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

Brian Freitas

Highly experienced ex-Delta One trader with 17 years of experience trading arbitrage and related strategies across Asian markets.

Exempt Financial Adviser (EFA) under CrossASEAN Research Pte Ltd.

It is important to note that the information provided by Periscope Analytics is based on publicly available data and own knowledge, which has been gathered and synthesized from a variety of sources. While every effort has been made to ensure the accuracy and completeness of the information provided, it is not guaranteed to be free from errors or omissions.

All forecasts and estimates are based on information that has been obtained from public sources that are considered to be reliable. The sources include, but are not limited to, company announcements, exchange filings, ETF and other passive investment vehicle holdings, and free float and volume data from third-party data providers. Periscope Analytics does not guarantee the accuracy and completeness of the forecasts, estimates and/or other information.

Pan-Asia Index Rebalances/ Events/ Delta One

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

NIFTY50 Index Rebalance Preview: Two High Probability Changes in September; Adds Are Flying

NIFTY NEXT50 Index Rebalance Preview: Active Meets Passive

AMFI Stock Reclassification Preview (June 2024): Potential Changes as Momentum Recovers

Battle Lines Drawn As BABA Builds Out First/Last-Mile Capacity; But Who Will Fund 75+ Bn CNY CapEx?

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 the review period nearing completion, there could be 14/15 changes for the NIFTY Midcap 150 Index at the September rebalance.</li>
<li>Estimated one-way turnover is 8.2% resulting in a one-way trade of INR 6.6bn (US$79m). With US$38bn tracking the index actively, the impact on the stocks will be much larger.</li>
<li>Performance of a long adds/short deletes trade was very good in March, and we could see a repeat over the next couple of months.</li>
</ul>


With the review period nearing completion, there could be 14/15 changes for the NIFTY Midcap 150 Index at the September rebalance.
Estimated one-way turnover is 8.2% resulting in a one-way trade of INR 6.6bn (US$79m). With US$38bn tracking the index actively, the impact on the stocks will be much larger.
Performance of a long adds/short deletes trade was very good in March, and we could see a repeat over the next couple of months.


Mangalore Refinery and Petrochemicals Limited (MRPL IN)

Mangalore Refinery and Petrochemicals Limited

Housing and Urban Development Corporation Limited (HUDCO IN)

Housing and Urban Development Corporation Limited

SBI Cards & Payment Services (SBICARD IN)

NSE Nifty Next 50 Index (NIFTYJR INDEX EQUITY)

NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading

Hitachi Energy India

NIFTY MIDCAP150 Index Rebalance Preview: 14 Changes & Good Performance as Actives Start Trading