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

Index Rebalance

Delta Electronics (Thailand) / Index Rebalance

<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> ends in 6 trading days.</li>
<li>Following the market consultation and reduction in the turnover ratio, there could be four changes to the index. The <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">DTAC</a>/<a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">TRUE</a> merger could result in another inclusion in Q1 2023.</li>
<li>Estimated one-way turnover at the December rebalance is 8.1% and will result in a one-way trade of THB 7.4bn. More than 1x ADV to trade on most stocks.</li>
</ul>


The market cap review period for the December rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) ends in 6 trading days.
Following the market consultation and reduction in the turnover ratio, there could be four changes to the index. The DTAC/TRUE merger could result in another inclusion in Q1 2023.
Estimated one-way turnover at the December rebalance is 8.1% and will result in a one-way trade of THB 7.4bn. More than 1x ADV to trade on most stocks.


SET50 Index Rebalance Preview: Four Potential Changes in December

Thai Equity - Bottom-up - Equities, Pi Securities PCL, Thailand

Pi Research

Thai Equity - Bottom-up - Equities

Leading, full-service investment firm in Thailand

Pi Securities PCL, Thailand

Pi Securities is a well known securities company with 40 years experience in the industry, serving more than 60,000 clients. We offer one - stop service providing full range of financial products and services including extensive Brokerage, Proprietary Trading (Equities and Bonds), Advisory Services, Structured Products.

Moreover, our new research team tailored for institutional clients to focus on mid to small cap of Thai equities and trading strategies. Our services offered to our premium clients also include arrangement of company or site visits to with the managements of Thai listed companies.

Note: Effective on 1 March 2022, Country Group Securities PCL changed its name to Pi Securities

Equity Bottom-Up

Asset World Corporation / Equity Bottom-Up

<ul>
<li>The company report 3Q22 net profit at Bt1.0bn(+49%YoY +32%QoQ).However, stripping out extra gain from asset valuation, AWC would incurred loss from operation at Bt11m, the lowest loss in ten quarter</li>
<li>Solid improvement in 3Q22 profit backed by Bangkok-MICE hotels This impressive recovery supported by hotel business,which generated revenue at Bt1.8bn(+575%YoY +38%QoQ)as occupancy is assumed to touch 55%(vs. 43% in 2Q22)</li>
<li>Retail and Commercial businesses are still on its gradual recovery pace given a lower rent discount subsided to renters to around10%from 2019 level (15% in 2Q22). Revenue expanded slightly QoQ </li>
</ul>


The company report 3Q22 net profit at Bt1.0bn(+49%YoY +32%QoQ).However, stripping out extra gain from asset valuation, AWC would incurred loss from operation at Bt11m, the lowest loss in ten quarter
Solid improvement in 3Q22 profit backed by Bangkok-MICE hotels This impressive recovery supported by hotel business,which generated revenue at Bt1.8bn(+575%YoY +38%QoQ)as occupancy is assumed to touch 55%(vs. 43% in 2Q22)
Retail and Commercial businesses are still on its gradual recovery pace given a lower rent discount subsided to renters to around10%from 2019 level (15% in 2Q22). Revenue expanded slightly QoQ 


AWC : 3Q22 Core Profit Beat Our Estimate but Below Market Expectation

<ul>
<li>Expect the company’s core operation to turn profit in4Q22,supported by solid recovery in hotels’ RevPar and lower rent discount given to tenants of retail space. Surging demand from business travelling </li>
<li>Solid improvement in 3Q22 profit backed by Bangkok-MICE hotels We expectAWC to post 3Q22 net loss from core operation at Bt44m supported by hotel business,which should post revenue at Bt1.7bn</li>
<li>Retail and Commercial businesses are still on its gradual recovery pace given a lower rent discount subsided to renters to around 10% from 2019 level(15% in2Q22). Revenue should recover 15%YoY</li>
</ul>


Expect the company’s core operation to turn profit in4Q22,supported by solid recovery in hotels’ RevPar and lower rent discount given to tenants of retail space. Surging demand from business travelling 
Solid improvement in 3Q22 profit backed by Bangkok-MICE hotels We expectAWC to post 3Q22 net loss from core operation at Bt44m supported by hotel business,which should post revenue at Bt1.7bn
Retail and Commercial businesses are still on its gradual recovery pace given a lower rent discount subsided to renters to around 10% from 2019 level(15% in2Q22). Revenue should recover 15%YoY


AWC : Solid Long-Term Earnings Growth, but on Demanding Valuation

<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

Asset World Corporation / Index Rebalance

<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

Thailand

Asset World Corporation invests in, develops, and manages real estate properties in Thailand, focusing on hospitality, lifestyle destinations, and commercial workspaces. The company operates through two segments: Hotel and Related Services, and Rental and Rendering of Commercial Building Services. It develops and owns hotels, community shopping malls, and mixed-use properties. Headquartered in Bangkok, Thailand, the company was founded in 2009.

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Asset World Corporation (AWC TB)

SET50 Index Rebalance Preview: Four Potential Changes in December

Following the market consultation, there could be 4 index change in December. Estimated one-way turnover is 8.1% and will result in a one-way trade...

Brian Freitas

AWC : 3Q22 Core Profit Beat Our Estimate but Below Market Expectation

The company report 3Q22 net profit at Bt1.0bn (+49%YoY +32%QoQ). However, stripping out extra gain from asset valuation, AWC would incurred loss...

Pi Securities PCL, Thailand

AWC : Solid Long-Term Earnings Growth, but on Demanding Valuation

Expect the company’s core operation to turn profit in 4Q22, supported by solid recovery in hotels’ RevPar and lower rent discount given to tenants...

Pi Securities PCL, Thailand

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

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