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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

<div><p>The S&amp;P BSE Sensex is the flagship index of the Bombay Stock Exchange (BSE). The index has 30 stocks and is a free float market cap weighted index. The next rebalance will be effective after the close of trading on 18 December.</p></div><div>
<p>The December review uses the market cap and turnover data from 1 May to 31 October to determine the stocks to be included and excluded from the index, and the announcement of the changes is done 4 weeks before the rebalance effective date.</p>
<p><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> continues to remain a high probability inclusion, and <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp (ONGC IN)</a> is the corresponding deletion candidate. There is a lower probability of <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> being included in the Sensex, in which case <a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a> would be deleted.</p>
<p>Since we published our first Insight at the beginning of September, <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> has outperformed <a href="https://www.smartkarma.com/entities/divi-s-laboratories-ltd" target="_blank" data-smartkarma-citation="entities:4871:1" rel="noopener">Divi'S Laboratories (DIVI IN)</a> by 20% and <a href="https://www.smartkarma.com/entities/torrent-pharmaceuticals-ltd" target="_blank" data-smartkarma-citation="entities:15762:1" rel="noopener">Torrent Pharmaceuticals (TRP IN)</a> by 24%. We would take off the positions and wait for a reversal before re-entering the trade.</p>
<p>The ratio of <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp (ONGC IN)</a> to <a href="https://www.smartkarma.com/entities/oil-india-ltd" target="_blank" data-smartkarma-citation="entities:20751:1" rel="noopener">Oil India Ltd (OINL IN)</a> is trading close to its lows providing an entry point into a long ONGC/ short Oil India trade.</p>
<p><em>This Insight is marked as bearish due to Dr Reddy's recent outperformance versus its peers that could revert in the near future.</em></p>
</div>

The S&amp;P BSE Sensex is the flagship index of the Bombay Stock Exchange (BSE). The index has 30 stocks and is a free float market cap weighted index. The next rebalance will be effective after the close of trading on 18 December.
The December review uses the market cap and turnover data from 1 May to 31 October to determine the stocks to be included and excluded from the index, and the announcement of the changes is done 4 weeks before the rebalance effective date.
Dr. Reddy's Laboratories (DRRD IN) continues to remain a high probability inclusion, and Oil &amp; Natural Gas Corp (ONGC IN) is the corresponding deletion candidate. There is a lower probability of Britannia Industries (BRIT IN) being included in the Sensex, in which case Tata Steel Ltd (TATA IN) would be deleted.
Since we published our first Insight at the beginning of September, Dr. Reddy's Laboratories (DRRD IN) has outperformed Divi'S Laboratories (DIVI IN) by 20% and Torrent Pharmaceuticals (TRP IN) by 24%. We would take off the positions and wait for a reversal before re-entering the trade.
The ratio of Oil &amp; Natural Gas Corp (ONGC IN) to Oil India Ltd (OINL IN) is trading close to its lows providing an entry point into a long ONGC/ short Oil India trade.
This Insight is marked as bearish due to Dr Reddy's recent outperformance versus its peers that could revert in the near future.


Sensex Index Rebalance Preview: Take Profit on Strong Outperformance

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>TMI's text-mined India Lead Indicator has jumped to +1.5x STDEVs, highest reading since 11/2019; our indicator is equally comprised of macro components &amp; domestic corporate drivers</li>
<li>Just as the US and Europe are seeing a surge in COVID-19 cases, India has seen an encouraging -32% decline in the past month from a 7DMA new case count of 93K/day mid-September to the most recent reading of 63K/day; positive impact on mobility is already noticeable</li>
<li>Our RBI sentiment indicator surged to +1.6x STDEV as the central bank stated it will "look through" transitory inflationary supply shocks, pledging a prolonged accommodative policy stance while doubling down on open market operations and announcing new sector-specific TLTROs</li>
<li>While macro sentiment is the key catalyst, we also see an incipient recovery in corporate sentiment evidenced in positive news flow such as the sequential headcount increase at the likes of TCS, Infosys and Wipro</li>
<li>Our India Lead Indicator has been 80% correlated with the iShares MSCI India ETF with a slight lead in the T12M</li>
<li>At this point, our sentiment-based India indicators appear to be ahead of other Asian jurisdictions across most vectors</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


