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

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

<div>The Indian mutual fund industry has assets of almost INR 6.6 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap, Small Cap and Flexi Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks. Flexi cap funds can invest across market caps.</div><div>
The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.
At the next recategorization in July 2021, we see 7 stocks moving from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 13 stocks are expected to move from the small cap segment to the mid cap segment with the 16 stocks moving from the mid cap to the small cap segment. There are 3 recent listings that will enter the mid cap segment with over 18 joining the small cap segment.
Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.
</div>

The Indian mutual fund industry has assets of almost INR 6.6 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap, Small Cap and Flexi Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks. Flexi cap funds can invest across market caps.
The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.
At the next recategorization in July 2021, we see 7 stocks moving from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 13 stocks are expected to move from the small cap segment to the mid cap segment with the 16 stocks moving from the mid cap to the small cap segment. There are 3 recent listings that will enter the mid cap segment with over 18 joining the small cap segment.
Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.


India: Stock Reclassification & Active Portfolio Management

The Indian mutual fund industry has assets of almost INR 5 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap and Small Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks.The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.In the upcoming recategorization in January 2021, we see 6 stocks moved from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 12 stocks are expected to move from the small cap segment to the mid cap segment with the same number moving the other way. There are quite a few IPOs that will join the small cap list, with just 1 joining the large cap list and 1 joining the mid cap list.Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.

The Indian mutual fund industry has assets of almost INR 5 trillion across Multi cap, Large Cap, Large and Mid Cap, Mid Cap and Small Cap equity schemes. Equity schemes classified as large cap need to have at least 80% of their assets invested in large cap stocks, large and mid cap schemes need to have at least 35% of their assets in large cap stocks and at least 35% in mid cap stocks, mid cap funds need to hold at least 65% of their assets in mid cap stocks, and small cap funds need to hold at least 65% of their assets in small cap stocks.The Association of Mutual Funds in India (AMFI) publishes the list of the stocks in each market cap segment in January and July each year and mutual funds have one month to rebalance their portfolios to adhere to the new categorization.In the upcoming recategorization in January 2021, we see 6 stocks moved from the mid cap segment to the large cap segment with an equal number of stocks moving the other way, and 12 stocks are expected to move from the small cap segment to the mid cap segment with the same number moving the other way. There are quite a few IPOs that will join the small cap list, with just 1 joining the large cap list and 1 joining the mid cap list.Historically, the stocks migrating upward to a higher market cap segment have outperformed stocks that migrate to a lower market cap segment over the 1 month and 2 month period post the publishing of the AMFI list. This can be attributed to fund managers realigning their portfolios to meet the new categorization. This provides opportunities to pre-position for the move and unwind post the announcement of the reclassification.

India: AMFI Stock Categorization Changes to Drive Active Portfolio Churn

With the anchor book for the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" rel="noopener" data-smartkarma-citation="entities:28191:1">R* Shares CPSE ETF (CPSEBE IN)</a> Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the trade. The January series futures and options (F&amp;O) expire today and this may provide an opportunity to enter the trade at better levels than earlier in the week.The price setting on the ETFs will be done at tomorrows VWAP (being the non-anchor subscription day) and there should be decent volume going through on the stocks and single stock futures.In this Insight, we take a look at the main details for this offering and at some of the inputs used in determining how to hedge the trade.Please see our earlier Insights, <a href="https://www.smartkarma.com/insights/a-look-at-the-cpse-etf-ahead-of-a-potential-offering" target="_blank" rel="noopener" data-smartkarma-citation="insights:35966">A Look at the CPSE ETF Ahead of a Potential Offering</a> and <a href="https://www.smartkarma.com/insights/the-cpse-etf-arb-bigger-size-slimmer-margins" target="_blank" rel="noopener" data-smartkarma-citation="insights:36023">The CPSE ETF Arb - Bigger Size, Slimmer Margins</a> for more information.

With the anchor book for the R* Shares CPSE ETF (CPSEBE IN) Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the trade. The January series futures and options (F&amp;O) expire today and this may provide an opportunity to enter the trade at better levels than earlier in the week.The price setting on the ETFs will be done at tomorrows VWAP (being the non-anchor subscription day) and there should be decent volume going through on the stocks and single stock futures.In this Insight, we take a look at the main details for this offering and at some of the inputs used in determining how to hedge the trade.Please see our earlier Insights, A Look at the CPSE ETF Ahead of a Potential Offering and The CPSE ETF Arb - Bigger Size, Slimmer Margins for more information.

