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

ASEAN Insight Provider, CrossASEAN Research

Angus Mackintosh

ASEAN Insight Provider

CrossASEAN Research

At CrossASEAN Research we strive to produce unbiased and differentiated on the ground insights on companies across South East Asia. Our Research is produced for the most part after face to face meetings and conversations with company management to dig deep into the long term vision and strategy of the companies we cover. We seek to deliver investable and actionable themes on sectors and markets across SE Asia, often in collaboration with other Insight Providers across the region, pooling the vast experience of the analysts within the Smartkarma Ecosystem. We also offer bespoke work and tailor made trips for our clients. 

Insights across South East Asia

Cross Asset Strategy

<ul>
<li>The Week That Was in ASEAN@Smartkarma is filled with an eclectic mix of differentiated, substantive, and actionable insights, macro and equity bottom-up, from across South East Asia.</li>
<li>The past week saw insights on <a href="https://www.smartkarma.com/entities/pt-avia-avian" target="_blank" data-smartkarma-citation="entities:35034:1" rel="noopener">PT Avia Avian (AVIA IJ)</a>, <a href="https://www.smartkarma.com/entities/mitra-adiperkasa-tbk-pt" target="_blank" data-smartkarma-citation="entities:18684:1" rel="noopener">Mitra Adiperkasa (MAPI IJ)</a>, <a href="https://www.smartkarma.com/entities/grab-holdings-inc" target="_blank" data-smartkarma-citation="entities:26950:1" rel="noopener">Grab (GRAB US)</a>, <a href="https://www.smartkarma.com/entities/heineken-malaysia-bhd" target="_blank" data-smartkarma-citation="entities:12647:1" rel="noopener">Heineken Malaysia Bhd (HEIM MK)</a> and a lot more besides.</li>
<li>There were also sector pieces on Asian Tourism, Thai Banks, and Indonesian Banks plus our usual value-added commentary on the past week's developments in South-East Asia.</li>
</ul>


The Week That Was in ASEAN@Smartkarma is filled with an eclectic mix of differentiated, substantive, and actionable insights, macro and equity bottom-up, from across South East Asia.
The past week saw insights on PT Avia Avian (AVIA IJ), Mitra Adiperkasa (MAPI IJ), Grab (GRAB US), Heineken Malaysia Bhd (HEIM MK) and a lot more besides.
There were also sector pieces on Asian Tourism, Thai Banks, and Indonesian Banks plus our usual value-added commentary on the past week's developments in South-East Asia.


The Week That Was in ASEAN@Smartkarma - Avian Paint, Grab's Surprise, and Heineken for Tourists

<ul>
<li>The market cap 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> starts in a couple of weeks.</li>
<li>Using the last close, we see <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/bangkok-life-assurance-pcl" target="_blank" data-smartkarma-citation="entities:16237:1" rel="noopener">Bangkok Life Assurance (BLA)</a> as potential inclusions, replacing <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/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL (KCE TB)</a>.</li>
<li>
<a href="https://www.smartkarma.com/entities/ratch-group-pcl" target="_blank" data-smartkarma-citation="entities:15338:1" rel="noopener">Ratch Group PCL</a> is the lowest ranked index constituent and needs to move 15% higher to avoid deletion. Passive trackers will need to sell nearly 4 days of ADV.</li>
</ul>


The market cap review period for the June rebalance of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) starts in a couple of weeks.
Using the last close, we see JMT Network Services (JMT) and Bangkok Life Assurance (BLA) as potential inclusions, replacing Ratch Group PCL (RATCH TB) and KCE Electronics PCL (KCE TB).

Ratch Group PCL is the lowest ranked index constituent and needs to move 15% higher to avoid deletion. Passive trackers will need to sell nearly 4 days of ADV.


SET50 Index Rebalance Preview (June): Two Changes, Maybe Three

Thailand

Electricity Generating Public Company Limited is an electric utility holding company.  The Company, through its two major subsidiaries, produces and supplies electricity to the Electricity Generating Authority of Thailand (EGAT), under long term power purchase agreements of 20 and 15 years.  It also operates energy related businesses through joint ventures.

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Electricity Generating (EGCO TB)

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

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

BLA, JMT & JMART replace COM7, RATCH & STGT in the SET50 Idx after the close on 30 June. The inclusion of BLA is a small surprise, while the...

Brian Freitas

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

We see 2 high probability changes and 1 low probability change at the June review of the SET50 Index. JMT, JMART & BJC could replace STGT, RATCH &...

Brian Freitas

The Week That Was in ASEAN@Smartkarma - Avian Paint, Grab's Surprise, and Heineken for Tourists

The Week That Was in ASEAN@Smartkarma is filled with an eclectic mix of differentiated, substantive, and actionable insights, macro and equity...

Angus Mackintosh

SET50 Index Rebalance Preview (June): Two Changes, Maybe Three

JMT and BLA could replace RATCH and KCE in the SET50 index at the June rebalance. There could be an adhoc change if the DTAC/TRUE merger is...

Brian Freitas

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