TMI's text-mined India Lead Indicator has jumped to +1.5x STDEVs, highest reading since 11/2019; our indicator is equally comprised of macro components &amp; domestic corporate drivers
Just as the US and Europe are seeing a surge in COVID-19 cases, India has seen an encouraging -32% decline in the past month from a 7DMA new case count of 93K/day mid-September to the most recent reading of 63K/day; positive impact on mobility is already noticeable
Our RBI sentiment indicator surged to +1.6x STDEV as the central bank stated it will "look through" transitory inflationary supply shocks, pledging a prolonged accommodative policy stance while doubling down on open market operations and announcing new sector-specific TLTROs
While macro sentiment is the key catalyst, we also see an incipient recovery in corporate sentiment evidenced in positive news flow such as the sequential headcount increase at the likes of TCS, Infosys and Wipro
Our India Lead Indicator has been 80% correlated with the iShares MSCI India ETF with a slight lead in the T12M
At this point, our sentiment-based India indicators appear to be ahead of other Asian jurisdictions across most vectors
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Indicators: India Indicators Rise On COVID-19 Trends, RBI Policy Shift and Corporate Optimism

Chart based progressive global trading strategies, Chart Partners

Thomas Schroeder

Chart based progressive global trading strategies

Chart Partners

Chart Partners objective is to discover medium-term cycle turns and profit opportunities before they unfold, within structural trends while preserving capital with clear degrees of risk. We have real return ideas. 

Markets are dynamic and trading systems must reflect this. It is crucial to determine underlying correlations and lead-lag relationships within global markets and the impact on linked instruments. Our weekly Chartonics product gives you short-term trading strategies that can be applied within the medium and longer term macro trends that are mapped out in our strategy updates. 

Our methodology fuses global market variables and isolates drivers in trends. We specialize in FX, index trade in NY and Asia with a focus on Asian stocks. 

Technical Analysis

<p>What is becoming more apparent is the inability for US equities to see weakness stick in the face of negative news with a bullish backdrop of pending stimulus with a Democrat win gaining traction. What happens between now and November is our real focus to pinpoint cycle lows either near October 19th or late October. Delayed stimulus will unnerve markets (as will the prospect of higher corporate tax) but a clear bullish underpinning for a rally into year end.</p><div>Game plan is tactical short for lows into 19th/late October to buy risk for a rise into December and early 2021 on the back of a fresh round of stimulus. Risk to reward and liquidity favors buying weakness in coming weeks.</div><div></div><div>The widening gap between liquidity driven equities markets and the real economy will come to the surface in 2021 if with some undercurrents expected into the year end.</div><div></div><div>Asia long picks - A shares, Australia, Thailand and India.</div><div>Asia short picks - HK, Taiwan, Korea and Nikkei 24k.</div>

What is becoming more apparent is the inability for US equities to see weakness stick in the face of negative news with a bullish backdrop of pending stimulus with a Democrat win gaining traction. What happens between now and November is our real focus to pinpoint cycle lows either near October 19th or late October. Delayed stimulus will unnerve markets (as will the prospect of higher corporate tax) but a clear bullish underpinning for a rally into year end.Game plan is tactical short for lows into 19th/late October to buy risk for a rise into December and early 2021 on the back of a fresh round of stimulus. Risk to reward and liquidity favors buying weakness in coming weeks.The widening gap between liquidity driven equities markets and the real economy will come to the surface in 2021 if with some undercurrents expected into the year end.Asia long picks - A shares, Australia, Thailand and India.Asia short picks - HK, Taiwan, Korea and Nikkei 24k.

