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>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

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>Headline CPI rose 1.33%MoM in Jun'24, because of a 3.17%MoM spike in food CPI. Consequently, headline CPI rose 5.08%YoY, driven by food inflation of 9.36%YoY.</li>
<li>Although core inflation was at 3.1%YoY in May-Jun'24, India targets headline inflation, not core. Vegetable inflation (+29.3%YoY) remained the main culprit pushing up headline inflation. Fiscal solutions will take time.  </li>
<li>Headline CPI inflation is likely to stay close to 5%YoY in Jul-Sep'24 (vs earlier expectations of it abating below 4%YoY). The first rate cut is therefore unlikely before Dec'24. </li>
</ul>


Headline CPI rose 1.33%MoM in Jun'24, because of a 3.17%MoM spike in food CPI. Consequently, headline CPI rose 5.08%YoY, driven by food inflation of 9.36%YoY.
Although core inflation was at 3.1%YoY in May-Jun'24, India targets headline inflation, not core. Vegetable inflation (+29.3%YoY) remained the main culprit pushing up headline inflation. Fiscal solutions will take time.  
Headline CPI inflation is likely to stay close to 5%YoY in Jul-Sep'24 (vs earlier expectations of it abating below 4%YoY). The first rate cut is therefore unlikely before Dec'24. 


India: Inflation Setback in June Pushes Out Prospect of Rate Cuts to Later in the Year

<ul>
<li>The FY25 Budget projects a fiscal deficit of 4.9% of GDP (vs previous projection of 5.1%), but the 12mma of the fiscal deficit was already 4.8% of GDP by May'24. </li>
<li>With real GDP likely to grow 8.5% this year, direct tax revenue should considerably exceed official projections. Government's lower borrowing requirement should crowd-in private investment, further fuelling RGDP. </li>
<li>Hikes in LTCG and STT (on derivatives) are near-term negatives for stocks. But fiscal prudence, employment generation and agricultural productivity enhancements will create a virtuous circle in the medium-term. </li>
</ul>


The FY25 Budget projects a fiscal deficit of 4.9% of GDP (vs previous projection of 5.1%), but the 12mma of the fiscal deficit was already 4.8% of GDP by May'24. 
With real GDP likely to grow 8.5% this year, direct tax revenue should considerably exceed official projections. Government's lower borrowing requirement should crowd-in private investment, further fuelling RGDP. 
Hikes in LTCG and STT (on derivatives) are near-term negatives for stocks. But fiscal prudence, employment generation and agricultural productivity enhancements will create a virtuous circle in the medium-term. 


India: Mild Near-Term Negative for Stocks; Solidly Positive for Medium Term Growth

<ul>
<li>Goods export growth of 4.6%YoY was outpaced by import growth of 7.8%YoY (Apr-Jun'24), widening the merchandise deficit by 13.5%YoY. This was partly offset by the Apr-May24 services surplus widening 16.5%YoY. </li>
<li>In Q4FY24 (Jan-Mar'24), India had a current account surplus (0.6% of GDP) as the merchandise deficit of USD50.3bn was offset by a USD42.7bn services surplus and USD13.9bn incomes surplus.</li>
<li>With oil prices remaining subdued (USD75-90/bbl), goods exports and the services surplus expanding, India is likely to report a current account surplus of 0.5% of GDP in FY25. </li>
</ul>


Goods export growth of 4.6%YoY was outpaced by import growth of 7.8%YoY (Apr-Jun'24), widening the merchandise deficit by 13.5%YoY. This was partly offset by the Apr-May24 services surplus widening 16.5%YoY. 
In Q4FY24 (Jan-Mar'24), India had a current account surplus (0.6% of GDP) as the merchandise deficit of USD50.3bn was offset by a USD42.7bn services surplus and USD13.9bn incomes surplus.
With oil prices remaining subdued (USD75-90/bbl), goods exports and the services surplus expanding, India is likely to report a current account surplus of 0.5% of GDP in FY25. 


