In today’s briefing:
- NIFTY Bank Index: Big Flows & The Upcoming Methodology Change
- [Japan CorpGov] TSE “Mgmt Conscious” Reports (Aug25), Changes to Code of Corporate Conduct
- Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (11 Aug)
- Case Study: Time-Based Exit in Two Long-Running Pair Trades
- Bullish (BLSH US): Split Inclusion Across Global & US Indices
- UCO Bank (UCO IN) Vs. Central Bank Of India (CBOI IN): Statistical Edge in India Bank Pair Trade
NIFTY Bank Index: Big Flows & The Upcoming Methodology Change
- In May, SEBI recommended changes to the minimum number of constituents for non-benchmark indices and the capping for those indices. The recommendations have to be implemented by 3 November.
- There is a high probability that NSE Indices implements the changes for the NSE Nifty Bank Index (NSEBANK INDEX) at the September rebalance. Nothing has been announced yet though.
- If implemented in September, Yes Bank and Union Bank Of India could be added to the index. Estimated one-way turnover is 22.35% and the round-trip trade is INR 149bn (US$1.7bn).
[Japan CorpGov] TSE “Mgmt Conscious” Reports (Aug25), Changes to Code of Corporate Conduct
- TSE-Listed companies are asked to file “Management Conscious of Capital Cost/Stock Price” awareness reports/policies. Many have. Some are still working on it. And policies change, and CGR reports are updated.
- 783 new CGRs filed in July 2025 (after 1,389 in June). Our tools show every report, links to every document, and a diff-file tool. Input a name, see the changes.
- The JPX Council of Experts met on 9 July. The parent-sub changes are slow to come.
Relative Value Opportunities in Asia-Pac, Pair Trade Roundup (11 Aug)
- Context: This Insight follows up on previously highlighted relative value opportunities, using a statistical methodology based on mean-reversion to identify opportunities in paired securities.
- Highlight: Currently nine pair trade opportunities across three markets and five sectors persist.
- Why read: Statistical analysis offers a unique perspective on relative value. Gain insights into actionable statistical pair trade opportunities and monitor performance of previously highlighted pairs.
Case Study: Time-Based Exit in Two Long-Running Pair Trades
- Context: This Insight is an update on two previously published relative value pairs.
- Highlight: The trades provide a case study illustrating how mean-reversion trades can fail to revert or hit stop-losses within extended timeframes.
- Why Read: Gain insights into timing-related challenges in mean-reversion strategies and time-based exit as a risk management choice.
Bullish (BLSH US): Split Inclusion Across Global & US Indices
- Bullish US (BLSH US) will be excluded from the one US index due to foreign SEC filings.
- Bullish US (BLSH US) will be excluded from the one Global index due to insufficient float cap.
- Bullish US (BLSH US) is expected to be added to Global SmallCap in November 2025 and to US-R1000 in December 2025 despite its foreign filings.
UCO Bank (UCO IN) Vs. Central Bank Of India (CBOI IN): Statistical Edge in India Bank Pair Trade
- Context: The UCO Bank (UCO IN) vs. Central Bank Of India (CBOI IN) price-ratio has deviated two standard deviations from its one-year average, presenting a potential relative value opportunity.
- Highlights: Both stocks are trading near 52-week lows, opening a window for a statistically supported mean-reversion setup.
- Why Read: Essential for quantitative traders seeking mean-reversion opportunities, with detailed execution framework, risk management protocols, and historical simulation showing the statistical basis for this relative value play.
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