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>There were a bunch of indices where the review period ended last week. The changes will be announced this month and implemented in December.</li>
<li>
<a href="https://www.smartkarma.com/entities/emerald-resources-nl" target="_blank" data-smartkarma-citation="entities:17495:1" rel="noopener">Emerald Resources Nl (EMR AU)</a> replaced <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on Friday.</li>
<li>There were large outflows from mainland China listed ETFs during the week. Outflows from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM US)</a> continued for another week.</li>
</ul>


There were a bunch of indices where the review period ended last week. The changes will be announced this month and implemented in December.

Emerald Resources Nl (EMR AU) replaced Invocare Ltd (IVC AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on Friday.
There were large outflows from mainland China listed ETFs during the week. Outflows from iShares Emerging Markets (EEM US) continued for another week.


Index Rebalance & ETF Flow Recap: NEXT50, SET50, L&F, Onewo, Celltrion, AMFI

<ul>
<li>We see 8 stocks moving from MidCap to LargeCap, 8 stocks moving from LargeCap to MidCap, 13 stocks from SmallCap to MidCap, and 14 stocks from MidCap to SmallCap.</li>
<li>Some stocks are expected to be inclusions to global indices later this month while others are potential <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> and/or <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> changes in March.</li>
<li>On average, the upward migrating stocks have outperformed the downward migrating stocks by close to 100% over the last 8 months. The passive flow can be used as an exit.</li>
</ul>


We see 8 stocks moving from MidCap to LargeCap, 8 stocks moving from LargeCap to MidCap, 13 stocks from SmallCap to MidCap, and 14 stocks from MidCap to SmallCap.
Some stocks are expected to be inclusions to global indices later this month while others are potential NIFTY Index and/or Nifty Next 50 Index changes in March.
On average, the upward migrating stocks have outperformed the downward migrating stocks by close to 100% over the last 8 months. The passive flow can be used as an exit.


AMFI Stock Reclassification Preview (Dec 2023): HUGE Outperformance as Active and Passive Meet

External broker reports(aggregated public sources), HDFC Securities

HDFC Securities

External broker reports(aggregated public sources)

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Content available is external broker reports authored by a third party outside the Smartkarma network and has been aggregated by an online aggregator through publicly available sources and is displayed by Smartkarma in this format for user's convenience and general informational purposes only. Content does not constitute investment or financial advice and Smartkarma makes no representation or warranty regarding its accuracy or contents. Original third party author retains all copyright and other proprietary rights in the content. Access or use of third party links not controlled by Smartkarma are at the user's own risk.

Thematic (Sector/Industry)

<ul><li>TVS Motor: TVS Motors’ Q2 PAT at INR 5.4bn came in line with our estimates</li><li>The highlight for Q2 was the record-high 11% margin despite the ramp-up of i-Qube to 58k units</li><li>While TVS gained about 300bps market share in motorcycles in H1 to 10.3%, it has maintained its share in scooters</li></ul>Content is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

TVS Motor: TVS Motors’ Q2 PAT at INR 5.4bn came in line with our estimatesThe highlight for Q2 was the record-high 11% margin despite the ramp-up of i-Qube to 58k unitsWhile TVS gained about 300bps market share in motorcycles in H1 to 10.3%, it has maintained its share in scootersContent is external broker report sourced from online content aggregator through publicly available sources and is displayed below for general informational purposes only. Refer full disclaimer below.

HSIE Results Daily: TVS Motor, Macrotech Developers, Marico

<ul>
<li>Halfway through the review period, we see 6 potential 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> using the current index methodology.</li>
<li>Estimated one-way turnover is 15.26% and that will result in a one-way trade of INR 24bn. There will be more than 2x ADV to sell on nearly all deletes.</li>
<li>There is a possibility of an index methodology change, but no news for the last 4 months could indicate pushback from users or more stocks added to the F&amp;O market.</li>
</ul>


Halfway through the review period, we see 6 potential changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) using the current index methodology.
Estimated one-way turnover is 15.26% and that will result in a one-way trade of INR 24bn. There will be more than 2x ADV to sell on nearly all deletes.
There is a possibility of an index methodology change, but no news for the last 4 months could indicate pushback from users or more stocks added to the F&amp;O market.


NIFTY NEXT50 Index Rebalance Preview: 6 Changes & Big Turnover

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>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 the NIFTY 50 and NIFTY Next 50 indices in the March 2024 rebalance.</li>
<li>According to my latest estimates, there could be up to three changes or NIFTY 50 and five changes for NIFTY Next 50. The NIFTY 50 changes could have high impact.</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 the NIFTY 50 and NIFTY Next 50 indices in the March 2024 rebalance.
According to my latest estimates, there could be up to three changes or NIFTY 50 and five changes for NIFTY Next 50. The NIFTY 50 changes could have high impact.


Quiddity Leaderboard NIFTY Mar 24: Bharat Electronics Vs L&T Might Be Interesting

India

Macrotech Developers Limited operates as a real estate company. The Company owns and develops commercial and industrial properties. Macrotech Developers serves customers worldwide.

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Macrotech Developers (LODHA IN)

Index Rebalance & ETF Flow Recap: NEXT50, SET50, L&F, Onewo, Celltrion, AMFI

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

AMFI Stock Reclassification Preview (Dec 2023): HUGE Outperformance as Active and Passive Meet

We see 43 stocks migrating between different market cap segments in Jan. A lot of stocks will have passive flows from NIFTY, NIFTYJR and global...

Brian Freitas

HSIE Results Daily: TVS Motor, Macrotech Developers, Marico

TVS Motor: TVS Motors’ Q2 PAT at INR 5.4bn came in line with our estimates. The highlight for Q2 was the record-high 11% margin despite the ramp-up...

HDFC Securities

NIFTY NEXT50 Index Rebalance Preview: 6 Changes & Big Turnover

There should be 6 changes to the NEXT50 in March. NSE Indices has yet to announce next steps in the consultation that will limit membership to FnO...

Brian Freitas

Quiddity Leaderboard NIFTY Mar 24: Bharat Electronics Vs L&T Might Be Interesting

If BHE gets added to NIFTY 50, there could be 10x 3m average daily deliverable volume to buy. This can be viewed as a catalyst to help BHE...

Janaghan Jeyakumar, CFA

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