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

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 SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.</li>
<li>With roughly half of the 3-month reference period now complete, I see three changes for the SET 50 index but one of those names is still close to the border.</li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.
With roughly half of the 3-month reference period now complete, I see three changes for the SET 50 index but one of those names is still close to the border.


Quiddity Leaderboard SET50 Jun 24: 3 Changes Likely; Banpu Still Not Safe from Deletion

<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

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>Technically, the SET Index is expected to move sideways, with resistance at 1,384/1,392 points (50-day EMA/75-day EMA) and the support at 1,374/1,365 points.</li><li>Overall, the index is still moving in the downchannel range of 1,330-1,396 points.</li><li>As for the short-term picture, it is currently being determined whether the index will move in an uptrend to test the resistance of the range at 1,395 points and 1,405/1,416 points, respectively, or move in a downtrend to test the support of the range, with the minor support at 1,365/1,356 points, respectively. </li></ul>

Technically, the SET Index is expected to move sideways, with resistance at 1,384/1,392 points (50-day EMA/75-day EMA) and the support at 1,374/1,365 points.Overall, the index is still moving in the downchannel range of 1,330-1,396 points.As for the short-term picture, it is currently being determined whether the index will move in an uptrend to test the resistance of the range at 1,395 points and 1,405/1,416 points, respectively, or move in a downtrend to test the support of the range, with the minor support at 1,365/1,356 points, respectively. 

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed in the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.</li>
<li>The 3-month reference period used for average market cap rankings started on 1st March 2024 and as things stand, there could be three ADDs/DELs in June 2024.</li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed in the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.
The 3-month reference period used for average market cap rankings started on 1st March 2024 and as things stand, there could be three ADDs/DELs in June 2024.


Quiddity Leaderboard SET50 Jun 24: Reference Period Begins; Three Changes Likely; Some Trade Ideas

Thailand

Thai Union Group Public Company Limited produces and exports frozen and canned seafood products including frozen tuna loin, shrimp and cephalopod. The Company also produces canned pet foods from by products of its seafood process.  Additionally, the Company produces fish snack and canned tuna which are marketed locally.

Sappe Public Company Limited manufactures and distributes health drinks. The Company manufactures dietary and fruit juice drinks. Sappe distributes their products internationally.

President Bakery PCL produces and distributes a wide variety of baked goods to fast food restaurants and convenient stores.  The company also sells its product through its own retail stores under Farmhouse shop and Deliya by Farmhouse.

Ichitan Group PCL operates in the beverage industry. The Company, through its subsidiaries, produces and distributes a variety of tea beverages.

Thaitheparos PCL manufactures food seasoning products including flavor sauce, vinegar, chili sauce, tomato sauce, oyster sauce, chili and tomato sauce, soy sauce, and powdered sauce, under branded names.  The Company also produces canned fruits.

Thai Vegetable Oil Public Company Limited produces and markets soybean cooking oil under its A-ngoon brand name.  Additionally, the Company produced other soybean products including soymeal, full-fat soy, cooked and un-extracted soybeanseed, and lecithin.  Its products are also used in industrial applications such as the production of paint or canned food.

GFPT Public Company Limited produces frozen chicken parts and distributes its products under GFPT, Common Food, and Nichirei Core.  The Company sells its products to domestic and export markets.

Kaset Thai International Sugar Corp PCL produces and distributes sugar to domestic and international clients.  The Company also produces bio products, which are used by-products from sugar production as raw materials, such as paper pulp from bagasse, and, ethanol from molasses and electrical energy from biomass.

Kaset Thai International Sugar Corp (KTIS TB)

Exotic Food Public Company Limited manufactures Thai food products that are sold in independent food stores globally.

Khon Kaen Sugar Industry PCL produces sugar, energy and agricultural products. The Company produces sugar and molasses, fertilizers, ethanol, and electricity.

FUJI OIL HOLDINGS INC. produces palm oil and coconut oil.  The Company also produces a variety of oil-related products, such as cooking oil, oil and fat products, and soybean protein products.

