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 Thailand's SET50 index rebalance in December 2023.</li>
<li>I currently see two ADDs and two DELs for the SET50 index but if prices fluctuate significantly in the next month or so there could be more changes.</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 Thailand's SET50 index rebalance in December 2023.
I currently see two ADDs and two DELs for the SET50 index but if prices fluctuate significantly in the next month or so there could be more changes.


Quiddity Leaderboard SET50 Dec 23: 2 ADDs/DELs Likely; DELTA DEL Unlikely

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>The coming week has the rebalance implementation for the NIFTY family of indices on Thursday and the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> on Friday.</li>
<li>The review period for the December rebalance of the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">Hang Seng China Enterprises Index</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">Hang Seng TECH Index</a> and the HSCI Index ends on Friday.</li>
<li>Inflows to mainland China ETFs resumed following a pause as markets continue to trade weak.</li>
</ul>


The coming week has the rebalance implementation for the NIFTY family of indices on Thursday and the Nikkei 225 (NKY INDEX) on Friday.
The review period for the December rebalance of the Hang Seng Index, Hang Seng China Enterprises Index, Hang Seng TECH Index and the HSCI Index ends on Friday.
Inflows to mainland China ETFs resumed following a pause as markets continue to trade weak.


Index Rebalance & ETF Flow Recap: HSI, HSCI, ASX, SET50, Wharf, SK Tel, Tata Motors, Midea, PCOMP

<ul>
<li>There could be two 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">SET50 INDEX</a> with <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> and <a href="https://www.smartkarma.com/entities/i-tail-corp-pcl" target="_blank" data-smartkarma-citation="entities:36428:1" rel="noopener">I-TAIL (ITC TB)</a> replacing <a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad Power (SAWAD TB)</a> and <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a>. </li>
<li>With no further inclusions on the Market Surveillance Measure list, <a href="https://www.smartkarma.com/entities/delta-electronics-thai-pcl" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thai (DELTA TB)</a> should be safe at the December rebalance.</li>
<li>There are a couple of stocks that are close to passing/failing the liquidity tests and that could result in further changes to the index.</li>
</ul>


There could be two changes for the SET50 INDEX with JMT Network Services (JMT TB) and I-TAIL (ITC TB) replacing Srisawad Power (SAWAD TB) and Ngern Tid Lor (TIDLOR TB). 
With no further inclusions on the Market Surveillance Measure list, Delta Electronics Thai (DELTA TB) should be safe at the December rebalance.
There are a couple of stocks that are close to passing/failing the liquidity tests and that could result in further changes to the index.


SET50 Index Rebalance Preview: Two Potential Changes in December

Pan-Asia Catalysts/Events, Quiddity Advisors

David Blennerhassett

Event-Driven

<ul>
<li>Marginal float helped fuel the <a href="https://www.smartkarma.com/entities/vinfast-auto-ltd" target="_blank" data-smartkarma-citation="entities:36550:1" rel="noopener">VinFast (VFS US)</a> bubble. Then it popped. </li>
<li>The <a href="https://www.smartkarma.com/entities/prosus-nv" target="_blank" data-smartkarma-citation="entities:28104:1" rel="noopener">Prosus (PRX NA)</a>/<a href="https://www.smartkarma.com/entities/naspers-ltd" target="_blank" data-smartkarma-citation="entities:21085:1" rel="noopener">Naspers (NPN SJ)</a> Circularity Detour and subsequent unwind created the B-Share construct which means they can maintain the voting control in South Africa without maintaining economic control.</li>
<li>The backlash against <a href="https://www.smartkarma.com/entities/star-cm-holdings-ltd" target="_blank" data-smartkarma-citation="entities:36658:1" rel="noopener">Star CM Holdings (6698 HK)</a> calls into question the broader Chinese entertainment industry, and how it strikes a balance between viewership/profitability and ethical boundaries.</li>
</ul>


Marginal float helped fuel the VinFast (VFS US) bubble. Then it popped. 
The Prosus (PRX NA)/Naspers (NPN SJ) Circularity Detour and subsequent unwind created the B-Share construct which means they can maintain the voting control in South Africa without maintaining economic control.
The backlash against Star CM Holdings (6698 HK) calls into question the broader Chinese entertainment industry, and how it strikes a balance between viewership/profitability and ethical boundaries.


Last Week In Event SPACE: Vingroup/VinFast, Prosus/Naspers, STAR CM

Delta Electronics Thailand  / Index Rebalance

<ul>
<li>In this insight, we take a look at the potential ADDs/DELs for Thailand's SET50 index rebalance in December 2023.</li>
<li>At present, I 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 TB)</a> as an expected ADD and <a href="https://www.smartkarma.com/entities/central-plaza-hotel-pcl" target="_blank" data-smartkarma-citation="entities:18213:1" rel="noopener">Central Plaza Hotel (CENTEL TB)</a> as an expected DEL.</li>
<li>Separately, <a href="https://www.smartkarma.com/entities/delta-electronics-thai-pcl" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thai (DELTA TB)</a> is two trading days away from skipping the MSM list in August 2023 and avoiding deletion in the December 2023 rebalance.</li>
</ul>


In this insight, we take a look at the potential ADDs/DELs for Thailand's SET50 index rebalance in December 2023.
At present, I see JMT Network Services (JMT TB) as an expected ADD and Central Plaza Hotel (CENTEL TB) as an expected DEL.
Separately, Delta Electronics Thai (DELTA TB) is two trading days away from skipping the MSM list in August 2023 and avoiding deletion in the December 2023 rebalance.


Quiddity Leaderboard SET50 Dec 23: JMT Network Addition and Centel Plaza Deletion Likely

Thailand

JMT Network Services PCL is involved in the debt collection business in Thailand.

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JMT Network Services (JMT TB)

Quiddity Leaderboard SET50 Dec 23: 2 ADDs/DELs Likely; DELTA DEL Unlikely

JMT and KCE are expected ADDs while TIDLOR and SAWAD are expected DELs for the SET50 index rebalance in December 2023. I continue to believe DELTA...

Janaghan Jeyakumar, CFA

Index Rebalance & ETF Flow Recap: HSI, HSCI, ASX, SET50, Wharf, SK Tel, Tata Motors, Midea, PCOMP

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

SET50 Index Rebalance Preview: Two Potential Changes in December

There could be 2 changes for the SET50 in Dec. With a couple of stocks close to liquidity thresholds, there could be more changes. DELTA should be...

Brian Freitas

Last Week In Event SPACE: Vingroup/VinFast, Prosus/Naspers, STAR CM

The weekend is here! Pour yourself a coffee, grab a comfortable seat, and sift through a brief summary of insights on various events discussed...

David Blennerhassett

Quiddity Leaderboard SET50 Dec 23: JMT Network Addition and Centel Plaza Deletion Likely

If you believe deletions fears have been factored into DELTA's share price, getting LONG DELTA vs the SET 50 index could be an interesting trade...

Janaghan Jeyakumar, CFA

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