Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

NIFTY50/NEXT50 Index Rebalance: Zomato, JioFin Slide In as BPCL, Britannia Drop Out; US$3.3bn Trade

NIFTY Indices: Flows (Post Capping) At the Close Today; Round-Trip US$2.6bn

Mazagon Dock Shipbuilders (MAZDOCKS IN): OFS & Potential Global Index Inclusion

NIFTY NEXT50 Index Rebalance Preview: Final List of Potential Changes in March

NIFTY50 Index Rebalance Preview: Adds Secure; Tight Among the Deletes

NIFTY MIDCAP150 Index Rebalance Preview: 15 Potential Changes in March

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>The Index Maintenance Sub-Committee of NSE Indices will meet on 21 February to conduct a semi-annual and quarterly review of stocks in various Nifty equity indices.</li>
<li>The changes will be announced after market close tomorrow and will be implemented at the close of trading on 28 March.</li>
<li>Based on the forecast index changes and capping changes for a few indices, the round-trip trade will be over US$2.5bn and many stocks will have over 0.5x ADV to trade.</li>
</ul>


The Index Maintenance Sub-Committee of NSE Indices will meet on 21 February to conduct a semi-annual and quarterly review of stocks in various Nifty equity indices.
The changes will be announced after market close tomorrow and will be implemented at the close of trading on 28 March.
Based on the forecast index changes and capping changes for a few indices, the round-trip trade will be over US$2.5bn and many stocks will have over 0.5x ADV to trade.


Motilal Oswal Financial Services (MOFS IN)

ZF Commercial Vehicle Control Systems India Limited (WIL IN)

ZF Commercial Vehicle Control Systems India Limited

Procter & Gamble Hygiene and Healthcare (PG IN)

L&T Technology Services Limited (LTTS IN)

NSE Nifty Bank Index (NSEBANK INDEX EQUITY)

Indian Railway Catering and Tourism (IRCTC IN)

NSE Nifty 500 Index (NSE500 INDEX EQUITY)

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

India: March Rebalance Announcement Tomorrow; Round-Trip Trade Over US$2.5bn

Britannia Industries

India: March Rebalance Announcement Tomorrow; Round-Trip Trade Over US$2.5bn