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>With 8 trading days left in the review period, we forecast 3 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 (SET50 INDEX)</a> in June.</li>
<li>Capping changes for <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> will result in big passive selling in the stock and funding inflows for the other index constituents.</li>
<li>The forecast adds have drifted lower over the last 6 months and outperformed 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> while the deletes have dropped a lot and underperformed the index.</li>
</ul>


With 8 trading days left in the review period, we forecast 3 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) in June.
Capping changes for Delta Electronics Thailand (DELTA TB) will result in big passive selling in the stock and funding inflows for the other index constituents.
The forecast adds have drifted lower over the last 6 months and outperformed the SET 50 Index while the deletes have dropped a lot and underperformed the index.


SET50 Index Rebalance Preview: Capping DELTA & Constituent Changes

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).</li>
<li>Here we look at the potential ADDs/DELs and capping flows for SET 50 for the June 2025 index rebalance. Currently, we expect three ADDs and three DELs for June 2025.</li>
<li>Last time we didn't like the look of the trades, so recommended avoiding. ExpectedADDs underperformed ExpectedDELETEs by 13% since then. Expected Flows remain small.</li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).
Here we look at the potential ADDs/DELs and capping flows for SET 50 for the June 2025 index rebalance. Currently, we expect three ADDs and three DELs for June 2025.
Last time we didn't like the look of the trades, so recommended avoiding. ExpectedADDs underperformed ExpectedDELETEs by 13% since then. Expected Flows remain small.


Quiddity Leaderboard SET50 Jun25: Capping Expected for DELTA; Three Index Changes Likely

<ul>
<li>The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in June 2025.</li>
<li>Currently, we expect four ADDs and four DELs. There are roughly two more months left in the reference period.</li>
</ul>


The SET50 index tracks the performance of the top 50 largest and most liquid names listed on the Stock Exchange of Thailand (SET).
In this insight, we take a look at the potential ADDs/DELs for SET 50 during the index rebal event in June 2025.
Currently, we expect four ADDs and four DELs. There are roughly two more months left in the reference period.


Quiddity Leaderboard SET50 Jun25: Four Changes Likely; Capping to Be Introduced

<ul>
<li>There will be 4 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 (SET50 INDEX)</a> at the close on 28 June.</li>
<li>All changes are in line with our forecasts, but one stock could be a surprise inclusion for some.</li>
<li>Passive trackers will need to buy 3.9% of float in <a href="https://www.smartkarma.com/entities/i-tail-corp-pcl" target="_blank" data-smartkarma-citation="entities:36428:1" rel="noopener">I-TAIL</a>, 3.7% of float in <a href="https://www.smartkarma.com/entities/berli-jucker-public-co-ltd" target="_blank" data-smartkarma-citation="entities:3685:1" rel="noopener">Berli Jucker</a>, 1.5% of float in <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern TidLor</a> and 1% of float in <a href="https://www.smartkarma.com/entities/bangchak-corporation-public-company-limited" target="_blank" data-smartkarma-citation="entities:15875:1" rel="noopener">Bangchak Corporation</a>.</li>
</ul>


There will be 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the close on 28 June.
All changes are in line with our forecasts, but one stock could be a surprise inclusion for some.
Passive trackers will need to buy 3.9% of float in I-TAIL, 3.7% of float in Berli Jucker, 1.5% of float in Ngern TidLor and 1% of float in Bangchak Corporation.


SET50 Index Rebalance: 4 Changes Next Week; One Could Surprise

<ul>
<li>The June 2024 index changes for Thailand's SET 50 index were announced after market close yesterday (17th June 2024).</li>
<li>Initially we <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-set50-jun-24-3-changes-likely-banpu-still-not-safe-from-deletion" target="_blank" rel="noopener">expected only three changes</a> but after the index methodology was revised in May 2024, we <a href="https://www.smartkarma.com/insights/quiddity-leaderboard-set50-jun-24-banpu-vs-sawad-has-to-be-monitored-closely" target="_blank" rel="noopener">revised our expectations</a> and we had 4 expected ADDs/DELs.</li>
<li>All 4 expected ADDs/DELs turned out to correct. In this insight, we take a look at our estimation of expected flows and potential trade ideas based on the flow dynamics.</li>
</ul>


The June 2024 index changes for Thailand's SET 50 index were announced after market close yesterday (17th June 2024).
Initially we expected only three changes but after the index methodology was revised in May 2024, we revised our expectations and we had 4 expected ADDs/DELs.
All 4 expected ADDs/DELs turned out to correct. In this insight, we take a look at our estimation of expected flows and potential trade ideas based on the flow dynamics.


Quiddity SET 50 Jun 24 Rebal: 4 Changes Confirmed; LONGs up 5.2% Vs SHORTs in a Month

Thailand

i-Tail Corporation Public Company Limited manufactures and exports pet food products. The Company offers sea food, meat chunks, and loaf products for pets. i-Tail serves customers worldwide.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

I-TAIL (ITC TB)

SET50 Index Rebalance Preview: Capping DELTA & Constituent Changes

There should be 3 constituent changes in June and large selling in DELTA due to capping. Passive trackers will need to buy 1.5-3.8x ADV in the adds...

Brian Freitas

Quiddity Leaderboard SET50 Jun25: Capping Expected for DELTA; Three Index Changes Likely

We estimate the one-way flow for SET50 during the June 2025 rebalance to be ~US$67mn which translates to a turnover of 2.9%.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SET50 Jun25: Four Changes Likely; Capping to Be Introduced

There could be 4x ADV to buy in Thanachart (TCAP TB) and we see this as a high-conviction ADD. Some of the other ADDs/DELs are closer to the border...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance: 4 Changes Next Week; One Could Surprise

The SET50 Index rebalances at the close on Friday. Most stocks are up since the announcement of the changes and the deletes could come under...

Brian Freitas

Quiddity SET 50 Jun 24 Rebal: 4 Changes Confirmed; LONGs up 5.2% Vs SHORTs in a Month

Our sector-neutral trade ideas have generated a long-short return of 5.2% in a month which was significantly better than being LONG 4 Expected ADDs...

Janaghan Jeyakumar, CFA

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)