In today’s briefing:
- NIFTY Bank Index: Big Flows & The Upcoming Methodology Change
- Bluestone Jewellery and Lifestyle IPO – All That Glitters Is Not Gold
- Case Study: Time-Based Exit in Two Long-Running Pair Trades
- 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).
Bluestone Jewellery and Lifestyle IPO – All That Glitters Is Not Gold
- Founded by Gaurav Singh Kushwaha, who holds 18% stake (Pre-IPO), Bluestone Jewellery and Lifestyle Ltd Ltd (BJL) (0124165D IN) is an omni-channel jewellery brand in India.
- Company experienced losses since its inception, which is attributed to its growth and expansion strategy. As of March 31, 2025, the company had accumulated losses amounting to INR 24,583.31 million.
- Bluestone is valued at market cap of INR 78230 million,which is 4.4x FY25 revenue.Given ongoing losses, negative cash flows,promoter share pledge, and aggressive expansion, we believe it’s a steep ask.
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.
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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