CPSE ETF Further Fund Offering - Last Look

The <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" rel="noopener" data-smartkarma-citation="entities:28191:1">R* Shares CPSE ETF (CPSEBE IN)</a> ETF is a passive fund that was created to help the Government of India divest some of its stake in selected Central Public Sector Enterprises (CPSE) through the ETF route. The ETF is based on the Nifty CPSE index and will include 12 CPSEs effective 24 January 2020.The seventh tranche of the ETF (Further Fund Offering 6 or FFO6) will open on January 30 to anchor investors and on January 31 to non-anchor investors and the new units are expected to start trading in mid February. This tranche will have an issue size of INR 100bn with a greenshoe option of INR 80bn and the discount on the ETF is expected to be in the range of 2.5% to 3%, opening up arbitrage opportunities to investors.There could also be an additional trade in <a href="https://www.smartkarma.com/entities/power-grid-corporation-of-india-limited" target="_blank" rel="noopener" data-smartkarma-citation="entities:12621:1">Power Grid Corporation Of India (PWGR IN)</a> depending on whether the Government of India sells stock in the name to the ETF in the rebalance that gets implemented today.

The R* Shares CPSE ETF (CPSEBE IN) ETF is a passive fund that was created to help the Government of India divest some of its stake in selected Central Public Sector Enterprises (CPSE) through the ETF route. The ETF is based on the Nifty CPSE index and will include 12 CPSEs effective 24 January 2020.The seventh tranche of the ETF (Further Fund Offering 6 or FFO6) will open on January 30 to anchor investors and on January 31 to non-anchor investors and the new units are expected to start trading in mid February. This tranche will have an issue size of INR 100bn with a greenshoe option of INR 80bn and the discount on the ETF is expected to be in the range of 2.5% to 3%, opening up arbitrage opportunities to investors.There could also be an additional trade in Power Grid Corporation Of India (PWGR IN) depending on whether the Government of India sells stock in the name to the ETF in the rebalance that gets implemented today.

The CPSE ETF Arb - Bigger Size, Slimmer Margins

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" rel="noopener" data-smartkarma-citation="entities:28191:1">R* Shares CPSE ETF (CPSEBE IN)</a> is a passive fund that was created to help the Government of India divest some of its stake in selected CPSEs through the ETF route. The ETF is based on the Nifty CPSE index and currently includes 10 listed Central Public Sector Enterprises. This will change to 12 securities once the latest round of rebalancing is completed on 23 January 2020.Each time that the CPSE index has been rebalanced, a Further Fund Offering (FFO) has ensued. We believe this time it will be no different.In this Insight we take a look at the history of the ETF, the current portfolio, historical changes to the index and their impact, and some main points on the potential offering.

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund R* Shares CPSE ETF (CPSEBE IN) is a passive fund that was created to help the Government of India divest some of its stake in selected CPSEs through the ETF route. The ETF is based on the Nifty CPSE index and currently includes 10 listed Central Public Sector Enterprises. This will change to 12 securities once the latest round of rebalancing is completed on 23 January 2020.Each time that the CPSE index has been rebalanced, a Further Fund Offering (FFO) has ensued. We believe this time it will be no different.In this Insight we take a look at the history of the ETF, the current portfolio, historical changes to the index and their impact, and some main points on the potential offering.

A Look at the CPSE ETF Ahead of a Potential Offering

India

NMDC Limited explores for minerals. The Company is exploring for iron ore, copper, rock phosphate, lime stone, dolomite, gypsum, bentonite, magnesite, diamond, tin, tungsten, graphite, and beach sands.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Nmdc Ltd (NMDC IN)

India: Stock Reclassification & Active Portfolio Management

There are a lot of segment changes expected in July when AMFI recategorizes stocks and mutual funds start to rebalance their portfolios. We...

Brian Freitas

India: AMFI Stock Categorization Changes to Drive Active Portfolio Churn

The reclassification of stocks to large, mid and small cap will set off a churn in mutual fund portfolios where historically stocks migrating...

Brian Freitas

CPSE ETF Further Fund Offering - Last Look

With the anchor book for the R* Shares CPSE ETF (CPSEBE IN) Further Fund Offering (FFO) opening today, we take a (re)look at the margins on the...

Brian Freitas

The CPSE ETF Arb - Bigger Size, Slimmer Margins

The R* Shares CPSE ETF (CPSEBE IN) ETF is a passive fund that was created to help the Government of India divest some of its stake in selected...

Brian Freitas

A Look at the CPSE ETF Ahead of a Potential Offering

The Central Public Sector Enterprises (CPSE) Exchange Traded Fund R* Shares CPSE ETF (CPSEBE IN) is a passive fund that was created to help the...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)