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

Delta Electronics Thailand  / Event-Driven

<ul>
<li>
<a href="https://www.smartkarma.com/entities/central-plaza-hotel-pcl" target="_blank" data-smartkarma-citation="entities:18213:1" rel="noopener">Central Plaza Hotel</a>, <a href="https://www.smartkarma.com/entities/com7-pcl" target="_blank" data-smartkarma-citation="entities:27411:1" rel="noopener">Com7 PCL</a>, <a href="https://www.smartkarma.com/entities/delta-electronics-thai-pcl" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thai</a> and <a href="https://www.smartkarma.com/entities/ratch-group-pcl" target="_blank" data-smartkarma-citation="entities:15338:1" rel="noopener">Ratch Group</a> will replace <a href="https://www.smartkarma.com/entities/bangkok-life-assurance-pcl" target="_blank" data-smartkarma-citation="entities:16237:1" rel="noopener">Bangkok Life Assurance</a>, <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL</a>, <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL</a> and <a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad Power</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">SET 50 Index</a>. </li>
<li>Passive trackers will need to buy between 2-4 days of ADV on the adds while selling between 0.6-3 days of ADV on the deletes.</li>
<li>The adds have significantly outperformed the deletes over the last few months. We'd use any big moves over the next couple of days to trim positions.</li>
</ul>



Central Plaza Hotel, Com7 PCL, Delta Electronics Thai and Ratch Group will replace Bangkok Life Assurance, IRPC PCL, KCE Electronics PCL and Srisawad Power in the SET 50 Index. 
Passive trackers will need to buy between 2-4 days of ADV on the adds while selling between 0.6-3 days of ADV on the deletes.
The adds have significantly outperformed the deletes over the last few months. We'd use any big moves over the next couple of days to trim positions.


SET50 Index Rebalance: CENTEL, COM7, DELTA, RATCH Added; BLA, IRPC, KCE, SAWAD Out

Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The reference period 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 (SET50 INDEX)</a> December 2022 Rebalance is about to come to an end.</li>
<li>With the market consultation changes confirmed as expected and the DTAC-TRUE merger likely to get delayed to 1Q CY2023, I expect 4 ADDs/DELs in December 2022. </li>
<li>
<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> is a potential surprise ADD and <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL (IRPC TB)</a> is a potential surprise DEL out of the index changes predicted in this insight.</li>
</ul>


The reference period for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) December 2022 Rebalance is about to come to an end.
With the market consultation changes confirmed as expected and the DTAC-TRUE merger likely to get delayed to 1Q CY2023, I expect 4 ADDs/DELs in December 2022. 

Ratch Group PCL (RATCH TB) is a potential surprise ADD and IRPC PCL (IRPC TB) is a potential surprise DEL out of the index changes predicted in this insight.


Thailand SET50 Quiddity Dec 22 Final Expectations: DTAC-TRUE Delay Could Cause RATCH-IRPC Surprise

<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> ends in 6 trading days.</li>
<li>Following the market consultation and reduction in the turnover ratio, there could be four changes to the index. The <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">DTAC</a>/<a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">TRUE</a> merger could result in another inclusion in Q1 2023.</li>
<li>Estimated one-way turnover at the December rebalance is 8.1% and will result in a one-way trade of THB 7.4bn. More than 1x ADV to trade on most stocks.</li>
</ul>


The market cap review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) ends in 6 trading days.
Following the market consultation and reduction in the turnover ratio, there could be four changes to the index. The DTAC/TRUE merger could result in another inclusion in Q1 2023.
Estimated one-way turnover at the December rebalance is 8.1% and will result in a one-way trade of THB 7.4bn. More than 1x ADV to trade on most stocks.


SET50 Index Rebalance Preview: Four Potential Changes in December

Managing Director, Zero One, Zero One

Vincent Fernando, CFA

Managing Director, Zero One

Equity Bottom-Up

<ul>
<li>Delta Taiwan has outperformed Delta Thailand, but remains at a historically low relative valuation.</li>
<li>China concerns, which may have impacted Delta Taiwan on a relative basis, appear to be incrementally improving.</li>
<li>We continue to favor Delta Taiwan vs. Delta Thailand, historical data implies Delta Taiwan is more likely to outperform Delta Thailand than vice-versa.</li>
</ul>


Delta Taiwan has outperformed Delta Thailand, but remains at a historically low relative valuation.
China concerns, which may have impacted Delta Taiwan on a relative basis, appear to be incrementally improving.
We continue to favor Delta Taiwan vs. Delta Thailand, historical data implies Delta Taiwan is more likely to outperform Delta Thailand than vice-versa.


Delta Taiwan Vs. Thailand Monitor: China Concerns Easing, EV in 2023 Favor Delta Taiwan

<ul>
<li>Delta Electronics (2308 TT) reported its earnings on October 28th, after its subsidiary Delta Electronics Thai (DELTA TB) had reported on October 25th.</li>
<li>Sales grew 33% YoY and gross margin expanded sequentially, which outperformed Delta Thailand's margin performance.</li>
<li>Delta Taiwan shares have outperformed Delta Thailand since having dropped to a historically-extreme relative market cap below 1.0x. However, Delta Taiwan remains historically cheap on a relative basis.</li>
</ul>


Delta Electronics (2308 TT) reported its earnings on October 28th, after its subsidiary Delta Electronics Thai (DELTA TB) had reported on October 25th.
Sales grew 33% YoY and gross margin expanded sequentially, which outperformed Delta Thailand's margin performance.
Delta Taiwan shares have outperformed Delta Thailand since having dropped to a historically-extreme relative market cap below 1.0x. However, Delta Taiwan remains historically cheap on a relative basis.


Delta Taiwan Vs. Thailand Monitor: Delta Taiwan Reports Better Margin Trend, Rel Valuation Reverts

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.

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Delta Electronics Thailand (DELTA TB)

SET50 Index Rebalance: CENTEL, COM7, DELTA, RATCH Added; BLA, IRPC, KCE, SAWAD Out

There are 4 changes for the SET50 Index in Dec, all in line with forecasts. Passive trackers will need to buy between 2-4 days ADV on the adds...

Brian Freitas

Thailand SET50 Quiddity Dec 22 Final Expectations: DTAC-TRUE Delay Could Cause RATCH-IRPC Surprise

I expect 4 ADDs/DELs in the Dec 22 Rebalance. The Expected ADDs (DELTA, BJC, RATCH, and COM7) could outperform the Expected DELs (KCE, BLA, SAWAD,...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance Preview: Four Potential Changes in December

Following the market consultation, there could be 4 index change in December. Estimated one-way turnover is 8.1% and will result in a one-way trade...

Brian Freitas

Delta Taiwan Vs. Thailand Monitor: China Concerns Easing, EV in 2023 Favor Delta Taiwan

China concerns, which may have impacted Delta Taiwan on a relative basis, appear to be incrementally improving. Despite recent Delta Taiwan...

Vincent Fernando, CFA

Delta Taiwan Vs. Thailand Monitor: Delta Taiwan Reports Better Margin Trend, Rel Valuation Reverts

Delta Taiwan shares have outperformed Delta Thailand since having dropped to a historically-extreme relative market cap below 1.0x. However, Delta...

Vincent Fernando, CFA

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