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>Last week we had the implementation of the first two tranches of 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> rebalance with the third tranche to be implemented at the close on Monday.</li>
<li>Thursday saw the NIFTY indices implementation while Friday marked the end of the review period for the December rebalance of the Hang Seng family of indices.</li>
<li>There were large inflows to China, Taiwan, Korea and Hong Kong ETFs during the week while there were some outflows from Japan.</li>
</ul>


Last week we had the implementation of the first two tranches of the Nikkei 225 (NKY INDEX) rebalance with the third tranche to be implemented at the close on Monday.
Thursday saw the NIFTY indices implementation while Friday marked the end of the review period for the December rebalance of the Hang Seng family of indices.
There were large inflows to China, Taiwan, Korea and Hong Kong ETFs during the week while there were some outflows from Japan.


Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

Managing Director, Zero One, Zero One

Vincent Fernando, CFA

Managing Director, Zero One

Equity Bottom-Up

<ul>
<li>Since 2Q22 results end-July, Delta Thailand has risen 31% compared to a 3% rise for Delta Taiwan and a 2% rise for Thailand's SET Index.</li>
<li>Delta Taiwan's gross margin has historically been consistently higher than Delta Thailand's. Delta Thailand is a significant licensor of IP from its parent, which could be one reason.</li>
<li>Historical data shows that the relative valuation can swing back over time and the current divergence of Delta Thailand vs. Delta Taiwan is historically extreme.</li>
</ul>


Since 2Q22 results end-July, Delta Thailand has risen 31% compared to a 3% rise for Delta Taiwan and a 2% rise for Thailand's SET Index.
Delta Taiwan's gross margin has historically been consistently higher than Delta Thailand's. Delta Thailand is a significant licensor of IP from its parent, which could be one reason.
Historical data shows that the relative valuation can swing back over time and the current divergence of Delta Thailand vs. Delta Taiwan is historically extreme.


Delta Taiwan Vs. Thailand Pairs Monitor: SET50 Index Driver, But Taiwan Margins Always Higher

Delta Electronics Thailand  / Event-Driven

<ul>
<li>The SET has commenced a market consultation on lowering the turnover ratio level from 5% to 2% while selecting stocks to be added to and deleted from 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>.</li>
<li>The change to the turnover ratio level could lead to three changes in December that result in one-way turnover of 7.44% and in a one-way trade of THB 6.79bn.</li>
<li>Separately, the <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">Total Access Communication (DTAC TB)</a> / <a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">True Corp Pcl (TRUE TB)</a> merger could result in an ad hoc inclusion prior to the regular rebalance in December.</li>
</ul>


The SET has commenced a market consultation on lowering the turnover ratio level from 5% to 2% while selecting stocks to be added to and deleted from the SET50 INDEX.
The change to the turnover ratio level could lead to three changes in December that result in one-way turnover of 7.44% and in a one-way trade of THB 6.79bn.
Separately, the Total Access Communication (DTAC TB) / True Corp Pcl (TRUE TB) merger could result in an ad hoc inclusion prior to the regular rebalance in December.


SET50 Index: Market Consultation & DTAC/TRUE Merger Impact

<ul>
<li>The market cap review period for the December rebalance of 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 (SET50 INDEX)</a> started on 1 September and will end 30 November.</li>
<li>We currently see one high probability change and two lower probability changes to the index at the upcoming rebalance.</li>
<li>There are a couple of lower probability adds/deletes that will have between 3-5 days of ADV to trade from passive funds and could be interesting from a trading angle.</li>
</ul>


The market cap review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) started on 1 September and will end 30 November.
We currently see one high probability change and two lower probability changes to the index at the upcoming rebalance.
There are a couple of lower probability adds/deletes that will have between 3-5 days of ADV to trade from passive funds and could be interesting from a trading angle.


SET50 Index Rebalance Preview: Three Potential Changes in December

<ul>
<li>The market cap and liquidity review period for the June rebalance of 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 (SET50 INDEX)</a> ended yesterday.</li>
<li>
<a href="https://www.smartkarma.com/entities/jmt-network-services-pcl" target="_blank" data-smartkarma-citation="entities:8581:1" rel="noopener">JMT Network Services (JMT TB)</a>, <a href="https://www.smartkarma.com/entities/jaymart-pcl" target="_blank" data-smartkarma-citation="entities:12053:1" rel="noopener">Jaymart PCL (JMART TB)</a> and <a href="https://www.smartkarma.com/entities/berli-jucker-public-co-ltd" target="_blank" data-smartkarma-citation="entities:3685:1" rel="noopener">Berli Jucker (BJC TB)</a> could replace <a href="https://www.smartkarma.com/entities/sri-trang-gloves-thailand-public-company-limited" target="_blank" data-smartkarma-citation="entities:29141:1" rel="noopener">Sri Trang Gloves (STGT TB)</a>, <a href="https://www.smartkarma.com/entities/ratch-group-pcl" target="_blank" data-smartkarma-citation="entities:15338:1" rel="noopener">Ratch Group PCL (RATCH TB)</a> and <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL (IRPC)</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/asset-world-corp-pcl" target="_blank" data-smartkarma-citation="entities:28136:1" rel="noopener">Asset World Corporation (AWC TB)</a> could be deleted depending on which levers the index committee tweaks, and that could save <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL (IRPC TB)</a> from index deletion.</li>
</ul>


The market cap and liquidity review period for the June rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) ended yesterday.

JMT Network Services (JMT TB), Jaymart PCL (JMART TB) and Berli Jucker (BJC TB) could replace Sri Trang Gloves (STGT TB), Ratch Group PCL (RATCH TB) and IRPC PCL (IRPC).

Asset World Corporation (AWC TB) could be deleted depending on which levers the index committee tweaks, and that could save IRPC PCL (IRPC TB) from index deletion.


SET50 Index Rebalance Preview: Two High Probability Changes; One Low

Thailand

Delta Electronics (Thailand) PCL designs and manufactures electronic equipment. The Company produces power systems for telecommunications, medical equipment, and industrial automation.  Delta also produces fans, electromagnetic interference filters, and solenoids.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Delta Electronics Thailand (DELTA TB)

Index Rebalance & ETF Flow Recap: S&P/ASX, China A50, SET50, Bilibili, Leapmotor, Onewo, CALB

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Delta Taiwan Vs. Thailand Pairs Monitor: SET50 Index Driver, But Taiwan Margins Always Higher

Delta Taiwan deserves to catch up to Delta Thailand's performance in the next six months. Delta Taiwan earns a higher gross margin likely thanks to...

Vincent Fernando, CFA

SET50 Index: Market Consultation & DTAC/TRUE Merger Impact

We look at potential index changes following SET's proposal to reduce the monthly turnover ratio from 5% to 2%. Separately, the DTAC/TRUE merger...

Brian Freitas

SET50 Index Rebalance Preview: Three Potential Changes in December

There could be 3 changes to the SET50 at the December rebalance. One is a high probability change while two others are potential adds/deletes. Some...

Brian Freitas

SET50 Index Rebalance Preview: Two High Probability Changes; One Low

We see 2 high probability changes and 1 low probability change at the June review of the SET50 Index. JMT, JMART & BJC could replace STGT, RATCH &...

Brian Freitas

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)