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/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> and <a href="https://www.smartkarma.com/entities/jio-financial-services-limited" target="_blank" data-smartkarma-citation="entities:40042:1" rel="noopener">Jio Financial Services (JIOFIN IN)</a> should replace <a href="https://www.smartkarma.com/entities/bharat-petroleum-corp-ltd" target="_blank" data-smartkarma-citation="entities:10222:1" rel="noopener">Bharat Petroleum Corp (BPCL IN)</a> and <a href="https://www.smartkarma.com/entities/britannia-industries-ltd" target="_blank" data-smartkarma-citation="entities:16495:1" rel="noopener">Britannia Industries (BRIT 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> in March.</li>
<li>Passive <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> trackers will need to trade at least 4.5x ADV and 8.8x delivery volume on the stocks. There is some opposite flow from <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index </a>trackers.</li>
<li>There does not appear to be a lot of positioning in <a href="https://www.smartkarma.com/entities/jio-financial-services-limited" target="_blank" data-smartkarma-citation="entities:40042:1" rel="noopener">Jio Financial Services (JIOFIN IN)</a> and the stock could outperform its peers over the next few months.</li>
</ul>



Zomato (ZOMATO IN) and Jio Financial Services (JIOFIN IN) should replace Bharat Petroleum Corp (BPCL IN) and Britannia Industries (BRIT IN) in the NIFTY Index (NIFTY INDEX) in March.
Passive NIFTY Index trackers will need to trade at least 4.5x ADV and 8.8x delivery volume on the stocks. There is some opposite flow from Nifty Next 50 Index trackers.
There does not appear to be a lot of positioning in Jio Financial Services (JIOFIN IN) and the stock could outperform its peers over the next few months.


NIFTY50 Index Rebalance Preview: Yuuge Flow & Impact; Positioning Mixed

<ul>
<li>Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.</li>
<li>The introduction of some stocks in the F&amp;O segment could lead to their inclusion in the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY</a>, <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">SENSEX</a>, <a href="https://www.smartkarma.com/entities/nse-nifty-bank-index" target="_blank" data-smartkarma-citation="entities:26811:1" rel="noopener">Nifty Bank</a> and CNXIT indices and weight changes in the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next50</a>.</li>
<li>The inclusion of stocks in indices with a fixed number of constituents will result in deletion of some stocks from these indices. There should be methodology changes too.</li>
</ul>


Following SEBI's review of eligibility criteria for entry/exit of stocks in the derivatives segment, there could be 18 deletions/79 inclusions in the F&amp;O segment over the next 6 months.
The introduction of some stocks in the F&amp;O segment could lead to their inclusion in the NIFTY, SENSEX, Nifty Bank and CNXIT indices and weight changes in the Nifty Next50.
The inclusion of stocks in indices with a fixed number of constituents will result in deletion of some stocks from these indices. There should be methodology changes too.


India: Index Implications of Additions to the F&O Segment

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Pan-Asia Catalysts/Events

Quiddity Advisors

<ul>
<li>Reportedly, Ito Junro's MBO for <a href="https://www.smartkarma.com/entities/seven-i-holdings-co-ltd" target="_blank" data-smartkarma-citation="entities:1041:1" rel="noopener">Seven &amp; I (3382 JP)</a> includes a US assets IPO to help pay down MBO debt to Japanese banks.  Possible strategic mistake by Ito-san here.</li>
<li>Starwood/Warburg Pincus' firm Offer for <a href="https://www.smartkarma.com/entities/esr-group-ltd" target="_blank" data-smartkarma-citation="entities:27983:1" rel="noopener">ESR Group (1821 HK)</a> secures support from 30.79% of the register.</li>
<li>We may be wrong on <a href="https://www.smartkarma.com/entities/sanrio-co-ltd" target="_blank" data-smartkarma-citation="entities:16476:1" rel="noopener">Sanrio (8136 JP)</a> by a big factor but the multiple and the concentration risk of momentum factor means you are in an illiquid stock.</li>
</ul>


Reportedly, Ito Junro's MBO for Seven &amp; I (3382 JP) includes a US assets IPO to help pay down MBO debt to Japanese banks.  Possible strategic mistake by Ito-san here.
Starwood/Warburg Pincus' firm Offer for ESR Group (1821 HK) secures support from 30.79% of the register.
We may be wrong on Sanrio (8136 JP) by a big factor but the multiple and the concentration risk of momentum factor means you are in an illiquid stock.


