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>The SET has run a market consultation on relaxing liquidity thresholds for inclusion of stocks 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">Stock Exchange of Thailand SET 50 Index (SET50 INDEX)</a> universe.</li>
<li>The consultation is the result of an increase in Average Daily Trading Values and lower turnover ratios, especially for large cap stocks.</li>
<li>
<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> is now a potential index inclusion in June and that could result in four constituent changes at the next rebalance.</li>
</ul>


The SET has run a market consultation on relaxing liquidity thresholds for inclusion of stocks in the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) universe.
The consultation is the result of an increase in Average Daily Trading Values and lower turnover ratios, especially for large cap stocks.

Berli Jucker (BJC TB) is now a potential index inclusion in June and that could result in four constituent changes at the next rebalance.


SET50 Index Rebalance Preview: Market Consultation & More Changes in June

Head of Research, Krungthai XSpring

Waraporn Wiboonkanarak

Head of Research

A full service Thai brokerage

Krungthai XSpring

Krungthai XSpring is a full service broker. The company provides a wide range of investment services such as Securities Brokerage, Derivative Agent Business, Securities Borrowing and Lending, Securities Trading, Underwriting, Financial Advisory, Wealth Advisory, Private Fund Management and International Markets Securities Trading. 

In terms of credibility, Fitch Ratings has assigned Krunghtai XSpring a long-term rating of AA- and a national short-term rating of F1+ with stable outlook.

Thematic (Sector/Industry)

<ul><li>Although the SET moved in a narrow range as the market had only the 1Q24 earnings results providing support, it was able to close up for the fourth day in a row.</li><li>Foreign investors turned to buy, and the improvement of BH, DELTA and ADVANC bolstered the index’s continued rise. However, the trading atmosphere was quiet with light volume.</li><li>A V-shaped recovery did not materialize after the index moved sideways; however, it managed to climb higher, setting the stage to test the 1/2 Fibonacci resistance at 1,368 points. If the index breaches this level, it is likely to continue to rebound toward the 1,400-point mark.</li></ul>

Although the SET moved in a narrow range as the market had only the 1Q24 earnings results providing support, it was able to close up for the fourth day in a row.Foreign investors turned to buy, and the improvement of BH, DELTA and ADVANC bolstered the index’s continued rise. However, the trading atmosphere was quiet with light volume.A V-shaped recovery did not materialize after the index moved sideways; however, it managed to climb higher, setting the stage to test the 1/2 Fibonacci resistance at 1,368 points. If the index breaches this level, it is likely to continue to rebound toward the 1,400-point mark.

<ul><li>The SET fluctuated in a narrow range and closed up for a third day, but it was weaker than other Asian bourses, which surged sharply, with tech stocks taking the lead.</li><li>Furthermore, volume decreased, large cap stocks showed mixed movement, and foreign investors turned to sell, which indicated that the index would face selling pressure.</li><li>The index approached the 1/2 Fibonacci resistance at 1,369 points before retreating, revealing the upward adjustment to be hindered by selling pressure. </li></ul>

The SET fluctuated in a narrow range and closed up for a third day, but it was weaker than other Asian bourses, which surged sharply, with tech stocks taking the lead.Furthermore, volume decreased, large cap stocks showed mixed movement, and foreign investors turned to sell, which indicated that the index would face selling pressure.The index approached the 1/2 Fibonacci resistance at 1,369 points before retreating, revealing the upward adjustment to be hindered by selling pressure. 

<ul><li>Although the baht depreciated, the SET rose for a second consecutive day, bolstered by two days of foreign investor buying and robust 1Q24 earnings.</li><li>This fueled increased buying momentum, particularly in energy, commerce, food, tourism, petrol and finance stocks.</li><li>Consequently, the index hit 1,362.53 points before retreating from profit taking.</li></ul>

Although the baht depreciated, the SET rose for a second consecutive day, bolstered by two days of foreign investor buying and robust 1Q24 earnings.This fueled increased buying momentum, particularly in energy, commerce, food, tourism, petrol and finance stocks.Consequently, the index hit 1,362.53 points before retreating from profit taking.

<ul>
<li>Nearing the halfway mark in the review period, we see 3 potential 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>Passive trackers will need to buy between 1.2-4.5 days of ADV on the inclusions and sell 0.9-1.3 days of ADV on the deletions.</li>
<li>
<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> continues to be a close add on liquidity while <a href="https://www.smartkarma.com/entities/gulf-energy-development-pcl" target="_blank" data-smartkarma-citation="entities:26038:1" rel="noopener">Gulf Energy Development (GULF TB)</a> and <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> continue to be close deletes.</li>
</ul>


Nearing the halfway mark in the review period, we see 3 potential changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the June rebalance.
Passive trackers will need to buy between 1.2-4.5 days of ADV on the inclusions and sell 0.9-1.3 days of ADV on the deletions.

Berli Jucker (BJC TB) continues to be a close add on liquidity while Gulf Energy Development (GULF TB) and Intouch Holdings (INTUCH TB) continue to be close deletes.


SET50 Index Rebalance Preview: Three Potential Changes in June

Thailand

Gulf Energy Development Public Company Limited produces and sells electricity and steam. The Company manages a portfolio of gas-fired and renewable power projects, as well as supplies steam and chilled water. Gulf Energy Development serves customers in Thailand.

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Gulf Energy Development (GULF TB)

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SET50 Index Rebalance Preview: Three Potential Changes in June

There could be 3 changes for the SET50 Index in June. There are a few stocks that are close adds/deletes on liquidity and that will need to be...

Brian Freitas

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