Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

The SET50 Index is one of the very few indices that is still weighted by full market cap. Stocks need to have a minimum free float of 20% to be eligible for index inclusion but the free float is not used to determine the weight of the stock in the index.This had led to stocks with low free floats having an inordinately high weight in the index. The most recent case in point was <a href="https://www.smartkarma.com/entities/delta-electronics-thai-pcl" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thai (DELTA TB)</a> - the stock was an inclusion in the SET50 index at the December review. DELTA is now the third largest stock in the index with a 6.07% weighting, even though the SET free float of the stock is only 22.35%. The stock has jumped 1000% over the last year.Media reports now indicate that there are changes brewing that could result in the SET revising the calculation methodology to more accurately determine the free float of stocks, and a change to the calculation methodology of the SET50 Index that would see it move from a full market cap weighted index to a free float market cap weighted index.In this Insight, we take a look at the stocks that would be affected by the changes and the impact of passive fund trading on the stocks.

The SET50 Index is one of the very few indices that is still weighted by full market cap. Stocks need to have a minimum free float of 20% to be eligible for index inclusion but the free float is not used to determine the weight of the stock in the index.This had led to stocks with low free floats having an inordinately high weight in the index. The most recent case in point was Delta Electronics Thai (DELTA TB) - the stock was an inclusion in the SET50 index at the December review. DELTA is now the third largest stock in the index with a 6.07% weighting, even though the SET free float of the stock is only 22.35%. The stock has jumped 1000% over the last year.Media reports now indicate that there are changes brewing that could result in the SET revising the calculation methodology to more accurately determine the free float of stocks, and a change to the calculation methodology of the SET50 Index that would see it move from a full market cap weighted index to a free float market cap weighted index.In this Insight, we take a look at the stocks that would be affected by the changes and the impact of passive fund trading on the stocks.

SET50 Index: Change to Free Float Weighting In the Works?

The Stock Exchange of Thailand (SET) will announce the results of the semi-annual review of the SET50 index in December and the changes will be effective from 2 January 2020. Passive funds and index arb desks will need to trade at (or by) the close on 30 December 2019.We see a possibility of <a href="https://www.smartkarma.com/entities/vgi-pcl" target="_blank" rel="noopener" data-smartkarma-citation="entities:12409:1">VGI Global Media (VGI TB)</a> being added to the SET50 index in this review and <a href="https://www.smartkarma.com/entities/banpu-power-pcl" target="_blank" rel="noopener" data-smartkarma-citation="entities:23631:1">Banpu Power PCL (BPP TB)</a> as a possible deletion candidate.This Insight covers the SET50 index methodology, our expected changes, historical impact on additions/deletions to the index and suggest trades for this rebalance.

The Stock Exchange of Thailand (SET) will announce the results of the semi-annual review of the SET50 index in December and the changes will be effective from 2 January 2020. Passive funds and index arb desks will need to trade at (or by) the close on 30 December 2019.We see a possibility of VGI Global Media (VGI TB) being added to the SET50 index in this review and Banpu Power PCL (BPP TB) as a possible deletion candidate.This Insight covers the SET50 index methodology, our expected changes, historical impact on additions/deletions to the index and suggest trades for this rebalance.

SET50 Index Rebalance Preview - Better Early Than Late

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

MSCI Emerging Markets Index / Technical Analysis

While the MSCI EM index remains in a well-defined downtrend, and we continue to recommend selectivity, we highlight several investable themes and actionable individual stock recommendations, including opportunities in Brazil, Russia, Norway, Thailand and India.

While the MSCI EM index remains in a well-defined downtrend, and we continue to recommend selectivity, we highlight several investable themes and actionable individual stock recommendations, including opportunities in Brazil, Russia, Norway, Thailand and India.

EM Strategy: Brazil Breaking Out, EM Energy Remains Attractive

Asean-focused. Ex-Head of Thai Research

Athaporn Arayasantiparb, CFA

Equity Bottom-Up

Every now and then, there are a couple of new tycoons we missed out on the Forbes list, which gets updated around mid-year. In this two-part series, we highlight a couple of them from the 2017 list yo. Of course, they are lesser-known newer ones, and the origin stories won’t merit a new article on its own, but here goes.Rise of the lessors. Two leasing tycoons showed up on this list in 2017. The mightier of the two is MTLS. This is the country’s biggest auto leasing company, and we actually…

Every now and then, there are a couple of new tycoons we missed out on the Forbes list, which gets updated around mid-year. In this two-part series, we highlight a couple of them from the 2017 list yo. Of course, they are lesser-known newer ones, and the origin stories won’t merit a new article on its own, but here goes.Rise of the lessors. Two leasing tycoons showed up on this list in 2017. The mightier of the two is MTLS. This is the country’s biggest auto leasing company, and we actually…

The New Thai-Coons (Part I): Class of 2017

Synergetic Auto Performance Public Company Limited / Equity Bottom-Up

Synergetic Auto Performance Public Company Limited

We visited two companies today who literally make a living on the road, so here goes, man. One of these, JWD, was first profiled in <a href="https://www.smartkarma.com/insights/rebooting-asiasoft" target="_blank" data-smartkarma-citation="insights:9169">Rebooting Asiasoft</a>, so that's really more of an update. Personally, we found the other small-cap ASAP today, and honestly, I found them more interesting. I mean these guys trade at a lower PE than market leader <a href="https://www.smartkarma.com/entities/6011" target="_blank" data-smartkarma-citation="entities:6011:1">Muangthai Leasing Pcl (MTLS TB)</a>, and they kinda seem more modern too yo. Granted, no leasing company is gonna be cheap around here, but indulge me. After…

We visited two companies today who literally make a living on the road, so here goes, man. One of these, JWD, was first profiled in Rebooting Asiasoft, so that's really more of an update. Personally, we found the other small-cap ASAP today, and honestly, I found them more interesting. I mean these guys trade at a lower PE than market leader Muangthai Leasing Pcl (MTLS TB), and they kinda seem more modern too yo. Granted, no leasing company is gonna be cheap around here, but indulge me. After…

Thailand

Muangthai Capital Public Company Limited operates as a commercial lending company. The Company provides car title, personal, agricultural vehicle, land title, and other loan products. Muangthai Capital serves customers in Thailand.

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Muangthai Capital (MTC TB)

SET50 Index: Change to Free Float Weighting In the Works?

There is a strong possibility that the SET revises the calculation methodology to more accurately determine the free float of stocks, and changes...

Brian Freitas

SET50 Index Rebalance Preview - Better Early Than Late

The Stock Exchange of Thailand (SET) will announce the results of the semi-annual review of the SET50 index in December and the changes will be...

Brian Freitas

EM Strategy: Brazil Breaking Out, EM Energy Remains Attractive

While the MSCI EM index remains in a well-defined downtrend, and we continue to recommend selectivity, we highlight several investable themes and...

Vermilion Research

The New Thai-Coons (Part I): Class of 2017

Every now and then, there are a couple of new tycoons we missed out on the Forbes list, which gets updated around mid-year. In this two-part...

Athaporn Arayasantiparb, CFA

Wheels For Hire

We visited two companies today who literally make a living on the road, so here goes, man. One of these, JWD, was first profiled in Rebooting...

Athaporn Arayasantiparb, CFA

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