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>
<a href="https://www.smartkarma.com/entities/thai-beverage-pcl" target="_blank" data-smartkarma-citation="entities:3656:1" rel="noopener">Thai Beverage (THBEV SP)</a> has trended lower over the last couple of years and the stock is trading very close to its lows.</li>
<li>There has been a contraction in multiples and <a href="https://www.smartkarma.com/entities/thai-beverage-pcl" target="_blank" data-smartkarma-citation="entities:3656:1" rel="noopener">Thai Beverage (THBEV SP)</a> trades cheaper than a lot of its Asia listed peers.</li>
<li>A potential index inclusion could bring in significant passive inflows and result in a rerating of the stock.</li>
</ul>



Thai Beverage (THBEV SP) has trended lower over the last couple of years and the stock is trading very close to its lows.
There has been a contraction in multiples and Thai Beverage (THBEV SP) trades cheaper than a lot of its Asia listed peers.
A potential index inclusion could bring in significant passive inflows and result in a rerating of the stock.


Thai Beverage (THBEV SP): Cheaper than Peers with an Upcoming Catalyst

<ul>
<li>Two thirds of the way through the review period, we see one change 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">SET 50 Index</a> in December with <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics (KCE TB)</a> replacing <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a>. </li>
<li>There is one close change where <a href="https://www.smartkarma.com/entities/i-tail-corp-pcl" target="_blank" data-smartkarma-citation="entities:36428:1" rel="noopener">I-TAIL (ITC TB)</a> could replace <a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad Power 1979 (SAWAD TB)</a> in the index.</li>
<li>
<a href="https://www.smartkarma.com/entities/delta-electronics-thailand-pcl-98806732-8ac4-42b2-a565-ba32673d1e5a" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thailand (DELTA TB)</a> is unlikely to be deleted while <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> fails liquidity and is unlikely to be added.</li>
</ul>


Two thirds of the way through the review period, we see one change for the SET 50 Index in December with KCE Electronics (KCE TB) replacing Ngern Tid Lor (TIDLOR TB). 
There is one close change where I-TAIL (ITC TB) could replace Srisawad Power 1979 (SAWAD TB) in the index.

Delta Electronics Thailand (DELTA TB) is unlikely to be deleted while Berli Jucker (BJC TB) fails liquidity and is unlikely to be added.


SET50 Index Rebalance Preview: One High Probability Change; Another One Is Close

Delta Electronics Thailand  / Event-Driven

<ul>
<li>
<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> has been added to the Market Surveillance Measure List twice in the last few months. That increases the probability of index deletion in December.</li>
<li>Given the big turnover every time <a href="https://www.smartkarma.com/entities/delta-electronics-thai-pcl" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics</a> is added to and deleted from the index, there could be another go at weighting 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> by free-float market cap.</li>
<li>Deletion from the index will have a big impact on <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> and the passive selling could help narrow the gap with <a href="https://www.smartkarma.com/entities/delta-electronics-inc" target="_blank" data-smartkarma-citation="entities:12688:1" rel="noopener">Delta Electronics (2308 TT)</a>.</li>
</ul>



Delta Electronics Thai (DELTA TB) has been added to the Market Surveillance Measure List twice in the last few months. That increases the probability of index deletion in December.
Given the big turnover every time Delta Electronics is added to and deleted from the index, there could be another go at weighting the SET50 Index by free-float market cap.
Deletion from the index will have a big impact on Delta Electronics Thai (DELTA TB) and the passive selling could help narrow the gap with Delta Electronics (2308 TT).


Delta Electronics (DELTA TB): Potential SET50 Index Delete in December?

Cal Comp Electronics Thailand / Event-Driven

<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 30 December.</li>
<li>All changes are in line with our forecasts and there appears to be positioning in all the stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/cal-comp-electronics-thailand-ef79c197-e6a6-4130-8221-aced0c735b11" target="_blank" data-smartkarma-citation="entities:20764:1" rel="noopener">Cal Comp Electronics Thailand (CCET TB)</a> will have the largest passive buying a percentage of free float and could be the stock to watch.</li>
</ul>


There will be 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the close on 30 December.
All changes are in line with our forecasts and there appears to be positioning in all the stocks.

Cal Comp Electronics Thailand (CCET TB) will have the largest passive buying a percentage of free float and could be the stock to watch.


SET50 Index Rebalance: Four Changes; Cal Comp🚀

<ul>
<li>With 3 trading days left in the review period, we forecast 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 December rebalance.</li>
<li>Passive trackers will need to buy between 1.2-3.6 days of ADV on the inclusions and sell between 0.3-3.1 days of ADV on the deletions.</li>
<li>The forecast adds have continued to outperform the forecast deletes and there could be more movement in stocks with relatively high ADV to trade.</li>
</ul>


With 3 trading days left in the review period, we forecast 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the December rebalance.
Passive trackers will need to buy between 1.2-3.6 days of ADV on the inclusions and sell between 0.3-3.1 days of ADV on the deletions.
The forecast adds have continued to outperform the forecast deletes and there could be more movement in stocks with relatively high ADV to trade.


SET50 Index Rebalance Preview: 4 Changes Coming Up in December

Thailand

The Thailand SET 50 Index is a capitalization-weighted index based on the top 50 stocks listed on the Bangkok SET index having high market capitalizatin and high liquidity. The index was developed with a base value of 100 as of August 16 1995

Stock Exchange of Thailand SET 50 Index (SET50 INDEX)

Stock Exchange of Thailand SET 50 Index (SET50 INDEX)

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SET50 Index Rebalance: Four Changes; Cal Comp🚀

There are 4 changes for the SET50, in line with forecast. Cal Comp float is limited, and the stock could move higher - the stock should also be...

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SET50 Index Rebalance Preview: 4 Changes Coming Up in December

There should be 4 changes to the SET50 in Dec. Passive trackers will need to trade between 0.3-3.6x ADV on the changes. The adds have outperformed...

Brian Freitas