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

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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/bangkok-life-assurance-pcl" target="_blank" data-smartkarma-citation="entities:16237:1" rel="noopener">Bangkok Life Assurance (BLA)</a>, <a href="https://www.smartkarma.com/entities/jmt-network-services-pcl" target="_blank" data-smartkarma-citation="entities:8581:1" rel="noopener">JMT Network Services (JMT)</a> and <a href="https://www.smartkarma.com/entities/jaymart-pcl" target="_blank" data-smartkarma-citation="entities:12053:1" rel="noopener">Jaymart (JMART)</a> will replace <a href="https://www.smartkarma.com/entities/com7-pcl" target="_blank" data-smartkarma-citation="entities:27411:1" rel="noopener">Com7 (COM7)</a>, <a href="https://www.smartkarma.com/entities/ratch-group-pcl" target="_blank" data-smartkarma-citation="entities:15338:1" rel="noopener">Ratch Group (RATCH)</a> and <a href="https://www.smartkarma.com/entities/sri-trang-gloves-thailand-public-company-limited" target="_blank" data-smartkarma-citation="entities:29141:1" rel="noopener">Sri Trang Gloves (STGT)</a> in 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>Estimated one-way turnover is 2.1% and will result in a one-way trade of THB 1,914m. There is little funding flow on the other index stocks.</li>
<li>The inclusion of <a href="https://www.smartkarma.com/entities/bangkok-life-assurance-pcl" target="_blank" data-smartkarma-citation="entities:16237:1" rel="noopener">Bangkok Life Assurance (BLA TB)</a> is a minor surprise. The deletion of <a href="https://www.smartkarma.com/entities/com7-pcl" target="_blank" data-smartkarma-citation="entities:27411:1" rel="noopener">Com7 PCL (COM7 TB)</a> is a much bigger surprise.</li>
</ul>



Bangkok Life Assurance (BLA), JMT Network Services (JMT) and Jaymart (JMART) will replace Com7 (COM7), Ratch Group (RATCH) and Sri Trang Gloves (STGT) in the SET50 INDEX.
Estimated one-way turnover is 2.1% and will result in a one-way trade of THB 1,914m. There is little funding flow on the other index stocks.
The inclusion of Bangkok Life Assurance (BLA TB) is a minor surprise. The deletion of Com7 PCL (COM7 TB) is a much bigger surprise.


SET50 Index Rebalance: BLA, JMT, JMART Added; COM7, RATCH, STGT Out

<ul>
<li>The market cap and liquidity review period for the June 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> ended yesterday.</li>
<li>
<a href="https://www.smartkarma.com/entities/jmt-network-services-pcl" target="_blank" data-smartkarma-citation="entities:8581:1" rel="noopener">JMT Network Services (JMT TB)</a>, <a href="https://www.smartkarma.com/entities/jaymart-pcl" target="_blank" data-smartkarma-citation="entities:12053:1" rel="noopener">Jaymart PCL (JMART TB)</a> and <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> could replace <a href="https://www.smartkarma.com/entities/sri-trang-gloves-thailand-public-company-limited" target="_blank" data-smartkarma-citation="entities:29141:1" rel="noopener">Sri Trang Gloves (STGT TB)</a>, <a href="https://www.smartkarma.com/entities/ratch-group-pcl" target="_blank" data-smartkarma-citation="entities:15338:1" rel="noopener">Ratch Group PCL (RATCH TB)</a> and <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL (IRPC)</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/asset-world-corp-pcl" target="_blank" data-smartkarma-citation="entities:28136:1" rel="noopener">Asset World Corporation (AWC TB)</a> could be deleted depending on which levers the index committee tweaks, and that could save <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL (IRPC TB)</a> from index deletion.</li>
</ul>


The market cap and liquidity review period for the June rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) ended yesterday.

JMT Network Services (JMT TB), Jaymart PCL (JMART TB) and Berli Jucker (BJC TB) could replace Sri Trang Gloves (STGT TB), Ratch Group PCL (RATCH TB) and IRPC PCL (IRPC).

Asset World Corporation (AWC TB) could be deleted depending on which levers the index committee tweaks, and that could save IRPC PCL (IRPC TB) from index deletion.


SET50 Index Rebalance Preview: Two High Probability Changes; One Low

CEO, A. Stotz Investment Research

Dr. Andrew Stotz, CFA

Quantamental Investing to beat Benchmarks

A. Stotz Investment Research

We pick stocks. We construct portfolios. All our effort is focused on how to better pick stocks and construct portfolios. We serve fund management companies, family offices, and high net worth individuals.

Thematic (Sector/Industry)

<ul>
<li>We highlight 14 stocks in ASEAN that look interesting to us based on our FVMR Methodology</li>
<li>Portfolio changes: Three stocks remain, 11 new join the fray</li>
<li>Since inception, the portfolio has gained 195% versus MSCI ASEAN’s 27%</li>
</ul>


We highlight 14 stocks in ASEAN that look interesting to us based on our FVMR Methodology
Portfolio changes: Three stocks remain, 11 new join the fray
Since inception, the portfolio has gained 195% versus MSCI ASEAN’s 27%


<ul>
<li>We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology</li>
<li>Portfolio changes: Five stocks remain, nine new join the fray</li>
<li>Since inception, the portfolio has gained 170% versus MSCI ASEAN’s 23%</li>
</ul>


We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology
Portfolio changes: Five stocks remain, nine new join the fray
Since inception, the portfolio has gained 170% versus MSCI ASEAN’s 23%


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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