Emerging and frontier market equity analyst, AlphaBox Advisors

Mohit Surana

Emerging and frontier market equity analyst

Value-Investing Philosophy and Bottom-up Approach

AlphaBox Advisors

At AlphaBox, our recommendations are sector and country agnostic and diversified by market cap. We follow value-investing philosophy and pursue a bottom-up approach to recommending stocks that has a good risk-reward profile and potential to generate market-beating returns, which in some cases would be complemented with an attractive dividend yield. Our recommendations fall into the following two broad categories: (i) Long-term Compounders – Global Markets (ii) EM and FM Alpha

Equity Bottom-Up

<ul>
<li>Fundamentally strong company with track record of high profitability and efficient operations. </li>
<li>Installed power generation capacity will more than double to ~5,500 MW by FY24 and another 4-5x by FY30. </li>
<li>Potential for DPS to improve from a trailing 1.70 INR to INR 2.50 by FY24, implying an attractive dividend yield of 7.5%. </li>
</ul>


Fundamentally strong company with track record of high profitability and efficient operations. 
Installed power generation capacity will more than double to ~5,500 MW by FY24 and another 4-5x by FY30. 
Potential for DPS to improve from a trailing 1.70 INR to INR 2.50 by FY24, implying an attractive dividend yield of 7.5%. 


SJVN Limited (SJVN IN): Renewable Energy Play; Installed Capacity To Double in 12-18 Months.

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>
<a href="https://www.smartkarma.com/entities/life-insurance-corp-of-india-lic" target="_blank" data-smartkarma-citation="entities:28829:1" rel="noopener">Life Insurance Corp of India (LIC) (LICI IN)</a> and <a href="https://www.smartkarma.com/entities/tata-power-co-ltd" target="_blank" data-smartkarma-citation="entities:15618:1" rel="noopener">Tata Power (TPWR IN)</a> will be added to the <a href="https://www.smartkarma.com/entities/nifty-100-index" target="_blank" data-smartkarma-citation="entities:36051:1" rel="noopener">Nifty 100 Index (NSE100 INDEX)</a> and <a href="https://www.smartkarma.com/entities/nifty-next-50-index" target="_blank" data-smartkarma-citation="entities:36053:1" rel="noopener">Nifty Next 50 Index (NIFTYJR INDEX)</a>. </li>
<li>
<a href="https://www.smartkarma.com/entities/nmdc-ltd" target="_blank" data-smartkarma-citation="entities:2016:1" rel="noopener">Nmdc Ltd (NMDC IN)</a> will be deleted from the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a> and there will be no replacement in the index.</li>
<li>The NMDC deletion along with capping changes means that there is decent volume (and ADV) to buy on quite a few names in the <a href="https://www.smartkarma.com/entities/cpse-etf" target="_blank" data-smartkarma-citation="entities:28191:1" rel="noopener">CPSE ETF (CPSEBE IN)</a>.</li>
</ul>



Life Insurance Corp of India (LIC) (LICI IN) and Tata Power (TPWR IN) will be added to the Nifty 100 Index (NSE100 INDEX) and Nifty Next 50 Index (NIFTYJR INDEX). 

Nmdc Ltd (NMDC IN) will be deleted from the CPSE ETF (CPSEBE IN) and there will be no replacement in the index.
The NMDC deletion along with capping changes means that there is decent volume (and ADV) to buy on quite a few names in the CPSE ETF (CPSEBE IN).


NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

<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

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

India

SJVN Limited develops, owns, and operates Hydro-electric power projects in India. The Company operates power generating plants in states that include Himachal Pradesh,

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SJVN (SJVN IN)

SJVN Limited (SJVN IN): Renewable Energy Play; Installed Capacity To Double in 12-18 Months.

SJVN Is A Promising Play On The Growing Renewables Sector In India Helped By Strong Fundamentals And Capacity Expansion On The Horizon + Decent...

Mohit Surana

NIFTY100 & CPSE Index Rebalance: Some Big Changes in 3 Weeks

LIC and Tata Power will be added to the NIFTY100 Index at the close on 5 August. NMDC is being deleted from the NIFTY100 & CPSE indices. There is a...

Brian Freitas

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

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

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