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>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>There could be three ADDs and three DELs as things stand. There are a couple of names lurking close to the border too.</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.
There could be three ADDs and three DELs as things stand. There are a couple of names lurking close to the border too.


Quiddity Leaderboard SET50 Jun 24: Multiple Changes Possible

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

<ul>
<li>Couple of weeks from the start of the review period for the December rebalance of <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>, we see four potential index changes.</li>
<li>There are a few stocks that are close to the inclusion zone and there could be a reordering among the non-constituents as stock prices move around.</li>
<li>The potential adds have outperformed the potential deletes since the start of the year with most of the outperformance coming over the last 6 weeks.</li>
</ul>


Couple of weeks from the start of the review period for the December rebalance of SET 50 Index, we see four potential index changes.
There are a few stocks that are close to the inclusion zone and there could be a reordering among the non-constituents as stock prices move around.
The potential adds have outperformed the potential deletes since the start of the year with most of the outperformance coming over the last 6 weeks.


SET50 Index Rebalance Preview: Four Changes & A Few Close Names

<ul>
<li>There will be 4 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 close on 28 June.</li>
<li>All changes are in line with our forecasts, but one stock could be a surprise inclusion for some.</li>
<li>Passive trackers will need to buy 3.9% of float in <a href="https://www.smartkarma.com/entities/i-tail-corp-pcl" target="_blank" data-smartkarma-citation="entities:36428:1" rel="noopener">I-TAIL</a>, 3.7% of float in <a href="https://www.smartkarma.com/entities/berli-jucker-public-co-ltd" target="_blank" data-smartkarma-citation="entities:3685:1" rel="noopener">Berli Jucker</a>, 1.5% of float in <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern TidLor</a> and 1% of float in <a href="https://www.smartkarma.com/entities/bangchak-corporation-public-company-limited" target="_blank" data-smartkarma-citation="entities:15875:1" rel="noopener">Bangchak Corporation</a>.</li>
</ul>


There will be 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the close on 28 June.
All changes are in line with our forecasts, but one stock could be a surprise inclusion for some.
Passive trackers will need to buy 3.9% of float in I-TAIL, 3.7% of float in Berli Jucker, 1.5% of float in Ngern TidLor and 1% of float in Bangchak Corporation.


SET50 Index Rebalance: 4 Changes Next Week; One Could Surprise

<ul>
<li>The June 2024 index changes for Thailand's SET 50 index were announced after market close yesterday (17th June 2024).</li>
<li>Initially we <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-set50-jun-24-3-changes-likely-banpu-still-not-safe-from-deletion" target="_blank" rel="noopener">expected only three changes</a> but after the index methodology was revised in May 2024, we <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-set50-jun-24-banpu-vs-sawad-has-to-be-monitored-closely" target="_blank" rel="noopener">revised our expectations</a> and we had 4 expected ADDs/DELs.</li>
<li>All 4 expected ADDs/DELs turned out to correct. In this insight, we take a look at our estimation of expected flows and potential trade ideas based on the flow dynamics.</li>
</ul>


The June 2024 index changes for Thailand's SET 50 index were announced after market close yesterday (17th June 2024).
Initially we expected only three changes but after the index methodology was revised in May 2024, we revised our expectations and we had 4 expected ADDs/DELs.
All 4 expected ADDs/DELs turned out to correct. In this insight, we take a look at our estimation of expected flows and potential trade ideas based on the flow dynamics.


Quiddity SET 50 Jun 24 Rebal: 4 Changes Confirmed; LONGs up 5.2% Vs SHORTs in a Month

<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>Although 80% of the 3-month reference period is now complete, it is still possible for the rankings to change.</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.
Although 80% of the 3-month reference period is now complete, it is still possible for the rankings to change.


Quiddity Leaderboard SET50 Jun 24: BANPU Vs SAWAD Has to Be Monitored Closely

Thailand

KCE Electronics Public Company Limited and its subsidiaries manufacture and export single-layered, multi-layered, and double-sided printed circuit boards (PCBs) under its KCE trademark.  Multi-layered PCBs are used mainly in high technology equipment and high precision instruments.  Double-sided PCBs are used largely in telecommunication and computing equipment.

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KCE Electronics PCL (KCE TB)

Quiddity Leaderboard SET50 Jun 24: Multiple Changes Possible

Ngern Tid Lor, I-TAIL, and Bangkok Chain Hospital could be added and Com7, Srisawad Corp , and KCE Electronics could be deleted according to the...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance Preview: Four Changes & A Few Close Names

There are 4 potential changes for the SET50 in Dec. There are some other stocks that could make the cut. The adds have outperformed the deletes....

Brian Freitas

SET50 Index Rebalance: 4 Changes Next Week; One Could Surprise

The SET50 Index rebalances at the close on Friday. Most stocks are up since the announcement of the changes and the deletes could come under...

Brian Freitas

Quiddity SET 50 Jun 24 Rebal: 4 Changes Confirmed; LONGs up 5.2% Vs SHORTs in a Month

Our sector-neutral trade ideas have generated a long-short return of 5.2% in a month which was significantly better than being LONG 4 Expected ADDs...

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SET50 Jun 24: BANPU Vs SAWAD Has to Be Monitored Closely

After considering the recent methodology changes (relaxing the liquidity criteria), we believe BJC will be added in June 2024 and that could cause...

Janaghan Jeyakumar, CFA

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