Asia Shorts and What to Buy into October Weakness

<p>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> is the flagship index of the National Stock Exchange of India (NSE). The index has 50 stocks and is a free float weighted market cap index. The next rebalance will be effective after the close of trading on 25 March 2021 and the announcement of the changes will be done four weeks prior to the effective date.</p><p>A third of the way through the review period that runs from August 2020 to January 2021, we see three stocks, <a href="https://www.smartkarma.com/entities/tata-consumer-products" target="_blank" data-smartkarma-citation="entities:258:1" rel="noopener">Tata Consumer Products (TGBL IN)</a>, <a href="https://www.smartkarma.com/entities/dabur-india-ltd" target="_blank" data-smartkarma-citation="entities:242:1" rel="noopener">Dabur India Ltd (DABUR IN)</a> and <a href="https://www.smartkarma.com/entities/godrej-consumer-products-limited" target="_blank" data-smartkarma-citation="entities:7457:1" rel="noopener">Godrej Consumer Products (GCPL IN)</a>, eligible for inclusion in the index. The three lowest ranked stocks in the index are <a href="https://www.smartkarma.com/entities/gail-india-ltd" target="_blank" data-smartkarma-citation="entities:15263:1" rel="noopener">Gail India Ltd (GAIL IN)</a>, <a href="https://www.smartkarma.com/entities/indian-oil-corp-ltd" target="_blank" data-smartkarma-citation="entities:7781:1" rel="noopener">Indian Oil Corp (IOCL IN)</a> and <a href="https://www.smartkarma.com/entities/coal-india-ltd" target="_blank" data-smartkarma-citation="entities:9117:1" rel="noopener">Coal India Ltd (COAL IN)</a>.</p><p>Given the index committee has a fair amount of discretion in selecting stocks to be included and there can be a maximum of 5 changes to the index stocks in a calendar year, we expect there will only be 2 changes in the March review.</p><p>There could be a third change if listed Futures &amp; Options (F&amp;O) are introduced on <a href="https://www.smartkarma.com/entities/dmart" target="_blank" data-smartkarma-citation="entities:23656:1" rel="noopener">Avenue Supermarts (DMART IN)</a> by the end of the review period in January. The stock is already a member of the Nifty 100 Index and the lack of F&amp;O is the only reason keeping the stock out of the index.</p><p>The expected changes will change the sector distribution of the index with all inclusions belonging to the Consumer Staples sector, and the exclusions belonging to the Energy and Utilities sectors.</p>

The NIFTY Index (NIFTY INDEX) is the flagship index of the National Stock Exchange of India (NSE). The index has 50 stocks and is a free float weighted market cap index. The next rebalance will be effective after the close of trading on 25 March 2021 and the announcement of the changes will be done four weeks prior to the effective date.A third of the way through the review period that runs from August 2020 to January 2021, we see three stocks, Tata Consumer Products (TGBL IN), Dabur India Ltd (DABUR IN) and Godrej Consumer Products (GCPL IN), eligible for inclusion in the index. The three lowest ranked stocks in the index are Gail India Ltd (GAIL IN), Indian Oil Corp (IOCL IN) and Coal India Ltd (COAL IN).Given the index committee has a fair amount of discretion in selecting stocks to be included and there can be a maximum of 5 changes to the index stocks in a calendar year, we expect there will only be 2 changes in the March review.There could be a third change if listed Futures &amp; Options (F&amp;O) are introduced on Avenue Supermarts (DMART IN) by the end of the review period in January. The stock is already a member of the Nifty 100 Index and the lack of F&amp;O is the only reason keeping the stock out of the index.The expected changes will change the sector distribution of the index with all inclusions belonging to the Consumer Staples sector, and the exclusions belonging to the Energy and Utilities sectors.

NIFTY50 Index Rebalance Preview - Peeking Into the Distant Future

NSE Nifty Bank Index / Technical Analysis

<p>Nifty bank index has resumed the underperform trend relative to the Nifty and history warns of a Nifty index peak taking shape given the late stage of the rally and the breach of intermediate trendline support and now facing a critical test of relative lows for a break or hold (break would bleed into the Nifty topping cycle).</p><p>We have been long/bullish the Nifty from May 2020 but the rally is in the final innings. Break of trendline support was the signal to reduce long exposure and will use a reaction bounce to set up a short but we prefer being short the banks.</p><p>Trendline support break is a bearish set up. Nifty will stay buoyant near term as it lags the core cycle in Asia and why we see an upside re test.</p>

Nifty bank index has resumed the underperform trend relative to the Nifty and history warns of a Nifty index peak taking shape given the late stage of the rally and the breach of intermediate trendline support and now facing a critical test of relative lows for a break or hold (break would bleed into the Nifty topping cycle).We have been long/bullish the Nifty from May 2020 but the rally is in the final innings. Break of trendline support was the signal to reduce long exposure and will use a reaction bounce to set up a short but we prefer being short the banks.Trendline support break is a bearish set up. Nifty will stay buoyant near term as it lags the core cycle in Asia and why we see an upside re test.

India

The NIFTY 50 index is National Stock Exchange of India's benchmark stock market index for Indian equity market. Nifty is owned and managed by India Index Services and Products (IISL), which is a wholly owned subsidiary of the NSE Strategic Investment Corporation Limited.

NIFTY Index (NIFTY INDEX)

Sensex Index Rebalance Preview: Take Profit on Strong Outperformance

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Asia Shorts and What to Buy into October Weakness

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Thomas Schroeder

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Indian Banks Lead a Nifty Top

Nifty bank index has resumed the underperform trend relative to the Nifty and history warns of a Nifty index peak taking shape given the late stage...

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