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?

<ul>
<li>A third of the way through the 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>, we see four potential index changes.</li>
<li>Passive trackers will need to buy between 0.5-4.3 days of ADV on the inclusions and sell between 0.1-2.9 days of ADV on the deletions.</li>
<li>The forecast adds have outperformed the forecast deletes and 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> over the last 5 months.</li>
</ul>


A third of the way through the review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX), we see four potential index changes.
Passive trackers will need to buy between 0.5-4.3 days of ADV on the inclusions and sell between 0.1-2.9 days of ADV on the deletions.
The forecast adds have outperformed the forecast deletes and the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) over the last 5 months.


SET50 Index Rebalance Preview: Four Changes as Adds Outperform Deletes

<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

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)

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

Thai Bev has outperformed Bud APAC and CR Beer over the last 5 months. There could be an index inclusion in the next month and that could help the...

Brian Freitas

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

KCE could replace TIDLOR in the SET50 in Dec. ITC is a close add and could replace SAWAD. The impact on the stocks is big given the index is...

Brian Freitas

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

DELTA TB has been added to the Market Surveillance Measure List and this increases the probability of SET50 deletion in December. That could help...

Brian Freitas

SET50 Index Rebalance Preview: Four Changes as Adds Outperform Deletes

There should be 4 changes to the SET50 in December. Passive trackers will need to buy between 0.5-4.3x ADV on the inclusions and sell between 0.1...

Brian Freitas

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