices in the March 2024 rebalance.</li>
<li>According to my latest estimates, there could be up to three changes or NIFTY 50 and five changes for NIFTY Next 50. The NIFTY 50 changes could have high impact.</li>
</ul>


NIFTY 50 represents the 50 largest stocks listed in the National Stock Exchange (NSE) of India and the NIFTY Next 50 index tracks the next 50 largest names.
In this insight, we take a look at the names leading the race to become ADDs/DELs for the NIFTY 50 and NIFTY Next 50 indices in the March 2024 rebalance.
According to my latest estimates, there could be up to three changes or NIFTY 50 and five changes for NIFTY Next 50. The NIFTY 50 changes could have high impact.


Quiddity Leaderboard NIFTY Mar 24: Bharat Electronics Vs L&T Might Be Interesting

India

UPL Limited is an Indian multinational agrochemical and specialty chemicals company that manufactures and markets a comprehensive range of sustainable agriculture products and solutions. These include conventional crop protection products like pesticides, fungicides, herbicides, and insecticides, as well as seeds, bio-solutions, and post-harvest solutions. The company is headquartered in Mumbai, India, and was founded on May 29, 1969.

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UPL (UPLL IN)

AMFI Stock Reclassification Preview (Dec 2023): HUGE Outperformance as Active and Passive Meet

We see 43 stocks migrating between different market cap segments in Jan. A lot of stocks will have passive flows from NIFTY, NIFTYJR and global...

Brian Freitas

NIFTY NEXT50 Index Rebalance Preview: 6 Changes & Big Turnover

There should be 6 changes to the NEXT50 in March. NSE Indices has yet to announce next steps in the consultation that will limit membership to FnO...

Brian Freitas

UPL Limited - Earnings Flash - Q2 FY 2023-24 Results - Lucror Analytics

UPL's Q2/23-24 results were very weak, with revenues and earnings declining significantly and a deterioration in working capital. Our scepticism...

Lucror Analytics

Weekly Wrap - 27 Oct 2023

Lucror Analytics Weekly Wraps provide an overview of all Morning Views comments and reports published by our analyst team in the past week, and...

Lucror Analytics

Quiddity Leaderboard NIFTY Mar 24: Bharat Electronics Vs L&T Might Be Interesting

If BHE gets added to NIFTY 50, there could be 10x 3m average daily deliverable volume to buy. This can be viewed as a catalyst to help BHE...

Janaghan Jeyakumar, CFA

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