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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

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 <a href="https://www.smartkarma.com/entities/bharat-22-etf" target="_blank" data-smartkarma-citation="entities:28307:1" rel="noopener">BHARAT 22 ETF (ICICIB22 IN)</a> will rebalance on 17 March while the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a> and <a href="https://www.smartkarma.com/entities/nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank Index (NSEBANK INDEX)</a> will rebalance on 29 March.</li>
<li>There are no constituent changes for the indices in March but there will be capping changes for the stocks and there is a reasonable impact on some stocks.</li>
<li>There are stocks that will have opposing flows on the two days, while there are some stocks that will have same way flows from passive trackers.</li>
</ul>


The BHARAT 22 ETF (ICICIB22 IN) will rebalance on 17 March while the CPSE ETF (CPSEBE IN) and Nifty Bank Index (NSEBANK INDEX) will rebalance on 29 March.
There are no constituent changes for the indices in March but there will be capping changes for the stocks and there is a reasonable impact on some stocks.
There are stocks that will have opposing flows on the two days, while there are some stocks that will have same way flows from passive trackers.


CPSE / BHARAT22 / CNXBANK Index Rebalance Preview: Capping Changes in March

Global Emerging Market Equities, Propitious Research

Wium Malan, CFA

Global Emerging Market Equities

Independent, Fundamental Quantitative Research

Propitious Research

Fully independent, fundamental and quantitative equity research, focused on companies in the Telecommunication, Media, Technology, Internet and Healthcare sectors in the Global Emerging Markets. Idea generation focused on Quality stocks, trading below their intrinsic Value, with sound Corporate Governance.

Thematic (Sector/Industry)

<ul>
<li>The Global Emerging Markets weekly provides a summary of the key news and related developments impacting the largest countries and constituents of the Global Emerging Markets equity indices.</li>
<li>In our final weekly for the year, we look back at 2022 to see which stocks, countries, and currencies out and underperformed in the Global Emerging Markets.</li>
<li>We also look forward to 2023F to see what’s expected for the major GEM economies next year.  </li>
</ul>


The Global Emerging Markets weekly provides a summary of the key news and related developments impacting the largest countries and constituents of the Global Emerging Markets equity indices.
In our final weekly for the year, we look back at 2022 to see which stocks, countries, and currencies out and underperformed in the Global Emerging Markets.
We also look forward to 2023F to see what’s expected for the major GEM economies next year.  


<ul>
<li>The 200 largest weighted companies in the GEM index reported average EPS growth of +32.6%y/y for 2Q22, an acceleration from what was reported for 1Q22.</li>
<li>61% of companies delivered positive sales surprise, up from 58% in 1Q22, whilst 56% delivered positive EPS surprise, down from 64% in 1Q22.</li>
<li>Historically, there has been a massive difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.</li>
</ul>


The 200 largest weighted companies in the GEM index reported average EPS growth of +32.6%y/y for 2Q22, an acceleration from what was reported for 1Q22.
61% of companies delivered positive sales surprise, up from 58% in 1Q22, whilst 56% delivered positive EPS surprise, down from 64% in 1Q22.
Historically, there has been a massive difference in relative share price performance between the largest positive versus negative surprise generators, for 3 months after the reporting date.


Global Emerging Markets: Reporting Season Summary, 2Q2022

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.</li>
<li>In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.</li>
<li>In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.</li>
</ul>


The six-month reference period for NIFTY September 2022 Rebalance ends tomorrow.
In this insight, we take a look at the names that could become ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the September 2022 Rebalance.
In addition, I have discussed some trading opportunities with interesting potential index flow dynamics.


NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

<ul>
<li>
<a href="https://www.smartkarma.com/entities/life-insurance-corp-of-india-lic" target="_blank" data-smartkarma-citation="entities:28829:1" rel="noopener">Life Insurance Corp of India (LIC) (LICI IN)</a> and <a href="https://www.smartkarma.com/entities/tata-power-co-ltd" target="_blank" data-smartkarma-citation="entities:15618:1" rel="noopener">Tata Power (TPWR IN)</a> will be added to the <a href="https://www.smartkarma.com/entities/nifty-100-index" target="_blank" data-smartkarma-citation="entities:36051:1" rel="noopener">Nifty 100 Index (NSE100 INDEX)</a> and <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index (NIFTYJR INDEX)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/nmdc-ltd" target="_blank" data-smartkarma-citation="entities:2016:1" rel="noopener">Nmdc Ltd (NMDC IN)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a> and there will be no replacement in the index.</li>
<li>The NMDC deletion along with capping changes means that there is decent volume (and ADV) to buy on quite a few names in the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a>.</li>
</ul>



Life Insurance Corp of India (LIC) (LICI IN) and Tata Power (TPWR IN) will be added to the Nifty 100 Index (NSE100 INDEX) and Nifty Next 50 Index (NIFTYJR INDEX). 

Nmdc Ltd (NMDC IN) will be deleted from the CPSE ETF (CPSEBE IN) and there will be no replacement in the index.
The NMDC deletion along with capping changes means that there is decent volume (and ADV) to buy on quite a few names in the CPSE ETF (CPSEBE IN).


NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

India

NTPC Ltd. owns and operates power generation plants that supply power to state electricity boards throughout India.  The Company is a public sector undertaking of the Government of India and it also undertakes turnkey consulting projects to set up power plants.

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NTPC Ltd (NTPC IN)

CPSE / BHARAT22 / CNXBANK Index Rebalance Preview: Capping Changes in March

There will be capping changes on the Bharat22, CPSE and NIFTYBANK indices in March. There are stocks that have opposite flows while some have same...

Brian Freitas

GEM Weekly: 2022 Yearend Edition

In our final weekly for the year, we look back at 2022 to see which GEM stocks, countries, and currencies out and underperformed, and look forward...

Wium Malan, CFA

Global Emerging Markets: Reporting Season Summary, 2Q2022

In this quarterly insight, we analyse recent GEM reporting trends with reference to Sales- and EPS growth, size and percentage of positive...

Wium Malan, CFA

NIFTY Quiddity Leaderboard Sep 2022: Adani Total Gas Could Be a Positive Surprise

I expect at least one change for NIFTY 50 and I expect 5 and 25 ADDs/DELs for NIFTY 100 and NIFTY 500 respectively. Adani Total Gas (ATGL IN) could...

Janaghan Jeyakumar, CFA

NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

LIC and Tata Power will be added to the NIFTY100 Index at the close on 5 August. NMDC is being deleted from the NIFTY100 & CPSE indices. There is a...

Brian Freitas

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