Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed in the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.</li>
<li>The 3-month reference period used for average market cap rankings started on 1st March 2024 and as things stand, there could be three ADDs/DELs in June 2024.</li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed in the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.
The 3-month reference period used for average market cap rankings started on 1st March 2024 and as things stand, there could be three ADDs/DELs in June 2024.


Quiddity Leaderboard SET50 Jun 24: Reference Period Begins; Three Changes Likely; Some Trade Ideas

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

<ul>
<li>There were index review announcements for the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI INDEX</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, HSIII and some global indices last week.</li>
<li>There are a bunch of review cutoffs early in the coming week followed by announcements for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and STAR100 Index later in the week.</li>
<li>Another week of outflows for <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> and <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share ETF (2828 HK)</a> as inflows to <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets ex-China (EMXC US)</a> continue.</li>
</ul>


There were index review announcements for the HSI, HSCEI INDEX, HSTECH, HSCI, HSIII and some global indices last week.
There are a bunch of review cutoffs early in the coming week followed by announcements for the STAR50 INDEX and STAR100 Index later in the week.
Another week of outflows for Tracker Fund of Hong Kong (2800 HK) and Hang Seng H Share ETF (2828 HK) as inflows to iShares Emerging Markets ex-China (EMXC US) continue.


Index Rebalance & ETF Flow Recap: HSI, Screen Holdings, GMRI, SEA EM, MVIS, SET50, JP Positioning

<ul>
<li>Early days, but there could be three 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</a> at the June rebalance. Two names are reversals of the December changes.</li>
<li>Passive trackers will need to buy between 1.5-3.6 days of ADV on the inclusions and sell 1.1-1.4 days of ADV on the deletions.</li>
<li>There are a couple of stocks that are close to passing/failing the liquidity tests and a couple close to cutoff ranks. That could result in further changes to the index.</li>
</ul>


Early days, but there could be three changes for the Stock Exchange of Thailand SET 50 Index at the June rebalance. Two names are reversals of the December changes.
Passive trackers will need to buy between 1.5-3.6 days of ADV on the inclusions and sell 1.1-1.4 days of ADV on the deletions.
There are a couple of stocks that are close to passing/failing the liquidity tests and a couple close to cutoff ranks. That could result in further changes to the index.


SET50 Index Rebalance Preview: Three Potential Changes in June

Head of Research, Krungthai XSpring

Waraporn Wiboonkanarak

Head of Research

A full service Thai brokerage

Krungthai XSpring

Krungthai XSpring is a full service broker. The company provides a wide range of investment services such as Securities Brokerage, Derivative Agent Business, Securities Borrowing and Lending, Securities Trading, Underwriting, Financial Advisory, Wealth Advisory, Private Fund Management and International Markets Securities Trading. 

In terms of credibility, Fitch Ratings has assigned Krunghtai XSpring a long-term rating of AA- and a national short-term rating of F1+ with stable outlook.

Equity Bottom-Up

<ul>
<li>1Q23E earnings to grow 6% YoY to Bt827mn: The earnings growth should be bolstered by expected sales growth of 18% YoY, driven by surging iPhone demand after the restocking in late 2022 to reap the benefits of the “Shop and Refund” scheme.</li>
<li>The GPM, however, is estimated to narrow to 13.2% from 13.7% last year.</li>
<li>New business expansion: COM7 targets to add 240 new stores (average: 174 new stores/year in the past five years), bringing the total to 1,400 stores by the end of 2023, with most to be stand-alone stores.</li>
</ul>


1Q23E earnings to grow 6% YoY to Bt827mn: The earnings growth should be bolstered by expected sales growth of 18% YoY, driven by surging iPhone demand after the restocking in late 2022 to reap the benefits of the “Shop and Refund” scheme.
The GPM, however, is estimated to narrow to 13.2% from 13.7% last year.
New business expansion: COM7 targets to add 240 new stores (average: 174 new stores/year in the past five years), bringing the total to 1,400 stores by the end of 2023, with most to be stand-alone stores.


Thematic (Sector/Industry)

<ul><li>Thai exports are likely to continue contracting in 2023E amid the economic slowdowns in key trading partners, namely the US and Europe, which are facing risk of recessions.</li><li>However, we view that China’s reopening may boost Thai exports to the country, which have declined for seven straight months, enabling them to eventually turn positive and thereby pushing up the overall export sector this year.</li><li>As for our investment view, we are bearish on export stocks, as they will not only be negatively impacted by the global economic slowdown but also by the appreciation of the baht, especially with the US economy at risk of a recession, as this would reduce the value of export revenue in baht terms for export-related firms.</li></ul>

Thai exports are likely to continue contracting in 2023E amid the economic slowdowns in key trading partners, namely the US and Europe, which are facing risk of recessions.However, we view that China’s reopening may boost Thai exports to the country, which have declined for seven straight months, enabling them to eventually turn positive and thereby pushing up the overall export sector this year.As for our investment view, we are bearish on export stocks, as they will not only be negatively impacted by the global economic slowdown but also by the appreciation of the baht, especially with the US economy at risk of a recession, as this would reduce the value of export revenue in baht terms for export-related firms.

Exports & Imports - Thai Exports in December Contracted by 14.6% YoY

Thailand

Com7 Public Company Limited operates a chain of retail outlets that imports, retails, and distributes computers and IT-related products in Thailand. The Company offers products, such as smartphones, tablets, notebooks, and computer sets. Com7 also offers computer components, such as CPUs, hard drives, and network and accessories.

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Com7 (COM7 TB)

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SET50 Index Rebalance Preview: Three Potential Changes in June

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Brian Freitas

Big Cap Update - COM7 Plc. (COM7)

The earnings growth should be bolstered by expected sales growth of 18% YoY, driven by surging iPhone demand after the restocking in late 2022 to...

Krungthai XSpring

Exports & Imports - Thai Exports in December Contracted by 14.6% YoY

Thai exports are likely to continue contracting in 2023E amid the economic slowdowns in key trading partners, namely the US and Europe, which are...

Krungthai XSpring

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