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

<ul>
<li>
<a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad Power 1979 (SAWAD TB)</a> is likely to join 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 early March following the DTAC/TRUE merger.</li>
<li>Then there should be one change in June with <a href="https://www.smartkarma.com/entities/thai-life-insurance" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> replacing <a href="https://www.smartkarma.com/entities/jaymart-pcl" target="_blank" data-smartkarma-citation="entities:12053:1" rel="noopener">Jaymart PCL (JMART TB)</a> in the index.</li>
<li>There is one stock close to failing the liquidity test and that could lead to another change with a few stocks vying for index inclusion.</li>
</ul>



Srisawad Power 1979 (SAWAD TB) is likely to join the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) in early March following the DTAC/TRUE merger.
Then there should be one change in June with Thai Life Insurance (TLI TB) replacing Jaymart PCL (JMART TB) in the index.
There is one stock close to failing the liquidity test and that could lead to another change with a few stocks vying for index inclusion.


SET50 Index Rebalance Preview: Changes from Now to 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>The SET Index is expected to move sideways, with the resistance at 1,620/1,625 points and the support at 1,610/1,603 points.</li><li>The market may be pressured by the third reading of US 3Q22 GDP at 3.2% QoQ, which was higher than the first and second readings, increasing the concern about more aggressive Fed rate hikes.</li><li>Recommended stocks for trading buy: KBANK, HMPRO and CPN</li></ul>

The SET Index is expected to move sideways, with the resistance at 1,620/1,625 points and the support at 1,610/1,603 points.The market may be pressured by the third reading of US 3Q22 GDP at 3.2% QoQ, which was higher than the first and second readings, increasing the concern about more aggressive Fed rate hikes.Recommended stocks for trading buy: KBANK, HMPRO and CPN

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Delta Electronics (Thailand) / Index Rebalance

<ul>
<li>The index changes for the <a href="https://www.smartkarma.com/entities/stock-exchange-of-thailand-set-index" target="_blank" data-smartkarma-citation="entities:22915:1" rel="noopener">Thailand SET Index (SET INDEX)</a> for the December 2022 Rebalance were announced yesterday (20th December 2022) after the close.</li>
<li>There will be four ADDs/DELs for the SET 50 index. </li>
<li>In this insight, we take a closer look at our expectations for index flows and potential trading ideas.</li>
</ul>


The index changes for the Thailand SET Index (SET INDEX) for the December 2022 Rebalance were announced yesterday (20th December 2022) after the close.
There will be four ADDs/DELs for the SET 50 index. 
In this insight, we take a closer look at our expectations for index flows and potential trading ideas.


Thailand SET 50 Dec 22 Rebal: Good Hit Rate, Successful Pre-Event Trade, Unwind Now

<ul>
<li>
<a href="https://www.smartkarma.com/entities/central-plaza-hotel-pcl" target="_blank" data-smartkarma-citation="entities:18213:1" rel="noopener">Central Plaza Hotel</a>, <a href="https://www.smartkarma.com/entities/com7-pcl" target="_blank" data-smartkarma-citation="entities:27411:1" rel="noopener">Com7 PCL</a>, <a href="https://www.smartkarma.com/entities/delta-electronics-thai-pcl" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thai</a> and <a href="https://www.smartkarma.com/entities/ratch-group-pcl" target="_blank" data-smartkarma-citation="entities:15338:1" rel="noopener">Ratch Group</a> will replace <a href="https://www.smartkarma.com/entities/bangkok-life-assurance-pcl" target="_blank" data-smartkarma-citation="entities:16237:1" rel="noopener">Bangkok Life Assurance</a>, <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL</a>, <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL</a> and <a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad Power</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">SET 50 Index</a>. </li>
<li>Passive trackers will need to buy between 2-4 days of ADV on the adds while selling between 0.6-3 days of ADV on the deletes.</li>
<li>The adds have significantly outperformed the deletes over the last few months. We'd use any big moves over the next couple of days to trim positions.</li>
</ul>



Central Plaza Hotel, Com7 PCL, Delta Electronics Thai and Ratch Group will replace Bangkok Life Assurance, IRPC PCL, KCE Electronics PCL and Srisawad Power in the SET 50 Index. 
Passive trackers will need to buy between 2-4 days of ADV on the adds while selling between 0.6-3 days of ADV on the deletes.
The adds have significantly outperformed the deletes over the last few months. We'd use any big moves over the next couple of days to trim positions.


SET50 Index Rebalance: CENTEL, COM7, DELTA, RATCH Added; BLA, IRPC, KCE, SAWAD Out

<ul><li>The SET Index is expected to move sideways up, with the resistance at 1,625/1,635 points and the support at 1,610/1,603 points.</li><li>Positive momentum will be generated by i) some good news from the Cabinet meeting concerning measures aimed at boosting the economy, which should be positive to domestic-consumption related stocks and the tourism sector; ii) US housing starts in November, which are expected to continue to slow down, helping to further reduce inflation.</li><li>Meanwhile, the negative momentum may be caused by concerns over a possible US economic recession as a result of the Fed's rate hikes, as well as the increase in the number of COVID-19 infections in China, which has led to school closures in Shanghai.</li></ul>

The SET Index is expected to move sideways up, with the resistance at 1,625/1,635 points and the support at 1,610/1,603 points.Positive momentum will be generated by i) some good news from the Cabinet meeting concerning measures aimed at boosting the economy, which should be positive to domestic-consumption related stocks and the tourism sector; ii) US housing starts in November, which are expected to continue to slow down, helping to further reduce inflation.Meanwhile, the negative momentum may be caused by concerns over a possible US economic recession as a result of the Fed's rate hikes, as well as the increase in the number of COVID-19 infections in China, which has led to school closures in Shanghai.

Thailand

IRPC is a leading integrated petroleum and petrochemical company, operating the first fully integrated petrochemical complex in Southeast Asia. It refines oil and produces petrochemical products, including various plastic resins, olefins, aromatics, lubricants, and asphalt, serving diverse industries. The company's operations are primarily located in Rayong Province, Thailand, and it was founded in 1978.

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IRPC (IRPC-R TB)

SET50 Index Rebalance Preview: Changes from Now to June

SAWAD could be added to the index in March. Then TLI should replace JMART in June. INTUCH is a close delete on liquidity and there are multiple...

Brian Freitas

Recommendation: Brief Speculation

The SET Index is expected to move sideways, with the resistance at 1,620/1,625 points and the support at 1,610/1,603 points. The market may be...

Krungthai XSpring

Thailand SET 50 Dec 22 Rebal: Good Hit Rate, Successful Pre-Event Trade, Unwind Now

Quiddity's Long Expected ADDs - SHORT Expected DELs trade has delivered a net positive return of 3.6% in 14 trading days. It might be time to...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance: CENTEL, COM7, DELTA, RATCH Added; BLA, IRPC, KCE, SAWAD Out

There are 4 changes for the SET50 Index in Dec, all in line with forecasts. Passive trackers will need to buy between 2-4 days ADV on the adds...

Brian Freitas

Market Outlook

The SET Index is expected to move sideways up, with the resistance at 1,625/1,635 points and the support at 1,610/1,603 points. Positive momentum...

Krungthai XSpring

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