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>
<a href="https://www.smartkarma.com/entities/adani-total-gas-ltd" target="_blank" data-smartkarma-citation="entities:28352:1" rel="noopener">Adani Total Gas (ATGL IN)</a>, <a href="https://www.smartkarma.com/entities/bharat-electronics-ltd" target="_blank" data-smartkarma-citation="entities:6636:1" rel="noopener">Bharat Electronics (BHE IN)</a>, <a href="https://www.smartkarma.com/entities/hindustan-aeronautics-ltd" target="_blank" data-smartkarma-citation="entities:26747:1" rel="noopener">Hindustan Aeronautics (HNAL IN)</a>, <a href="https://www.smartkarma.com/entities/indian-railway-catering-and-tourism-corporation-limited" target="_blank" data-smartkarma-citation="entities:33951:1" rel="noopener">IRCTC (IRCTC IN)</a>, <a href="https://www.smartkarma.com/entities/mphasis-ltd" target="_blank" data-smartkarma-citation="entities:7672:1" rel="noopener">Mphasis (MPHL IN)</a>, <a href="https://www.smartkarma.com/entities/motherson-sumi-systems-ltd" target="_blank" data-smartkarma-citation="entities:10662:1" rel="noopener">Samvardhana Motherson (MSS IN)</a> and <a href="https://www.smartkarma.com/entities/shree-cement-ltd" target="_blank" data-smartkarma-citation="entities:10531:1" rel="noopener">Shree Cement (SRCM IN)</a> are adds.</li>
<li>
<a href="https://www.smartkarma.com/entities/adani-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:245:1" rel="noopener">Adani Enterprises (ADE IN)</a>, <a href="https://www.smartkarma.com/entities/jubilant-foodworks-ltd" target="_blank" data-smartkarma-citation="entities:986:1" rel="noopener">Jubilant Foodworks (JUBI IN)</a>, <a href="https://www.smartkarma.com/entities/lupin-ltd" target="_blank" data-smartkarma-citation="entities:17910:1" rel="noopener">Lupin (LPC IN)</a>, <a href="https://www.smartkarma.com/entities/mindtree-ltd" target="_blank" data-smartkarma-citation="entities:7297:1" rel="noopener">Mindtree (MTCL IN)</a>, <a href="https://www.smartkarma.com/entities/punjab-national-bank" target="_blank" data-smartkarma-citation="entities:542:1" rel="noopener">Punjab National Bank (PNB)</a>, <a href="https://www.smartkarma.com/entities/steel-authority-of-india" target="_blank" data-smartkarma-citation="entities:14323:1" rel="noopener">Steel Authority of India (SAIL)</a> and <a href="https://www.smartkarma.com/entities/zydus-lifesciences-ltd" target="_blank" data-smartkarma-citation="entities:12914:1" rel="noopener">Zydus Lifesciences (ZYDUSLIF IN)</a> are deletes.</li>
<li>There is significant impact on a lot of the stocks in terms of days of delivery volume to trade. Given the index is overlooked, there could be significant price movements. </li>
</ul>



Adani Total Gas (ATGL IN), Bharat Electronics (BHE IN), Hindustan Aeronautics (HNAL IN), IRCTC (IRCTC IN), Mphasis (MPHL IN), Samvardhana Motherson (MSS IN) and Shree Cement (SRCM IN) are adds.

Adani Enterprises (ADE IN), Jubilant Foodworks (JUBI IN), Lupin (LPC IN), Mindtree (MTCL IN), Punjab National Bank (PNB), Steel Authority of India (SAIL) and Zydus Lifesciences (ZYDUSLIF IN) are deletes.
There is significant impact on a lot of the stocks in terms of days of delivery volume to trade. Given the index is overlooked, there could be significant price movements. 


NIFTY NEXT50 Index Rebalance: Significant Impact for an Overlooked Index

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 September 2022 Rebalance results for the NIFTY 50, 100, and 500 Indices were announced after the close on 1st September 2022.</li>
<li>There will be one ADD/DEL for the NIFTY 50 Index and 6 ADDs/DELs for the NIFTY 100 Index, mostly in line with our expectations.</li>
<li>In this insight, we take a closer look at our expectations for index flows and potential trading ideas.</li>
</ul>


The September 2022 Rebalance results for the NIFTY 50, 100, and 500 Indices were announced after the close on 1st September 2022.
There will be one ADD/DEL for the NIFTY 50 Index and 6 ADDs/DELs for the NIFTY 100 Index, mostly in line with our expectations.
In this insight, we take a closer look at our expectations for index flows and potential trading ideas.


