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>Foreign investors sold ~5.7m shares of <a href="https://www.smartkarma.com/entities/indusind-bank-ltd" target="_blank" data-smartkarma-citation="entities:1558:1" rel="noopener">Indusind Bank (IIB IN)</a> from July to September. That selling has pushed foreign room above the key 15% threshold.</li>
<li>With foreign room crossing 15%, passive trackers will need to buy a chunk of <a href="https://www.smartkarma.com/entities/indusind-bank-ltd" target="_blank" data-smartkarma-citation="entities:1558:1" rel="noopener">Indusind Bank (IIB IN)</a> stock at the end of November.</li>
<li>There will be positioning on <a href="https://www.smartkarma.com/entities/indusind-bank-ltd" target="_blank" data-smartkarma-citation="entities:1558:1" rel="noopener">Indusind Bank (IIB IN)</a> though it appears some of that was taken off in the last couple of days.</li>
</ul>


Foreign investors sold ~5.7m shares of Indusind Bank (IIB IN) from July to September. That selling has pushed foreign room above the key 15% threshold.
With foreign room crossing 15%, passive trackers will need to buy a chunk of Indusind Bank (IIB IN) stock at the end of November.
There will be positioning on Indusind Bank (IIB IN) though it appears some of that was taken off in the last couple of days.


IndusInd Bank (IIB IN): Passive Buying Coming Up as Foreign Room Crosses Key Threshold

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

<ul>
<li>In our prior EM Strategy (August 7, 2023) we discussed how MSCI EM (EEM-US) was near major 1+ year resistance at $42.</li>
<li>After being unable to break out, EEM-US consolidation has continued, and is again approaching major 10.5-month support at $37-$37.50, which has been our important line-in-the-sand throughout 2023.</li>
<li>As long as EEM-US is above $37, we are buyers on this pullback.</li>
</ul>


In our prior EM Strategy (August 7, 2023) we discussed how MSCI EM (EEM-US) was near major 1+ year resistance at $42.
After being unable to break out, EEM-US consolidation has continued, and is again approaching major 10.5-month support at $37-$37.50, which has been our important line-in-the-sand throughout 2023.
As long as EEM-US is above $37, we are buyers on this pullback.


MSCI EM Index Approaching 10.5-Month Support; Remain Overweight India; Many EM Buys

<ul>
<li>
<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> now trades at a 32.9% discount to <a href="https://www.smartkarma.com/entities/tata-motors-ltd" target="_blank" data-smartkarma-citation="entities:216:1" rel="noopener">Tata Motors Ltd (TTMT IN)</a> and there is another 4.4% in the trade following the scheme of arrangement.</li>
<li>
<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> could be added to global indices in November and that will bring significant inflows to the stock.</li>
<li>The pre-positioning and passive buying could lead to the DVR discount narrowing further and provide trading opportunities for the next few weeks.</li>
</ul>



Tata Motors DVR (TTMT/A IN) now trades at a 32.9% discount to Tata Motors Ltd (TTMT IN) and there is another 4.4% in the trade following the scheme of arrangement.

Tata Motors DVR (TTMT/A IN) could be added to global indices in November and that will bring significant inflows to the stock.
The pre-positioning and passive buying could lead to the DVR discount narrowing further and provide trading opportunities for the next few weeks.


Tata Motors (TTMT/A IN) - Index Inclusion & The DVR Arb

<ul>
<li>We remain bullish global equities if the major $93 support level on MSCI ACWI (ACWI-US) continues to hold (1+ year base support and the 10.5-month uptrend)</li>
<li>The 10-year Treasury yield remains below 4.35% resistance (a positive), but the DXY is climbing above $103.70-$104.70 resistance, and $105.70 is the last line of defense (9-month resistance).</li>
<li>Japan and India remain top overweights, with many of today's buy recommendations from these countries (Real Estate, Energy, Tech/Services, Discretionary). Also downgrading Taiwan and Greece to market weight.</li>
</ul>


We remain bullish global equities if the major $93 support level on MSCI ACWI (ACWI-US) continues to hold (1+ year base support and the 10.5-month uptrend)
The 10-year Treasury yield remains below 4.35% resistance (a positive), but the DXY is climbing above $103.70-$104.70 resistance, and $105.70 is the last line of defense (9-month resistance).
Japan and India remain top overweights, with many of today's buy recommendations from these countries (Real Estate, Energy, Tech/Services, Discretionary). Also downgrading Taiwan and Greece to market weight.


Remain Overweight Japan and India; Key Supports Holding; Buys in Energy, Tech/Services (India)

Chief Economist & Political Strategist, CrossASEAN Research

Prasenjit K. Basu

Chief Economist & Political Strategist

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Macroeconomics

<ul>
<li>India remains the fastest-growing large economy, with RGDP accelerating to 7.8% YoY growth in Q1FY24. Services (53% of the economy) grew 10.3%YoY, and should enable 7%+ RGDP growth for FY24. </li>
<li>Fixed investment spending grew 8%YoY, the fifth consecutive quarter of 8% or more growth. The improbably large real net export deficit will likely lead to upward revisions to GDP. </li>
<li>The fiscal deficit in Apr-Jul'23 was 33.9% of the FY24 target, even with a massive 54%YoY increase in revenues assigned to states. Latter will shrink in H2FY24, cutting fiscal deficit. </li>
</ul>


India remains the fastest-growing large economy, with RGDP accelerating to 7.8% YoY growth in Q1FY24. Services (53% of the economy) grew 10.3%YoY, and should enable 7%+ RGDP growth for FY24. 
Fixed investment spending grew 8%YoY, the fifth consecutive quarter of 8% or more growth. The improbably large real net export deficit will likely lead to upward revisions to GDP. 
The fiscal deficit in Apr-Jul'23 was 33.9% of the FY24 target, even with a massive 54%YoY increase in revenues assigned to states. Latter will shrink in H2FY24, cutting fiscal deficit. 


India: Robust Economic Momentum Despite Some Seeming Fiscal Deterioration

India

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IndusInd Bank (IIB IN): Passive Buying Coming Up as Foreign Room Crosses Key Threshold

Foreign investors sold IndusInd Bank from July to Sep. With foreign room crossing 15%, passive trackers will need to buy IndusInd in Nov. There is...

Brian Freitas

MSCI EM Index Approaching 10.5-Month Support; Remain Overweight India; Many EM Buys

$EEM is again approaching major 10.5-month support at $37-$37.50, which has been our important line-in-the-sand throughout 2023. As long as $EEM is...

Vermilion Research

Tata Motors (TTMT/A IN) - Index Inclusion & The DVR Arb

The Tata Motors DVR trades at a 32.9% discount to the common shares and at a 4.4% discount to the scheme terms. The DVR's inclusion in global...

Brian Freitas

Remain Overweight Japan and India; Key Supports Holding; Buys in Energy, Tech/Services (India)

We remain bullish on global equities as long as major $93 support on $ACWI continues to hold (1+ year base support and the 10.5-month uptrend)....

Vermilion Research

India: Robust Economic Momentum Despite Some Seeming Fiscal Deterioration

Services (53% of GDP) grew 10.3%YoY in Apr-Jun'23, and should grow 8.5% for the full year. Manufacturing to grow 6%+, benefiting from a low base in...

Prasenjit K. Basu

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