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

NIFTY Family Index Rebalance: Over US$1.7bn to Trade Across Indices

NIFTY 50 Tactical Outlook After IMSC's March Index Review

NIFTY50/ NEXT50 Index Rebalance Preview: Announcement Today After Market Close

NIFTY MIDCAP150 Index Rebalance: 13 Changes a Side; Lots of Overlap with Other Index Flow

NIFTY NEXT50 Index Rebalance Preview: Forecast Changes & Close Names

NIFTY MIDCAP150 Index Rebalance Preview: 11 Potential Changes in September

NIFTY200 Momentum30 Index Rebalance Preview: 64% One-Way Turnover & US$1.8bn Trade

NIFTY50/NEXT50 Index Rebalance: Bunch Of (Mostly) Expected Changes; Positioning Increases

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

Authum Investment & Infrastructure / Index Rebalance

Authum Investment & Infrastructure (AIIL IN)

<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 9.8% resulting in a round-trip trade of INR 26.5bn (US$290m). With over US$43bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>Removing the newly listed stocks and upward/downward migrations, the remaining potential inclusions have outperformed the potential deletions over the last 6 months. Near-term performance has suffered.</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 9.8% resulting in a round-trip trade of INR 26.5bn (US$290m). With over US$43bn tracking the index actively, the impact on the stocks will be much larger.
Removing the newly listed stocks and upward/downward migrations, the remaining potential inclusions have outperformed the potential deletions over the last 6 months. Near-term performance has suffered.


Multi Commodity Exchange of India (MCX IN)

Procter & Gamble Hygiene & Health Care (PG IN)

ICICI Lombard General Insurance (ICICIGI IN)

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

ICICI Prudential Asset Management Company (ICICIAMC IN)

ICICI Prudential Asset Management Company

NIFTY MIDCAP150 Index Rebalance Preview: 15 Potential Changes in March