Last Week in Event SPACE: Seven & I Holdings, ESR Group, Sanrio, HKBN

<ul>
<li>Following the introduction of 45 stocks in the F&amp;O segment from 29 November, there will be big capping changes for the <a href="https://www.smartkarma.com/entities/nse-nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">NSE Nifty Next 50 Index (NIFTYJR INDEX)</a> in December.</li>
<li>We estimate one-way turnover of 21.9% leading to a one-way trade of INR 75bn (US$881m). There are 25 stocks with over 1x ADV to trade.</li>
<li>There could be changes to the index methodology announced in the next few months and that could result in the deletion of a couple of constituents in March.</li>
</ul>


Following the introduction of 45 stocks in the F&amp;O segment from 29 November, there will be big capping changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in December.
We estimate one-way turnover of 21.9% leading to a one-way trade of INR 75bn (US$881m). There are 25 stocks with over 1x ADV to trade.
There could be changes to the index methodology announced in the next few months and that could result in the deletion of a couple of constituents in March.


Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

<ul>
<li>NIFTY 50 represents the 50 largest stocks listed in the National Stock Exchange (NSE) of India and the NIFTY Next 50 index tracks the next 50 largest names.</li>
<li>In this insight, we take a look at the names leading the race to become ADDs/DELs for these indices in the March 2025 index rebal event.</li>
<li>
<a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> and <a href="https://www.smartkarma.com/entities/jio-financial-services-limited" target="_blank" data-smartkarma-citation="entities:40042:1" rel="noopener">Jio Financial Services (JIOFIN IN)</a> could see index inflows during the December 2024 rebalance and March 2025 rebalance.</li>
</ul>


NIFTY 50 represents the 50 largest stocks listed in the National Stock Exchange (NSE) of India and the NIFTY Next 50 index tracks the next 50 largest names.
In this insight, we take a look at the names leading the race to become ADDs/DELs for these indices in the March 2025 index rebal event.

Zomato (ZOMATO IN) and Jio Financial Services (JIOFIN IN) could see index inflows during the December 2024 rebalance and March 2025 rebalance.


Quiddity Leaderboard NIFTY Mar 25: Inflows for Zomato and Jiofin in Dec 24 and Mar 25

India

Jio Financial Services Limited operates as a non-banking financial company. The Company provides financial and investment services with robust infrastructure technology solutions. Jio Financial Services serves customers in India.

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Jio Financial Services (JIOFIN IN)

NIFTY50 Index Rebalance Preview: Yuuge Flow & Impact; Positioning Mixed

There are 2 high probability changes for the NIFTY50 in March. Watch out for a change in the potential deletions. Impact is high at a minimum of...

Brian Freitas

India: Index Implications of Additions to the F&O Segment

With 79 stocks potentially added to the FnO market in the next few months, there will be a lot of changes for the NIFTY, NEXT50, NSEBANK, CNXIT,...

Brian Freitas

Last Week in Event SPACE: Seven & I Holdings, ESR Group, Sanrio, HKBN

It’s Sunday! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed during the...

David Blennerhassett

Nifty Next50 Index Rebalance Preview: Big Capping Flows in December; Methodology Change Coming?

The introduction of new F&O contracts will result in an estimated 21.9% turnover and a one-way trade of INR 75bn (US$881m) for the Nifty Next50...

Brian Freitas

Quiddity Leaderboard NIFTY Mar 25: Inflows for Zomato and Jiofin in Dec 24 and Mar 25

The recent changes to the NSE F&O segment have resulted in fairly significant changes to our Dec 24 flow expectations and Mar 25 index change...

Janaghan Jeyakumar, CFA

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