Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>In this insight, we take a look at the potential ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the run up to the March 2023 Rebalance.</li>
<li>In October 2022, NIFTY Indices Ltd initiated a market consultation recently on the "treatment of merger/demerger in Nifty equity indices" and its outcome has been confirmed now.</li>
<li>Separately, <a href="https://www.smartkarma.com/entities/tata-motors-ltd-a-dvr" target="_blank" data-smartkarma-citation="entities:349:1" rel="noopener">Tata Motors DVR (TTMT/A IN)</a> - previously ineligible for NIFTY 100 Inclusion for liquidity reasons - could become eligible for the March 2023 Rebalance event.</li>
</ul>


In this insight, we take a look at the potential ADDs/DELs for the NIFTY 50, 100, and 500 Indices in the run up to the March 2023 Rebalance.
In October 2022, NIFTY Indices Ltd initiated a market consultation recently on the "treatment of merger/demerger in Nifty equity indices" and its outcome has been confirmed now.
Separately, Tata Motors DVR (TTMT/A IN) - previously ineligible for NIFTY 100 Inclusion for liquidity reasons - could become eligible for the March 2023 Rebalance event.


NIFTY Quiddity Leaderboard Mar 23: Tata Motor DVR Could Be Included in NIFTY 100

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

<ul>
<li>There was a lot of confusion around how NSE Indices would handle the <a href="https://www.smartkarma.com/entities/housing-development-finance" target="_blank" data-smartkarma-citation="entities:252:1" rel="noopener">HDFC Limited (HDFC IN)</a> / <a href="https://www.smartkarma.com/entities/hdfc-bank-ltd-4b6b7a92-9087-468d-9dbe-ab169e77f014" target="_blank" data-smartkarma-citation="entities:558:1" rel="noopener">HDFC Bank (HDFCB IN)</a> merger in its indices.</li>
<li>The market consultation seeks to change the index methodology to bring it in line with other index providers. That will result in much lower turnover than the existing index methodology.</li>
<li>
<a href="https://www.smartkarma.com/entities/pidilite-industries-ltd" target="_blank" data-smartkarma-citation="entities:20573:1" rel="noopener">Pidilite Industries (PIDI IN)</a> is a high probability add to the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> possibly in the first quarter of 2023. There will also be changes to <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</a>.</li>
</ul>


There was a lot of confusion around how NSE Indices would handle the HDFC Limited (HDFC IN) / HDFC Bank (HDFCB IN) merger in its indices.
The market consultation seeks to change the index methodology to bring it in line with other index providers. That will result in much lower turnover than the existing index methodology.

Pidilite Industries (PIDI IN) is a high probability add to the NIFTY Index possibly in the first quarter of 2023. There will also be changes to Nifty Next 50 Index.


NIFTY Indices: HDFC/HDFCB Merger Driven Market Consultation

<ul>
<li>Less than halfway through the review period, we see 6 stocks moving from MidCap to LargeCap and vice versa, and 7 stocks moving from SmallCap to MidCap and vice versa.</li>
<li>There are a bunch of stocks that are close to the cutoff ranks and there will be more change as we move deeper into the review period.</li>
<li>Over the last 6months, stocks expected to migrate upward have outperformed stocks that are expected to migrate downward. Given the large divergence, there will be a pullback at some point.</li>
</ul>


Less than halfway through the review period, we see 6 stocks moving from MidCap to LargeCap and vice versa, and 7 stocks moving from SmallCap to MidCap and vice versa.
There are a bunch of stocks that are close to the cutoff ranks and there will be more change as we move deeper into the review period.
Over the last 6months, stocks expected to migrate upward have outperformed stocks that are expected to migrate downward. Given the large divergence, there will be a pullback at some point.


India: AMFI Stock Reclassification Preview (Dec 2022)

<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

<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

India

Mphasis Limited is a global IT and BPO service provider to G2000 companies around the globe, assists its clients in innovating and streamlining their business processes by offering custom solutions for technology and operations outsourcing. The Company focuses on financial services, logistics and technology verticals.

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Mphasis Ltd (MPHL IN)

NIFTY Quiddity Leaderboard Mar 23: Tata Motor DVR Could Be Included in NIFTY 100

For NIFTY 50, Pidilite Industries is the highest-ranked Potential ADD while Bharat Petroleum Corp is the highest-ranked Potential DEL. There could...

Janaghan Jeyakumar, CFA

NIFTY Indices: HDFC/HDFCB Merger Driven Market Consultation

NSE Indices' market consultation on merger/demerger treatment will significantly reduce index turnover. We expect the HDFC/HDFCB merger to complete...

Brian Freitas

India: AMFI Stock Reclassification Preview (Dec 2022)

Less than halfway in the review period, we see 6 stocks moving from Mid to Large & vice versa, & 7 stocks moving from Small to Mid & vice versa....

Brian Freitas

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

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