India: External Sector in Robust Health with Current Account Surplus Likely in FY25

Cross Asset Strategy

<ul>
<li>Despite more than doubling in the past 4 years, the BSE-Sensex is fairly valued (trailing P/E of 24.04x) relative to its 10-year mean (23.93x)-- helped by sustained EPS growth. </li>
<li>The trailing P/E is above the 20-year (21.34x) and 30-year mean (20.4x), but those reflect weaker growth prospects in earlier decades. 10yr mean better reflects new normal 8% RGDP growth.  </li>
<li>Net FPI inflows reached a record USD10.14bn in Dec'23, when the market was similarly valued. FPI flows into equity were minimal in H1CY24, but likely to rebound. Stay moderately Overweight. </li>
</ul>


Despite more than doubling in the past 4 years, the BSE-Sensex is fairly valued (trailing P/E of 24.04x) relative to its 10-year mean (23.93x)-- helped by sustained EPS growth. 
The trailing P/E is above the 20-year (21.34x) and 30-year mean (20.4x), but those reflect weaker growth prospects in earlier decades. 10yr mean better reflects new normal 8% RGDP growth.  
Net FPI inflows reached a record USD10.14bn in Dec'23, when the market was similarly valued. FPI flows into equity were minimal in H1CY24, but likely to rebound. Stay moderately Overweight. 


India: Growth Ensures that the Market Is Not Too Expensive Despite Big 4yr Runup

India

The S&P BSE Sensex Index is a cap-weighted index. The index members have been selected on the basis of liquidity, depth, and floating-stock-adjustment depth and industry representation. Sensex has a base date and value of 100 in 1978-1979. The Index shifted to free-float methodology since 09/01/03. Please see {SNSXOLD Index <GO>} for mid-month options.

S&P BSE SENSEX Index (SENSEX INDEX EQUITY)

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S&P BSE SENSEX Index (SENSEX INDEX EQUITY)

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

India: Inflation Setback in June Pushes Out Prospect of Rate Cuts to Later in the Year

Headline CPI rose to 5.08%YoY in Jun'24 due to food inflation (9.36%YoY). Despite the high base from Jul-Aug'23, CPI inflation will be near 5%YoY...

Prasenjit K. Basu

India: Mild Near-Term Negative for Stocks; Solidly Positive for Medium Term Growth

FY25 Budget advanced reforms, notably in fiscal consolidation, employment, farm productivity and rationalising LTCG. But the latter (and higher STT...

Prasenjit K. Basu

India: External Sector in Robust Health with Current Account Surplus Likely in FY25

India's current account swung to surplus in Q4FY24, with merchandise deficit offset by services & incomes surpluses, likely to continue in FY25...

Prasenjit K. Basu

India: Growth Ensures that the Market Is Not Too Expensive Despite Big 4yr Runup

Sensex trailing P/E of 24.04x is near 10yr mean of 23.93x, reflecting sustained EPS growth. Net FPI inflows hit a record USD10bn in Dec'23, when...

Prasenjit K. Basu

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

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

India: Inflation Setback in June Pushes Out Prospect of Rate Cuts to Later in the Year

​Headline CPI rose to 5.08%YoY in Jun'24 due to food inflation (9.36%YoY). Despite the high base from Jul-Aug'23, CPI inflation will be near 5%YoY...

Prasenjit K. Basu

India: Mild Near-Term Negative for Stocks; Solidly Positive for Medium Term Growth

FY25 Budget advanced reforms, notably in fiscal consolidation, employment, farm productivity and rationalising LTCG. But the latter (and higher STT...

Prasenjit K. Basu

India: External Sector in Robust Health with Current Account Surplus Likely in FY25

​India's current account swung to surplus in Q4FY24, with merchandise deficit offset by services & incomes surpluses, likely to continue in FY25...

Prasenjit K. Basu

India: Growth Ensures that the Market Is Not Too Expensive Despite Big 4yr Runup

​Sensex trailing P/E of 24.04x is near 10yr mean of 23.93x, reflecting sustained EPS growth. Net FPI inflows hit a record USD10bn in Dec'23, when...

Prasenjit K. Basu

Headline CPI rose to 5.08%YoY in Jun'24 due to food inflation (9.36%YoY). Despite the high base from Jul-Aug'23, CPI inflation will be near 5%YoY...

India's current account swung to surplus in Q4FY24, with merchandise deficit offset by services & incomes surpluses, likely to continue in FY25...

Sensex trailing P/E of 24.04x is near 10yr mean of 23.93x, reflecting sustained EPS growth. Net FPI inflows hit a record USD10bn in Dec'23, when...