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

Delta Electronics Thailand  / Event-Driven

<ul>
<li>The SET has commenced a market consultation on lowering the turnover ratio level from 5% to 2% while selecting stocks to be added to and deleted from 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">SET50 INDEX</a>.</li>
<li>The change to the turnover ratio level could lead to three changes in December that result in one-way turnover of 7.44% and in a one-way trade of THB 6.79bn.</li>
<li>Separately, the <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">Total Access Communication (DTAC TB)</a> / <a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">True Corp Pcl (TRUE TB)</a> merger could result in an ad hoc inclusion prior to the regular rebalance in December.</li>
</ul>


The SET has commenced a market consultation on lowering the turnover ratio level from 5% to 2% while selecting stocks to be added to and deleted from the SET50 INDEX.
The change to the turnover ratio level could lead to three changes in December that result in one-way turnover of 7.44% and in a one-way trade of THB 6.79bn.
Separately, the Total Access Communication (DTAC TB) / True Corp Pcl (TRUE TB) merger could result in an ad hoc inclusion prior to the regular rebalance in December.


SET50 Index: Market Consultation & DTAC/TRUE Merger Impact

<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> started on 1 September and will end 30 November.</li>
<li>We currently see one high probability change and two lower probability changes to the index at the upcoming rebalance.</li>
<li>There are a couple of lower probability adds/deletes that will have between 3-5 days of ADV to trade from passive funds and could be interesting from a trading angle.</li>
</ul>


The market cap review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) started on 1 September and will end 30 November.
We currently see one high probability change and two lower probability changes to the index at the upcoming rebalance.
There are a couple of lower probability adds/deletes that will have between 3-5 days of ADV to trade from passive funds and could be interesting from a trading angle.


SET50 Index Rebalance Preview: Three Potential Changes in December

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.

Thematic (Sector/Industry)

<ul>
<li>We highlight 14 stocks in Asia that look interesting to us based on our FVMR methodology</li>
<li>Portfolio changes: Five stock remains, and nine new join the fray</li>
<li>Since its inception, the portfolio has gained 75% versus MSCI Asia ex Japan's 64%</li>
</ul>


We highlight 14 stocks in Asia that look interesting to us based on our FVMR methodology
Portfolio changes: Five stock remains, and nine new join the fray
Since its inception, the portfolio has gained 75% versus MSCI Asia ex Japan's 64%


<ul>
<li>We highlight 14 stocks in ASEAN that look interesting to us based on our FVMR Methodology</li>
<li>Portfolio changes: Three stocks remain, 11 new join the fray</li>
<li>Since inception, the portfolio has gained 195% versus MSCI ASEAN’s 27%</li>
</ul>


We highlight 14 stocks in ASEAN that look interesting to us based on our FVMR Methodology
Portfolio changes: Three stocks remain, 11 new join the fray
Since inception, the portfolio has gained 195% versus MSCI ASEAN’s 27%


<ul>
<li>We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology</li>
<li>Portfolio changes: Three stocks remain, 11 new join the fray</li>
<li>Since inception, it has gained 95% versus the SET 100 Index’s return of 36%</li>
</ul>


We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology
Portfolio changes: Three stocks remain, 11 new join the fray
Since inception, it has gained 95% versus the SET 100 Index’s return of 36%


The Stocks to Own in Thailand – Vol. 36

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)

SET50 Index: Market Consultation & DTAC/TRUE Merger Impact

We look at potential index changes following SET's proposal to reduce the monthly turnover ratio from 5% to 2%. Separately, the DTAC/TRUE merger...

Brian Freitas

SET50 Index Rebalance Preview: Three Potential Changes in December

There could be 3 changes to the SET50 at the December rebalance. One is a high probability change while two others are potential adds/deletes. Some...

Brian Freitas

The Stocks to Own in Asia – Vol. 36

We highlight 14 stocks in Asia that look interesting to us based on our FVMR Methodology. Portfolio changes: Five stock remains, and nine new join...

A. Stotz Investment Research

The Stocks to Own in ASEAN – Vol. 38

We highlight 14 stocks in ASEAN that look interesting to us based on our FVMR Methodology. Portfolio changes: Three stocks remain, and 11 new join...

A. Stotz Investment Research

The Stocks to Own in Thailand – Vol. 36

We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology. Portfolio changes: Three stocks remain, 11 new join...

A. Stotz Investment Research

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)