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>Early days, but there could be three changes for the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">Stock Exchange of Thailand SET 50 Index</a> at the June rebalance. Two names are reversals of the December changes.</li>
<li>Passive trackers will need to buy between 1.5-3.6 days of ADV on the inclusions and sell 1.1-1.4 days of ADV on the deletions.</li>
<li>There are a couple of stocks that are close to passing/failing the liquidity tests and a couple close to cutoff ranks. That could result in further changes to the index.</li>
</ul>


Early days, but there could be three changes for the Stock Exchange of Thailand SET 50 Index at the June rebalance. Two names are reversals of the December changes.
Passive trackers will need to buy between 1.5-3.6 days of ADV on the inclusions and sell 1.1-1.4 days of ADV on the deletions.
There are a couple of stocks that are close to passing/failing the liquidity tests and a couple close to cutoff ranks. That could result in further changes to the index.


SET50 Index Rebalance Preview: Three Potential Changes in June

<ul>
<li>The announcement of the inclusion of <a href="https://www.smartkarma.com/entities/uber-technologies-inc" target="_blank" data-smartkarma-citation="entities:430:1" rel="noopener">Uber Technologies (UBER US)</a> in the <a href="https://www.smartkarma.com/entities/s-p-500-index" target="_blank" data-smartkarma-citation="entities:22886:1" rel="noopener">S&amp;P 500 INDEX</a> was a big one last week. There were announcements for some other indices too.</li>
<li>There are many indices in China that will be rebalanced at the close on Friday, the biggest being the <a href="https://www.smartkarma.com/entities/shanghai-shenzhen-csi-300-inde" target="_blank" data-smartkarma-citation="entities:22906:1" rel="noopener">CSI 300</a>, <a href="https://www.smartkarma.com/entities/csi-smallcap-500-index-shang" target="_blank" data-smartkarma-citation="entities:35347:1" rel="noopener">CSI 500</a>, <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50</a>, <a href="https://www.smartkarma.com/entities/shanghai-stock-exchange-sse-50-a-share-index" target="_blank" data-smartkarma-citation="entities:31073:1" rel="noopener">SSE50</a> and <a href="https://www.smartkarma.com/entities/kraneshares-csi-china-internet-etf" target="_blank" data-smartkarma-citation="entities:28208:1" rel="noopener">KWEB US</a>.</li>
<li>Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.</li>
</ul>


The announcement of the inclusion of Uber Technologies (UBER US) in the S&amp;P 500 INDEX was a big one last week. There were announcements for some other indices too.
There are many indices in China that will be rebalanced at the close on Friday, the biggest being the CSI 300, CSI 500, STAR50, SSE50 and KWEB US.
Relatively quiet in ETF world with net inflows to China focused ETFs and net outflows for Japan.


Index Rebalance & ETF Flow Recap: KWEB, CSI300/500, STAR50, SSE50, ChiNext, SET50, Chips, Denso, SPX

<ul>
<li>With the review period complete, <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL (KCE TB)</a> should replace <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a> in the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-50-index" target="_blank" data-smartkarma-citation="entities:31493:1" rel="noopener">SET50 INDEX</a> at the December rebalance.</li>
<li>Liquidity is poor in <a href="https://www.smartkarma.com/entities/intouch-holdings-pcl" target="_blank" data-smartkarma-citation="entities:17638:1" rel="noopener">Intouch Holdings (INTUCH TB)</a> and <a href="https://www.smartkarma.com/entities/thai-life-insurance-pcl" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> but the stocks should be maintained in the index.</li>
<li>Passive trackers will need to buy 0.9x ADV (1.2% of float) of <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL (KCE TB)</a> and sell 0.8x ADV (1.6% of float) of <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a>.</li>
</ul>


With the review period complete, KCE Electronics PCL (KCE TB) should replace Ngern Tid Lor (TIDLOR TB) in the SET50 INDEX at the December rebalance.
Liquidity is poor in Intouch Holdings (INTUCH TB) and Thai Life Insurance (TLI TB) but the stocks should be maintained in the index.
Passive trackers will need to buy 0.9x ADV (1.2% of float) of KCE Electronics PCL (KCE TB) and sell 0.8x ADV (1.6% of float) of Ngern Tid Lor (TIDLOR TB).


SET50 Index Rebalance Preview: KCE Could Replace TIDLOR

<ul>
<li>There were a bunch of indices where the review period ended last week. The changes will be announced this month and implemented in December.</li>
<li>
<a href="https://www.smartkarma.com/entities/emerald-resources-nl" target="_blank" data-smartkarma-citation="entities:17495:1" rel="noopener">Emerald Resources Nl (EMR AU)</a> replaced <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on Friday.</li>
<li>There were large outflows from mainland China listed ETFs during the week. Outflows from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM US)</a> continued for another week.</li>
</ul>


There were a bunch of indices where the review period ended last week. The changes will be announced this month and implemented in December.

