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>The review period for the Nifty 100 Low Volatility 30 Index ends on 30 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 16.05% resulting in a round-trip trade of INR 14.4bn (US$172m).</li>
<li>Three of the four potential deletions will have sell flows from 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</a> and <a href="https://www.smartkarma.com/entities/nifty-100-index" target="_blank" data-smartkarma-citation="entities:36051:1" rel="noopener">Nifty 100 Index</a> trackers as well.</li>
</ul>


The review period for the Nifty 100 Low Volatility 30 Index ends on 30 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 16.05% resulting in a round-trip trade of INR 14.4bn (US$172m).
Three of the four potential deletions will have sell flows from the NSE Nifty Next 50 Index and Nifty 100 Index trackers as well.


NIFTY100 Low Volatility 30 Index Rebalance Preview: 4 Changes as Review Cutoff Nears

<ul>
<li>
<a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> has a market cap of over US$27bn but is not a member of the <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index</a> since it is not an F&amp;O member.</li>
<li>Once SEBI's proposed and enhanced stock inclusion thresholds are implemented, <a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato (ZOMATO IN)</a> should be added to the F&amp;O segment of the market.</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> and <a href="https://www.smartkarma.com/entities/s-p-bse-sensex-index" target="_blank" data-smartkarma-citation="entities:31494:1" rel="noopener">S&amp;P BSE SENSEX Index</a> will have to buy a lot of <a href="https://www.smartkarma.com/entities/zomato-ltd" target="_blank" data-smartkarma-citation="entities:28820:1" rel="noopener">Zomato</a> stock at subsequent rebalances. The impact will be higher given the lower real float.</li>
</ul>



Zomato (ZOMATO IN) has a market cap of over US$27bn but is not a member of the NIFTY Index and S&amp;P BSE SENSEX Index since it is not an F&amp;O member.
Once SEBI's proposed and enhanced stock inclusion thresholds are implemented, Zomato (ZOMATO IN) should be added to the F&amp;O segment of the market.
Passive NIFTY Index and S&amp;P BSE SENSEX Index will have to buy a lot of Zomato stock at subsequent rebalances. The impact will be higher given the lower real float.


Zomato: Index Inclusions & Passive Impact (Once Added to F&O)

<ul>
<li>There are 7 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> that will be implemented at the close on 27 September. Changes are on expected lines.</li>
<li>Estimated one-way turnover for the <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 (NIFTYJR INDEX)</a> is 19.6% resulting in a one-way trade of INR 63.64bn (US$759m). Many stocks have over 1x ADV to trade.</li>
<li>The adds have outperformed the deletes this year but there has been big underperformance over the last month as stocks expected to benefit from rural spending have rallied.</li>
</ul>


There are 7 changes for the NSE Nifty Next 50 Index (NIFTYJR INDEX) that will be implemented at the close on 27 September. Changes are on expected lines.
Estimated one-way turnover for the Nifty Next 50 Index (NIFTYJR INDEX) is 19.6% resulting in a one-way trade of INR 63.64bn (US$759m). Many stocks have over 1x ADV to trade.
The adds have outperformed the deletes this year but there has been big underperformance over the last month as stocks expected to benefit from rural spending have rallied.


NIFTY NEXT50 Index Rebalance: 7 Changes on Expected Lines

<ul>
<li>There are 19 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with same-way flows from passive trackers of other indices.</li>
<li>Estimated one-way turnover is 9.8% resulting in a one-way trade of INR 8.2bn (US$98m). With US$40.1bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>The adds have outperformed the deletes this year, though near-term performance has been meh. There was a similar trend in March and the adds could outperform nearer to implementation.</li>
</ul>


There are 19 changes a side for the NIFTY Midcap 150 Index at the September rebalance. There are many stocks with same-way flows from passive trackers of other indices.
Estimated one-way turnover is 9.8% resulting in a one-way trade of INR 8.2bn (US$98m). With US$40.1bn tracking the index actively, the impact on the stocks will be much larger.
The adds have outperformed the deletes this year, though near-term performance has been meh. There was a similar trend in March and the adds could outperform nearer to implementation.


NIFTY MIDCAP150 Index Rebalance: 19 Changes a Side; Lots of Overlap with Other Index Flow

<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

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)

NIFTY100 Low Volatility 30 Index Rebalance Preview: 4 Changes as Review Cutoff Nears

4 potential constituent changes, volatility changes and capping changes will result in 1-way turnover of 16.05% resulting in a round-trip trade of...

Brian Freitas

Zomato: Index Inclusions & Passive Impact (Once Added to F&O)

Inclusion in the F&O segment will see Zomato added to the NIFTY and SENSEX and deleted from the NIFTYJR. Passives will need to buy a lot of real...

Brian Freitas

NIFTY NEXT50 Index Rebalance: 7 Changes on Expected Lines

There are 7 changes for the NIFTY Next50 Index. Estimated 1-way turnover is 19.6% resulting in a 1-way trade of INR 63.64bn (US$759m). There are...

Brian Freitas

NIFTY MIDCAP150 Index Rebalance: 19 Changes a Side; Lots of Overlap with Other Index Flow

There are 19 changes for the index in Sep. Estimated one-way turnover is 9.8% resulting in a one-way trade of INR 8.2bn (US$98m). There are many...

Brian Freitas

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

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)