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>
<a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> and <a href="https://www.smartkarma.com/entities/wha-corp-pcl" target="_blank" data-smartkarma-citation="entities:104:1" rel="noopener">WHA Corp Pcl (WHA TB)</a> will replace <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/jmt-network-services-pcl" target="_blank" data-smartkarma-citation="entities:8581:1" rel="noopener">JMT Network Services (JMT 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">SET 50 Index</a> in June.</li>
<li>Estimated one-way turnover is 1.7% and will result in a one-way trade of THB 1,533m. The Financials and Real Estate sectors gain at the expense of the other sectors.</li>
<li>The largest impact of passive buying will be on <a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> in terms of days of ADV to buy and in terms of free float to buy. </li>
</ul>



Thai Life Insurance (TLI TB) and WHA Corp Pcl (WHA TB) will replace Jaymart PCL (JMART TB) and JMT Network Services (JMT TB) in the SET 50 Index in June.
Estimated one-way turnover is 1.7% and will result in a one-way trade of THB 1,533m. The Financials and Real Estate sectors gain at the expense of the other sectors.
The largest impact of passive buying will be on Thai Life Insurance (TLI TB) in terms of days of ADV to buy and in terms of free float to buy. 


SET50 Index Rebalance: TLI, WHA to Replace JMART, JMT

<ul>
<li>Two thirds of the way through the review period, we forecast two 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 (SET50 INDEX)</a> at the June rebalance.</li>
<li>
<a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> and <a href="https://www.smartkarma.com/entities/wha-corp-pcl" target="_blank" data-smartkarma-citation="entities:104:1" rel="noopener">WHA Corp Pcl (WHA TB)</a> could replace <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/ngern-tid-lor" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a>.</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> is a very close delete on market cap, while <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> is a close delete on liquidity. Multiple possibilities here.</li>
</ul>


Two thirds of the way through the review period, we forecast two changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the June rebalance.

Thai Life Insurance (TLI TB) and WHA Corp Pcl (WHA TB) could replace Jaymart PCL (JMART TB) and Ngern Tid Lor (TIDLOR TB).

JMT Network Services (JMT TB) is a very close delete on market cap, while Intouch Holdings (INTUCH TB) is a close delete on liquidity. Multiple possibilities here.


SET50 Index Rebalance Preview: Two Changes - One High Probability; One Has Possibilities

CEO, A. Stotz Investment Research

Dr. Andrew Stotz, CFA

Quantamental Investing to beat Benchmarks

A. Stotz Investment Research

We pick stocks. We construct portfolios. All our effort is focused on how to better pick stocks and construct portfolios. We serve fund management companies, family offices, and high net worth individuals.

Equity Bottom-Up

<ul>
<li>We highlight 14 stocks in Thailand that look interesting to us based on our FVMR Methodology</li>
<li>Portfolio changes: Nine stocks remain, and five new join the fray</li>
<li>Since inception, it has gained 105% versus the SET 100 Index’s return of 38%</li>
</ul>


We highlight 14 stocks in Thailand that look interesting to us based on our FVMR Methodology
Portfolio changes: Nine stocks remain, and five new join the fray
Since inception, it has gained 105% versus the SET 100 Index’s return of 38%


The Stocks to Own in Thailand – Vol. 39

Thematic (Sector/Industry)

<ul>
<li>We highlight 14 stocks in Thailand that look interesting to us based on our FVMR Methodology</li>
<li>Portfolio changes: Four stocks remain, 10 new join the fray</li>
<li>Since inception, it has gained 108% versus the SET 100 Index’s return of 40%</li>
</ul>


We highlight 14 stocks in Thailand that look interesting to us based on our FVMR Methodology
Portfolio changes: Four stocks remain, 10 new join the fray
Since inception, it has gained 108% versus the SET 100 Index’s return of 40%


