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

Sensex Dec 2021 Index Rebalance Preview: Wipro Could Be IN, Pushing Bajaj Auto OUT

Sensex Dec 2021 Index Rebalance Preview: Wipro Should Be Added, Deletion Has An Interesting Option

Index Rebalance & ETF Flow Recap: MSCI, FTSE, KOSDAQ150, Sensex, ASX200, Kakao Pay, HomeCo REIT

Sensex June21 Index Rebalance Preview: Deletion Almost Certain; Addition a Wild Card for Now

Sensex June21 Index Rebalance Preview: Index Committee Has a Decision to Make

Sensex Index Rebalance: Dr. Reddy IN, Tata Steel OUT

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

Event-Driven

Asia Index Private Limited has announced the changes to the <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 (SENSEX INDEX)</a> for the upcoming review in June. The rebalance will be effective from the open on 21 June and passive funds will need to trade at the close (VWAP over the last 30 minutes of trading) on 18 June.<a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a> will be included in the index replacing <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp (ONGC IN)</a>.<a href="https://www.smartkarma.com/entities/wipro-ltd" target="_blank" data-smartkarma-citation="entities:15360:1" rel="noopener">Wipro Ltd (WPRO IN)</a> was the highest ranking non-constituent but the Index Committee went with <a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a> to reduce the underweight of the Materials sector in the <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 (SENSEX INDEX)</a> vs the BSE All Cap index.<a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a> was deleted from the <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 (SENSEX INDEX)</a> in December and makes its way back into the index after a big rally while out of the index.Passive funds will need to buy 0.33 days of ADV on <a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a> and sell 1.63 days of ADV on <a href="https://www.smartkarma.com/entities/oil-natural-gas-corp-ltd" target="_blank" data-smartkarma-citation="entities:3456:1" rel="noopener">Oil &amp; Natural Gas Corp (ONGC IN)</a>. The actual impact will be higher since the delivery volumes on both stocks are much lower, especially on <a href="https://www.smartkarma.com/entities/tata-steel-ltd" target="_blank" data-smartkarma-citation="entities:20934:1" rel="noopener">Tata Steel Ltd (TATA IN)</a>.

Asia Index Private Limited has announced the changes to the S&amp;P BSE SENSEX Index (SENSEX INDEX) for the upcoming review in June. The rebalance will be effective from the open on 21 June and passive funds will need to trade at the close (VWAP over the last 30 minutes of trading) on 18 June.Tata Steel Ltd (TATA IN) will be included in the index replacing Oil &amp; Natural Gas Corp (ONGC IN).Wipro Ltd (WPRO IN) was the highest ranking non-constituent but the Index Committee went with Tata Steel Ltd (TATA IN) to reduce the underweight of the Materials sector in the S&amp;P BSE SENSEX Index (SENSEX INDEX) vs the BSE All Cap index.Tata Steel Ltd (TATA IN) was deleted from the S&amp;P BSE SENSEX Index (SENSEX INDEX) in December and makes its way back into the index after a big rally while out of the index.Passive funds will need to buy 0.33 days of ADV on Tata Steel Ltd (TATA IN) and sell 1.63 days of ADV on Oil &amp; Natural Gas Corp (ONGC IN). The actual impact will be higher since the delivery volumes on both stocks are much lower, especially on Tata Steel Ltd (TATA IN). 

Cholamandalam Investment and Finance (CIFC IN)

AU Small Finance Bank Limited (AUBANK IN)

S&P BSE SENSEX Index (SENSEX INDEX EQUITY)

Sensex Index Rebalance: Tata Steel IN, ONGC OUT