A study from Nuvama Alternative & Quant Research suggests that on adjustment day, 52% of the time fresh inclusion names have settled flat while 48% of the times they have closed in the red, indicating the higher rebalance volume is matched by the sell flow of event traders and long only fund managers.
IANSMSCI.
MSCI's November rejig will be applicable from Wednesday, November 30, and a study suggests that fresh inclusions do not reward investors as per expectations.
A study from Nuvama Alternative & Quant Research suggests that on adjustment day, 52% of the time fresh inclusion names have settled flat while 48% of the times they have closed in the red, indicating the higher rebalance volume is matched by the sell flow of event traders and long only fund managers.
The stocks largely languish or see lower single-digit gains during announcement date and from announcement date to adjustment date, stocks trade with minor losses, said Abhilash Pagaria, Head - Alternative & Quantitative Research, Nuvama Wealth Management.
The brokerage firm has analyzed the most recent four semi-annual reviews (May 2022, November 2021, May 2021 and November 2020) for this study.
After one month and two months of the rebalancing, on an average, 60% of the fresh inclusion stocks have settled with losses. Barring Adani Group of stocks, most of the other inclusion names have traded in a narrow range up until six months post-rebalance.
"It is quite evident that most of the gains can only be made through pre-emptive bets, while post-announcement until the next few months, the stocks tend to languish or trade under pressure," Pagaria added.
In the latest round of rejig, Zomato's weightage on the index will also be increased and it is likely to see an additional inflows of $23 million, Nuvama's report suggested.
IANS
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