The Stocks to Own in Thailand – Vol. 38

Asean-focused. Ex-Head of Thai Research

Athaporn Arayasantiparb, CFA

Asean (Thailand) Focused Independent Research

M Corp Review

M Corp is led by Athaporn Arayasantiparb who served as Head of Research for UOB and ANZ in Thailand and was an award-winning telecoms analyst at UBS in 2010 (AsiaMoney Thailand category) and Regional Strategist for DMG in Singapore. Prior to that, he also served as Kasikornbank credit analyst and scholar. He has a total work experience of 17 years, of which 14 were in research and 4 in research management roles. He started his career as an engineer for PTT and currently manages family investments. He holds an MBA from Stern (NYU) and CFA Charter since 2006. Apart from IPO Radar, which focuses on future listings, MCorp Review also provides six on-going thematic series ranked by frequency in descending order, namely: 1) Silicon Stories (technology) 2) Sathorn Series (financial services) 3) Thai-Coons (billionaire origin stories) 4) Reality Check (data-driven, investigative) 5) Thai Media Spotlight; and 6) Thai Macro Watch (global market drivers).

Cross Asset Strategy

Thailand has been one of Asia's worst performers in 2020, but for many of the same reasons, the Thai market will look more attractive in 2021:<ul>
<li>
Low base effects. An expected economic decline of 8% and earnings decline of 30% (with a quarter of listed companies losing money) has greatly lowered the bar for Thai companies. This makes it very attractive to bet on recovery stories, especially those that have been directly impacted by COVID-19 (such as tourism) and those catering to the rich.</li>
<li>
Continuation of QE. In an environment of strong QE action from the United States and other OECD nations, we are not expecting multiples to narrow even as earnings expand. The bias should remain on big caps that can absorb the surge in foreign liquidity.</li>
<li>
The remote economy is likely to continue at least for the first nine months, and if there is political instability, it will come in handy as well. We continue to expect broadband Internet providers or anything related to e-commerce and gaming to do well in much of 2021.</li>
</ul>

Thailand has been one of Asia's worst performers in 2020, but for many of the same reasons, the Thai market will look more attractive in 2021:

Low base effects. An expected economic decline of 8% and earnings decline of 30% (with a quarter of listed companies losing money) has greatly lowered the bar for Thai companies. This makes it very attractive to bet on recovery stories, especially those that have been directly impacted by COVID-19 (such as tourism) and those catering to the rich.

Continuation of QE. In an environment of strong QE action from the United States and other OECD nations, we are not expecting multiples to narrow even as earnings expand. The bias should remain on big caps that can absorb the surge in foreign liquidity.

The remote economy is likely to continue at least for the first nine months, and if there is political instability, it will come in handy as well. We continue to expect broadband Internet providers or anything related to e-commerce and gaming to do well in much of 2021.


Thailand

Amata Corporation Public Company Limited develops industrial estates primarily served for manufacturing plants and factories. The Company acquires land and develops essential infrastructure and facilities ready for industrialized operations. Ameta also has overseas investments in Vietnam.

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Amata Corp Public (AMATA TB)

SET50 Index Rebalance: TLI, WHA to Replace JMART, JMT

TLI & WHA will replace JMART & JMT in the SET50 on 30 June. Passive trackers will need to buy 3.4% of the float on TLI. The adds have outperformed...

Brian Freitas

SET50 Index Rebalance Preview: Two Changes - One High Probability; One Has Possibilities

There could be 2 changes in June. +TLI/-JMART is the high probability change. +WHA is medium probability. JMT/TIDLOR could be the second delete....

Brian Freitas

The Stocks to Own in Thailand – Vol. 39

We highlight 14 stocks in Thailand that look interesting to us based on our FVMR Methodology. Portfolio changes: Nine stocks remain, five new join...

A. Stotz Investment Research

The Stocks to Own in Thailand – Vol. 38

We highlight 14 stocks in Thailand that look interesting to us based on our FVMR Methodology. Since its inception, it has gained 108% versus the...

A. Stotz Investment Research

Thai Strategy 2021 (Part 1): Key Themes

The theme of the 2021 Thai strategy will be dominated by three things: a recovery story, a QE-inspired preference for big cap, and early-year...

Athaporn Arayasantiparb, CFA

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