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>Companies in India have disclosed their shareholding pattern as of end-June in July. There are companies with significant float changes from end-December and/or end-March.</li>
<li>The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.</li>
<li>Depending on the date that the shareholding was published, there could be 12 stocks with passive inflows from global trackers while 5 could see passive outflows in August.</li>
</ul>


Companies in India have disclosed their shareholding pattern as of end-June in July. There are companies with significant float changes from end-December and/or end-March.
The changes in free float could be reflected in domestic and global indices over the next few weeks and months resulting in action from passive trackers.
Depending on the date that the shareholding was published, there could be 12 stocks with passive inflows from global trackers while 5 could see passive outflows in August.


India: Potential Free Float Changes & Passive Flows in August

<ul>
<li>The review period for the Nifty 100 Low Volatility 30 Index ends in August. The changes will be announced mid-September and implemented at the close on 27 September.</li>
<li>Four potential constituent changes, volatility changes and capping changes will result in one-way turnover of 16% resulting in a one-way trade of INR 6.71bn (US$80m).</li>
<li>Three of the four potential deletions are due to a change in the index universe and there will be selling from other passive trackers too.</li>
</ul>


The review period for the Nifty 100 Low Volatility 30 Index ends in August. The changes will be announced mid-September and implemented at the close on 27 September.
Four potential constituent changes, volatility changes and capping changes will result in one-way turnover of 16% resulting in a one-way trade of INR 6.71bn (US$80m).
Three of the four potential deletions are due to a change in the index universe and there will be selling from other passive trackers too.


NIFTY100 Low Volatility 30 Index Rebalance Preview: Four Changes in September

<ul>
<li>The <a href="https://www.smartkarma.com/entities/ola-electric-mobility-pvt-ltd" target="_blank" data-smartkarma-citation="entities:40618:1" rel="noopener">Ola Electric (1700674D IN)</a> IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company between US$3.79bn-US$4bn.</li>
<li>
<a href="https://www.smartkarma.com/entities/ola-electric-mobility-pvt-ltd" target="_blank" data-smartkarma-citation="entities:40618:1" rel="noopener">Ola Electric (1700674D IN)</a> will have a float of around 10% at the time of listing and that will increase to around 20% after the lock-up on anchor investors ends.</li>
<li>
<a href="https://www.smartkarma.com/entities/ola-electric-mobility-pvt-ltd" target="_blank" data-smartkarma-citation="entities:40618:1" rel="noopener">Ola Electric (1700674D IN)</a> could be added to global indices in February and March 2025, but inclusion in local indices with meaningful tracking assets will take longer.</li>
</ul>


The Ola Electric (1700674D IN) IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company between US$3.79bn-US$4bn.

Ola Electric (1700674D IN) will have a float of around 10% at the time of listing and that will increase to around 20% after the lock-up on anchor investors ends.

Ola Electric (1700674D IN) could be added to global indices in February and March 2025, but inclusion in local indices with meaningful tracking assets will take longer.


Ola Electric IPO: Offering Details & Index Inclusion

<ul>
<li>With 3 trading days left in the review period, there could be 7 changes (including 2 migrations) 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 September.</li>
<li>Estimated one-way turnover is 18% resulting in a one-way trade of INR 55bn (US$660m). 9 stocks will have over 1x ADV to trade from passive trackers.</li>
<li>All the deletes are F&amp;O members while most adds are not. NSE Indices may have to revisit the index membership criteria especially given the launch of futures on the index.</li>
</ul>


With 3 trading days left in the review period, there could be 7 changes (including 2 migrations) for the NSE Nifty Next 50 Index (NIFTYJR INDEX) in September.
Estimated one-way turnover is 18% resulting in a one-way trade of INR 55bn (US$660m). 9 stocks will have over 1x ADV to trade from passive trackers.
All the deletes are F&amp;O members while most adds are not. NSE Indices may have to revisit the index membership criteria especially given the launch of futures on the index.


NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

<ul>
<li>
<a href="https://www.smartkarma.com/entities/trent-ltd" target="_blank" data-smartkarma-citation="entities:8410:1" rel="noopener">Trent Ltd (TRENT IN)</a> and <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> are shoo-ins to replace <a href="https://www.smartkarma.com/entities/ltimindtree-ltd" target="_blank" data-smartkarma-citation="entities:22778:1" rel="noopener">LTIMindtree (LTIM IN)</a> and <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> 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 September.</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 3.3x ADV and 7.7x 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>Cumulative excess volume has increased in all stocks but there are some stocks where there will still be more positioning over the next few weeks.</li>
</ul>



Trent Ltd (TRENT IN) and Bharat Electronics (BHE IN) are shoo-ins to replace LTIMindtree (LTIM IN) and Divi's Laboratories (DIVI IN) in the NIFTY Index (NIFTY INDEX) in September.
Passive NIFTY Index trackers will need to trade at least 3.3x ADV and 7.7x delivery volume on the stocks. There is some opposite flow from Nifty Next 50 Index trackers.
Cumulative excess volume has increased in all stocks but there are some stocks where there will still be more positioning over the next few weeks.


NIFTY50 Index Rebalance Preview: Big Flow, Big Impact, Big Positioning

India

The Nifty Junior Index is a free-float capitalization weighted index of the most liquid stocks excluded from the Nifty Index.

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

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NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

India: Potential Free Float Changes & Passive Flows in August

Changes to shareholding patterns could lead to changes in float for some stocks in local/global indices. Passive trackers will need to trade over 4...

Brian Freitas

NIFTY100 Low Volatility 30 Index Rebalance Preview: Four Changes in September

Four constituent changes, volatility changes and capping changes will result in one-way turnover of 16% resulting in a one-way trade of INR 6.71bn...

Brian Freitas

Ola Electric IPO: Offering Details & Index Inclusion

The Ola Electric IPO will see the company and existing shareholders sell 808.6m shares at a price range of INR72-76/share, valuing the company...

Brian Freitas

NIFTY NEXT50 Index Rebalance Preview: 7 Changes as Non-F&O Stocks Replace F&O Members

There could be 7 changes for the Nifty Next 50. The addition of non-FnO stocks and deletion of FnO stocks raises index replication issues. Expect...

Brian Freitas

NIFTY50 Index Rebalance Preview: Big Flow, Big Impact, Big Positioning

There are 2 high probability changes for the NIFTY in Sep. New stocks added to the FnO list could increase the number of changes. There is big flow...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)