Zydus Wellness Ltd. processes dairy products.  The Company produces margarine, butter, and cheese.

TreeHouse Foods, Inc. is a food manufacturer servicing primarily the retail grocery and foodservice distribution channels. The Company's products include non-dairy powdered coffee creamer; canned soups, salad dressings and sauces; salsa and Mexican sauces; jams and pie fillings, pickles, and related products.

Shenzhen Shenxin Taifeng Group Co., Ltd. develops, manufactures, and sells communication products, as well as produces feedstuffs and breeds poultry.  The Company's products include feedstuffs, communication products and agricultural products as well as is involved in property development and management.

Shenzhen Shenxin Taifeng Group Co,Ltd. (000034 CH)

Established in 1992 and listed on the Singapore Exchange since 2007, First Resources is one of the leading palm oil producers in the region, managing over 200,000 hectares of oil palm plantations across the Riau, East Kalimantan and West Kalimantan provinces of Indonesia.

Our core business activities include cultivating oil palms, harvesting the fresh fruit bunches (FFB) and milling them into crude palm oil (CPO) and palm kernel (PK). In addition to plantations and palm oil mills, the Group through its refinery, fractionation, biodiesel and kernel crushing plants, processes its CPO and PK production into higher value palm-based products such as biodiesel, refined, bleached and deodorised (RBD) olein and RBD stearin, palm kernel oil and palm kernel expeller. This enables the Group to extract maximum value out of our upstream plantation assets. Our products are sold to both local and international markets.

First Resources is committed to the production of sustainable palm oil. Our sustainability strategy is centred upon maximising output while minimising the adverse environmental and social impact from our operations. We will constantly strengthen our sustainability framework through regular benchmarking against industry standards and best practices.

NIPPON SUISAN KAISHA, Ltd. fishes and purchases seafood, and produces seafood products including fresh, frozen, and canned fish.  The Company also produces fish oil and fish meal, and operates cold storage business.

House Foods Group Inc manufactures and sells spices and flavorings. The Company also produces snacks, instant noodles, and ingredients for cooking. House Foods Group serves both household and commercial buyers.

Beijing Shunxin Agriculture Co., Ltd operates in farming, winery, and food businesses.  The Company manufactures meat products and white spirits, raises pigs, produces seeds, manufactures pharmaceuticals, as well as grows and processes vegetables and fruits.

Beijing Shunxin Agriculture A (000860 CH)

EZAKI GLICO CO., LTD. produces and sells confections including chocolate snacks, candy bars, cookies, and chilled desserts.  The Company also produces prepared foods such as retort pouches and curry powders.

United Plantations Berhad (U.P.) cultivates and processes oil palm and coconut. Through its subsidiaries, the Company manufactures edible oils, fats, soap products and cocoa butter. United Plantations also transports and stores vegetable oil and molasses, and has operation in engineering consultancy services.

i-Tail Corporation Public Company Limited manufactures and exports pet food products. The Company offers sea food, meat chunks, and loaf products for pets. i-Tail serves customers worldwide.

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I-TAIL (ITC TB)

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

The market consultation proposes adjustments to the minimum thresholds for trading value and turnover ratio. That should result in 4 constituent...

Brian Freitas

Quiddity Leaderboard SET50 Jun 24: 3 Changes Likely; Banpu Still Not Safe from Deletion

Srisawad is currently an expected DEL. However, the gap between 51st-ranked Srisawad and 50th-ranked Banpu is very small and it is still possible...

Janaghan Jeyakumar, CFA

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

KTX Zoom - April 3, 2024

Technically, the SET Index is expected to move sideways, with resistance at 1,384/1,392 points (50-day EMA/75-day EMA) and the support at 1,374...

Krungthai XSpring

Quiddity Leaderboard SET50 Jun 24: Reference Period Begins; Three Changes Likely; Some Trade Ideas

Ngern Tid Lor (TIDLOR TB) could outperform Aeon Thana Sinsap Thailand (AEONTS TB) and Bangchak Corporation (BCP TB) could outperform IRPC PCL...

Janaghan Jeyakumar, CFA

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