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

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

NIFTY MIDCAP150 Index Rebalance: 17 Changes a Side; Lots of Overlap with Other Index Flow

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

NIFTY MIDCAP150 Index Rebalance: 19 Changes a Side; Lots of Overlap with Other Index Flow

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

NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading

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

NIFTY NEXT50 Index Rebalance Preview: 7 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

Index Rebalance

<ul>
<li>With the review period now complete, there could be 15 changes for the NIFTY Midcap 150 Index at the March rebalance.</li>
<li>Estimated one-way turnover is 8.3% resulting in a one-way trade of INR 7.65bn (US$88m). With over US$40bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>The outright adds have outperformed the forecast deletes over the last 6 months, but there has been underperformance this calendar year.</li>
</ul>


With the review period now complete, there could be 15 changes for the NIFTY Midcap 150 Index at the March rebalance.
Estimated one-way turnover is 8.3% resulting in a one-way trade of INR 7.65bn (US$88m). With over US$40bn tracking the index actively, the impact on the stocks will be much larger.
The outright adds have outperformed the forecast deletes over the last 6 months, but there has been underperformance this calendar year.


Motilal Oswal Financial Services (MOFS IN)

CG Power and Industrial Solutions (CGPOWER IN)

ZF Commercial Vehicle Control Systems India Limited (WIL IN)

ZF Commercial Vehicle Control Systems India Limited

Procter & Gamble Hygiene and Healthcare (PG IN)

Indian Railway Catering and Tourism (IRCTC IN)

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

NIFTY MIDCAP150 Index Rebalance Preview: 15 Potential Changes in March

Delhivery

NIFTY MIDCAP150 Index Rebalance Preview: 15 Potential Changes in March