Pan-Asia Index Flows & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Pan-Asia Index Flows & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Event-Driven

<ul>
<li>In this insight, we take a look at the potential ADDs/DELs for the SET50 index rebalance in June 2023.</li>
<li>Based on the latest available data, I expect 3 ADDs/DELs but there are multiple names lurking close to the border.</li>
<li>
<a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad (SAWAD TB)</a>  and <a href="https://www.smartkarma.com/entities/sansiri-public-co-ltd" target="_blank" data-smartkarma-citation="entities:12201:1" rel="noopener">Sansiri Public (SIRI TB)</a> are leading the SET50 and SET100 Reserve Lists respectively and could become intra-review ADDs if the DTAC-TRUE merger closes in 1H 2023.</li>
</ul>


In this insight, we take a look at the potential ADDs/DELs for the SET50 index rebalance in June 2023.
Based on the latest available data, I expect 3 ADDs/DELs but there are multiple names lurking close to the border.

Srisawad (SAWAD TB)  and Sansiri Public (SIRI TB) are leading the SET50 and SET100 Reserve Lists respectively and could become intra-review ADDs if the DTAC-TRUE merger closes in 1H 2023.


Quiddity Leaderboard for Thailand SET50 Jun 23:Ramkhamhaeng Hospital Is an Interesting Case

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

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

<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

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>We recommend selling EA (with the return since it was first added at +0.9%, as the stock has fallen out of our top rankings.</li><li>We add JMART to the portfolio thanks to the expected 2Q22E earnings growth of 24.6% QoQ and 74.4% YoY to Bt405mn; this should have come on the back of the growth in the firms under its umbrella, led by JMT (the consensus estimates 2Q22E net profit at Bt392mn, +6.8% QoQ and +35.7% YoY) due to the seasonal increase in bad debt purchases and lower finance costs following the repayment of debentures, as well as SINGER (the consensus earnings estimate for 2Q22E is Bt246mn, +14.2% QoQ and +34.7% YoY) owing to the peak season for the sales of air conditioners.</li><li><div><div><div><div><p>GULF is a holding company engaging in core businesses relating to the generation and distribution of power based on natural gas and alternative energy. The firm also invests in infrastructure and other related businesses.</p></div></div></div></div></li></ul>

We recommend selling EA (with the return since it was first added at +0.9%, as the stock has fallen out of our top rankings.We add JMART to the portfolio thanks to the expected 2Q22E earnings growth of 24.6% QoQ and 74.4% YoY to Bt405mn; this should have come on the back of the growth in the firms under its umbrella, led by JMT (the consensus estimates 2Q22E net profit at Bt392mn, +6.8% QoQ and +35.7% YoY) due to the seasonal increase in bad debt purchases and lower finance costs following the repayment of debentures, as well as SINGER (the consensus earnings estimate for 2Q22E is Bt246mn, +14.2% QoQ and +34.7% YoY) owing to the peak season for the sales of air conditioners.GULF is a holding company engaging in core businesses relating to the generation and distribution of power based on natural gas and alternative energy. The firm also invests in infrastructure and other related businesses.

<ul><li>We expect the SET Index to move up, with the support at 1,555/1,530 points and the resistance at 1,600/1,616 points, on the back of foreign investors’ short covering and the risk-on mode for risk assets.</li><li>This is based on the assumption that the Fed will slow down its interest rate hikes from September onward after inflation already peaked out on a MoM basis following lower commodity prices and the US economy entered a technical recession.</li><li>Investment strategy: Buy blue chip stocks whose prices have fallen since June and stocks expected to report good earnings results: We recommend JMT, JMART, SINGER, MTC, COM7, FORTH, CRC, DTAC, MEGA and EA.</li></ul>

We expect the SET Index to move up, with the support at 1,555/1,530 points and the resistance at 1,600/1,616 points, on the back of foreign investors’ short covering and the risk-on mode for risk assets.This is based on the assumption that the Fed will slow down its interest rate hikes from September onward after inflation already peaked out on a MoM basis following lower commodity prices and the US economy entered a technical recession.Investment strategy: Buy blue chip stocks whose prices have fallen since June and stocks expected to report good earnings results: We recommend JMT, JMART, SINGER, MTC, COM7, FORTH, CRC, DTAC, MEGA and EA.

Thailand

Jaymart PCL distributes mobile phones and accessories.  The Company, through its subsidiaries, provide retail management and debt collection services.

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Jaymart PCL (JMART TB)

Quiddity Leaderboard for Thailand SET50 Jun 23:Ramkhamhaeng Hospital Is an Interesting Case

There could be 15 days of volume to buy in Ramkhamhaeng Hospital (RAM TB) if the name achieves a 15% relative gain vs other names and becomes a...

Janaghan Jeyakumar, CFA

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

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

Big Cap Tactical Picks - August 8, 2022

We recommend selling EA (with the return since it was first added at +0.9%, as the stock has fallen out of our top rankings.

Krungthai XSpring

Monthly Report - August 2022

We expect the SET Index to move up, with the support at 1,555/1,530 points and the resistance at 1,600/1,616 points, on the back of foreign...

Krungthai XSpring

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