Emerald Resources Nl (EMR AU) replaced Invocare Ltd (IVC AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on Friday.
There were large outflows from mainland China listed ETFs during the week. Outflows from iShares Emerging Markets (EEM US) continued for another week.


Index Rebalance & ETF Flow Recap: NEXT50, SET50, L&F, Onewo, Celltrion, AMFI

<ul>
<li>The coming week has the rebalance implementation for the NIFTY family of indices on Thursday and the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> on Friday.</li>
<li>The review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> and the HSCI Index ends on Friday.</li>
<li>Inflows to mainland China ETFs resumed following a pause as markets continue to trade weak.</li>
</ul>


The coming week has the rebalance implementation for the NIFTY family of indices on Thursday and the Nikkei 225 (NKY INDEX) on Friday.
The review period for the December rebalance of the Hang Seng Index, Hang Seng China Enterprises Index, Hang Seng TECH Index and the HSCI Index ends on Friday.
Inflows to mainland China ETFs resumed following a pause as markets continue to trade weak.


Index Rebalance & ETF Flow Recap: HSI, HSCI, ASX, SET50, Wharf, SK Tel, Tata Motors, Midea, PCOMP

Thailand

Total Access Communication Public Company Limited provides cellular mobile telephone services under WorldPhone 800 and WorldPhone 1800 brand names throughout Thailand. The Company also sells cellular handsets and other telecommunications equipment through its WorldMedia network of retail stores.

True Corporation PCL is an integrated telecommunications provider. The Company offers a wide range of voice, video, and data services, including dial-up and broadband Internet services, pay television, fixed-line phone, online games, and mobile phone services.

Jasmine International Public Company Limited provides telecommunication services including fixed-telephone lines, wireless network, digital network and internet access services. The Company also distributes telecommunication equipment through its own retail chain stores.

Advanced Info Service Public Company Limited is granted a 25-year concession expiring the year 2015 by the Telephone Organization of Thailand to provide cellular phone services.  The Company provides analog mobile phone services through the Nordic Mobile Telephone (NMT900) network, and digital phone services through the Global Systems for Mobile Communication (GSM) network.

Thaicom PCL operates satellite communication business. The Company operates and provides satellite transponder services. Thaicom also provides Internet, satellite uplink/downlink, and telephone network services.

Symphony Communication PCL provides Internet services. The Company provides Ethernet services throughout the Bangkok Metropolitan areas.

Samart Telcoms Public Company Limited provides satellite communication network services.  The Company's products and services include international video conferencing, Local Area Network (LAN), Wide Area Network (WAN) via satellite links, Electronic Data Interchange (EDI), and high speed corporate internet access.

Digital Telecommunications Infrastructure Fund is a closed-ended fund that owns telecommunications towers and other related passive telecommunications infrastructure for mobile telecommunications services. Digital Telecommunication also owns core fiber optic cable grid and related transmission equipment and an up-country broadband system.

Digital Telecommunications Infrastructure Fund (DIF TB)

Digital Telecommunications Infrastructure Fund

Maxis Berhad operates as a mobile and fixed communication service provider. The Company, through mobile and fiber telecommunications along with IT infrastructure services, offers mobile and fixed data products, voice and SMS services, mobile payment solutions, remote health monitoring, Cloud solutions, and a business directory to businesses and individuals in Malaysia.

PT Indosat Tbk is a telecommunication and information service provider in Indonesia that provides cellular services (prepaid and postpaid), fixed data services or MIDI (Multimedia, Internet & Data Communication) and fixed voice services including fixed wireless access services.

Tele2 AB is a telecommunications company.  The Company offers mobile services, fixed broadband and telephony, data network services and content services. Tele2 operates throughout Europe and EuroAsia.

Turkcell Iletisim Hizmetleri AS (Turkcell) is a converged communication and technology services player with regional assets and globally relevant services. The Company provides mobile and fixed voice, data, television, and other services over its network in Turkey.

MTN Group Limited provides a wide range of communication services. The Company's services include cellular network access and business solutions. MTN Group is a multinational telecommunications group, operating in countries in Africa and the Middle East.

SK Telecom Co., Ltd. is a Korean mobile and telecommunications operator. The Company provides cellular voice, wireless data, and wireless internet services. SK Telecom also offers fixed line services and platform services.

Axiata Group Berhad is a telecommunication company.  The Company's main activities is the establishment, maintenance, and provision of telecommunications and related services.

PLDT Inc. is a telecommunications and digital services provider. The company offers fixed line, wireless, and fiber optic communication technology services in The Philippines.

Philippine Long Distance Telephone (Adr) (PHI US)

Globe Telecom, Inc. provides wireless application protocol services and digital wireless communication services via GSM network. The Company also offers service which allows users access to a wide range of information and services via a user-friendly menu. In addition, Globe  provides wire line voice and data services.

Intouch Holdings Public Company Limited is a holding company that invests in diversified telecommunication and media and advertising businesses.  The Company, through its subsidiaries, provides television broadcasting, cellular phone and wireless services.

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Intouch Holdings (INTUCH TB)

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