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 on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at our capping flow expectations for the September 2025 index rebal event.</li>
<li>We have also presented our index change expectations for the next semiannual index review in December 2025 (regular ADDs/DELs only take place in June and December).</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 our capping flow expectations for the September 2025 index rebal event.
We have also presented our index change expectations for the next semiannual index review in December 2025 (regular ADDs/DELs only take place in June and December).


Quiddity Leaderboard SET50 Dec25: Capping Flows in September and Index Changes in December

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

Delta Electronics Thailand  / Index Rebalance

<ul>
<li>In line with forecasts, 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 30 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>Positioning appears to be a lot smaller in the adds compared to the deletes. There could be buying in the deletes on a drop in the stock price.</li>
</ul>


In line with forecasts, there will be 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the close on 30 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.
Positioning appears to be a lot smaller in the adds compared to the deletes. There could be buying in the deletes on a drop in the stock price.


SET50 Index Rebalance: Four Changes in Two Weeks; DELTA Capping Too

<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 present our final expectations for ADDs/DELs for the index rebal event in June 2025.</li>
<li>We expect three ADDs and three DELs for June 2025.</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 present our final expectations for ADDs/DELs for the index rebal event in June 2025.
We expect three ADDs and three DELs for June 2025.


Quiddity Leaderboard SET50 Jun25: Final Expectations; 3 Changes Expected + Delta Capping

<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

<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

Thailand

Kiatnakin Bank Public Company Limited provides commercial banking services including commercial, developmental, consumer, hire-purchase, and mortgage financing to its customers in Thailand. The Company also provides securities brokerage and investment advisory services.

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Kiatnakin Bank (KKP TB)

Quiddity Leaderboard SET50 Dec25: Capping Flows in September and Index Changes in December

There are currently two potential ADDs and two potential DELs which are close to triggering index changes in December 2025. Relative price...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance: Four Changes in Two Weeks; DELTA Capping Too

There are 4 changes, plus DELTA capping. Impact on the adds is bigger and positioning appears smaller. The deletes are down a lot and there could...

Brian Freitas

Quiddity Leaderboard SET50 Jun25: Final Expectations; 3 Changes Expected + Delta Capping

The three expected ADDs have outperformed the three expected DELs over the last 1-month, 3-month, and 1-year periods. This could continue over the...

Janaghan Jeyakumar, CFA

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

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