NIFTY Sep 2022 Rebal: Adani Enterprises and Adani Total Gas Are Top Positives

<ul>
<li>
<a href="https://www.smartkarma.com/entities/adani-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:245:1" rel="noopener">Adani Enterprises (ADE IN)</a> will replace <a href="https://www.smartkarma.com/entities/shree-cement-ltd" target="_blank" data-smartkarma-citation="entities:10531:1" rel="noopener">Shree Cement (SRCM IN)</a> in the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> at the close of trading on 29 September.</li>
<li>We had forecast the change in April and <a href="https://www.smartkarma.com/entities/adani-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:245:1" rel="noopener">Adani Enterprises (ADE IN)</a> is up over 60% since then while <a href="https://www.smartkarma.com/entities/shree-cement-ltd" target="_blank" data-smartkarma-citation="entities:10531:1" rel="noopener">Shree Cement (SRCM IN)</a> is down a bit.</li>
<li>Passive <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index (NIFTY INDEX)</a> trackers will need to buy over 7% of the real float on <a href="https://www.smartkarma.com/entities/adani-enterprises-ltd" target="_blank" data-smartkarma-citation="entities:245:1" rel="noopener">Adani Enterprises (ADE IN)</a>. The stock could continue to move higher. </li>
</ul>



Adani Enterprises (ADE IN) will replace Shree Cement (SRCM IN) in the NIFTY Index (NIFTY INDEX) at the close of trading on 29 September.
We had forecast the change in April and Adani Enterprises (ADE IN) is up over 60% since then while Shree Cement (SRCM IN) is down a bit.
Passive NIFTY Index (NIFTY INDEX) trackers will need to buy over 7% of the real float on Adani Enterprises (ADE IN). The stock could continue to move higher. 


NIFTY50 Index Rebalance: Adani Enterprises Replaces Shree Cement

<ul>
<li>We are two-thirds of the way through the review period for the December review of the <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index (SENSEX INDEX)</a>. Changes become effective at the close 16 December.  </li>
<li>We see <a href="https://www.smartkarma.com/entities/adani-green-energy-ltd" target="_blank" data-smartkarma-citation="entities:29012:1" rel="noopener">Adani Green Energy (ADANIGR IN)</a> as the highest ranked non-constituent in inclusion zone, while <a href="https://www.smartkarma.com/entities/dr-reddy-s-laboratories-ltd" target="_blank" data-smartkarma-citation="entities:16406:1" rel="noopener">Dr. Reddy's Laboratories (DRRD IN)</a> is the lowest ranked constituent in deletion zone.</li>
<li>Passive trackers will need to trade over 10 days of delivery volume on <a href="https://www.smartkarma.com/entities/adani-green-energy-ltd" target="_blank" data-smartkarma-citation="entities:29012:1" rel="noopener">Adani Green Energy (ADANIGR IN)</a> and <a href="https://www.smartkarma.com/entities/dr-reddy-s-laboratories-ltd" target="_blank" data-smartkarma-citation="entities:16406:1" rel="noopener">Dr. Reddy's Laboratories (DRRD IN)</a>, so the impact will be significant.</li>
</ul>


We are two-thirds of the way through the review period for the December review of the S&amp;P BSE SENSEX Index (SENSEX INDEX). Changes become effective at the close 16 December.  
We see Adani Green Energy (ADANIGR IN) as the highest ranked non-constituent in inclusion zone, while Dr. Reddy's Laboratories (DRRD IN) is the lowest ranked constituent in deletion zone.
Passive trackers will need to trade over 10 days of delivery volume on Adani Green Energy (ADANIGR IN) and Dr. Reddy's Laboratories (DRRD IN), so the impact will be significant.


SENSEX Index Rebalance Preview: Adani Green Could Replace Dr. Reddy

<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

India

Adani Enterprises Limited is an international trading house that operates from offices in India as well as other countries. The Company is involved in coal mining, cargo handling and power generation.  Adani also trades in a large number of products including textiles, energy, metals and agricultural products.

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Adani Enterprises (ADE IN)

NIFTY NEXT50 Index Rebalance: Significant Impact for an Overlooked Index

There are 7 adds/deletes for the NIFTY NEXT50 Index. The adds have outperformed the deletes but there are significant days of delivery volume to...

Brian Freitas

NIFTY Sep 2022 Rebal: Adani Enterprises and Adani Total Gas Are Top Positives

The NIFTY 50 index changes are the significant ones. NIFTY 50 ADD Adani Enterprises and NIFTY 50 DEL Shree Cement could see flows of approximately...

Janaghan Jeyakumar, CFA

NIFTY50 Index Rebalance: Adani Enterprises Replaces Shree Cement

Adani Ent will replace Shree Cement in the NIFTY50 at the close on 29 Sep. With passives needing to buy over 28 days of delivery volume and 7% of...

Brian Freitas

SENSEX Index Rebalance Preview: Adani Green Could Replace Dr. Reddy

Two-thirds of the way through the review period, Adani Green could replace Dr. Reddy in the index at the Dec rebalance. Passive trackers will need...

Brian Freitas

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

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