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/fpt-corp" target="_blank" data-smartkarma-citation="entities:4290:1" rel="noopener">FPT Corp,</a><a href="https://www.smartkarma.com/entities/vietnam-airlines-jsc" target="_blank" data-smartkarma-citation="entities:24134:1" rel="noopener">Vietnam Airlines Jsc</a>, <a href="https://www.smartkarma.com/entities/saigon-thuong-tin-commercial-joint-stock-bank-sacombank" target="_blank" data-smartkarma-citation="entities:650:1" rel="noopener">Sacombank</a> and Gelex Electricity Jsc will be added to the MarketVector Vietnam Local Index at the close on 19 September.</li>
<li>Estimated one-way turnover is 9.5% and that results in a round-trip trade of US$112m. There are a couple of stocks with more than 1x ADV to buy from passives.</li>
<li>The largest passive inflow will be in <a href="https://www.smartkarma.com/entities/masan-group-corp" target="_blank" data-smartkarma-citation="entities:23075:1" rel="noopener">Masan Group (MSN VN)</a> following a large increase in the free float for the stock.</li>
</ul>



FPT Corp,Vietnam Airlines Jsc, Sacombank and Gelex Electricity Jsc will be added to the MarketVector Vietnam Local Index at the close on 19 September.
Estimated one-way turnover is 9.5% and that results in a round-trip trade of US$112m. There are a couple of stocks with more than 1x ADV to buy from passives.
The largest passive inflow will be in Masan Group (MSN VN) following a large increase in the free float for the stock.


MarketVector Vietnam Local Index Rebalance: 4 Adds; 9.5% Turnover; US$112m Trade

<ul>
<li>
<a href="https://www.smartkarma.com/entities/saigon-thuong-tin-commercial" target="_blank" data-smartkarma-citation="entities:650:1" rel="noopener">Saigon Thuong Tin Commercial (STB VN)</a> will be deleted from the MVIS Vietnam Index at the close of trading on 17 March.</li>
<li>One-Way turnover is 4.2% and the one-way trade is US$21m. There are two stocks where passive trackers need to buy over 1 day of ADV.</li>
<li>There have been big inflows to the <a href="https://www.smartkarma.com/entities/market-vectors-vietnam-etf" target="_blank" data-smartkarma-citation="entities:648:1" rel="noopener">Market Vectors Vietnam ETF (VNM US)</a> over the last three months as the index has traded near its lows.</li>
</ul>



Saigon Thuong Tin Commercial (STB VN) will be deleted from the MVIS Vietnam Index at the close of trading on 17 March.
One-Way turnover is 4.2% and the one-way trade is US$21m. There are two stocks where passive trackers need to buy over 1 day of ADV.
There have been big inflows to the Market Vectors Vietnam ETF (VNM US) over the last three months as the index has traded near its lows.


MVIS Vietnam Index Rebalance: One Deletion; Float & Capping Changes

<ul>
<li>
<a href="https://www.smartkarma.com/entities/hagl-jsc" target="_blank" data-smartkarma-citation="entities:6632:1" rel="noopener">Hagl Jsc (HAG VN)</a> is an inclusion while An Phat Holdings (APH VN) and CEO Group (CEO VN) are deletes from the MVIS Vietnam Index at the September rebalance.</li>
<li>There are a lot of float and capping changes that will result in one-way turnover of 12% and a one-way trade of US$45m.</li>
<li>There are a lot of stocks that have over 1 day of ADV to trade and there could be opportunities to enter/exit positions on a move in the stocks.</li>
</ul>



Hagl Jsc (HAG VN) is an inclusion while An Phat Holdings (APH VN) and CEO Group (CEO VN) are deletes from the MVIS Vietnam Index at the September rebalance.
There are a lot of float and capping changes that will result in one-way turnover of 12% and a one-way trade of US$45m.
There are a lot of stocks that have over 1 day of ADV to trade and there could be opportunities to enter/exit positions on a move in the stocks.


MVIS Vietnam Index Rebalance: One Add, Two Deletes

<ul>
<li>There are 8 additions to the MVIS Vietnam Index at the upcoming rebalance at the close on 18 March. Moderate impact on most of the adds.</li>
<li>There are some stocks that have large float changes; watch <a href="https://www.smartkarma.com/entities/saigon-thuong-tin-commercial" target="_blank" data-smartkarma-citation="entities:650:1" rel="noopener">Saigon Thuong Tin Commercial (STB VN)</a>. Over 1 day of ADV to sell on some stocks due to capping changes.</li>
<li>At the December rebalance, all 5 adds jumped the day post announcement and then stayed in a range till implementation of the changes.</li>
</ul>


There are 8 additions to the MVIS Vietnam Index at the upcoming rebalance at the close on 18 March. Moderate impact on most of the adds.
There are some stocks that have large float changes; watch Saigon Thuong Tin Commercial (STB VN). Over 1 day of ADV to sell on some stocks due to capping changes.
At the December rebalance, all 5 adds jumped the day post announcement and then stayed in a range till implementation of the changes.


MVIS Vietnam Index Rebalance: Eight Additions & Some Big Float Changes

Global Bank Equity Specialist, Creative Portfolios

Paul Hollingworth

Global Bank Equity Specialist

Creative Portfolios

Equity Bottom-Up

Sacombank or <a href="https://www.smartkarma.com/entities/saigon-thuong-tin-commercial" target="_blank" data-smartkarma-citation="entities:650:1" rel="noopener">Saigon Thuong Tin Commercial (STB VN)</a> is dedicated to mainly consumer lending and to a lesser extent the corporate segment, backed by source of funding from time deposits.FY20/19 results show positive fundamental momentum and trends with improvement in Profitability, in Efficiency, in NIM and Spread, in Asset Quality, and in Provisioning while Capital Adequacy and Liquidity showed some erosion. Growth in “Core Income” remains vibrant, especially in Net Interest Income, underpinned by forceful credit expansion and margin/spread enhancement, but also to a lesser extent in Fee and Commission streams.The improvement in Efficiency is noteworthy. We have seen the same trend in Thailand with the notable exception of BBL. In fact, Efficiency gains are a theme in global banking over the last 12 testing months.<div class="content-highlight">
A FV of 7%, a PBV of 1.07x, and an Earnings Yield of 9.0% are not unappealing. The bank commands both a high PH Score™ (7.7) and top quartile VFM ranking.
The PH Score™ is a fundamental momentum-quantamental score that scores banks according to changes in value-quality. The Score encompasses Profitability, Operating Efficiency, Liquidity, Capital, Asset Quality, and Coverage as well as a valuation variable. Scores lie between 0 and 10, with higher scores representing more positive signs. The PH Score™ was back tested over 2007-17 for global banks and conclusively shows progressively higher returns across quintiles ranked by Score. 
VFM combines the PH Score™ with technical and valuation filters.
</div>

Sacombank or Saigon Thuong Tin Commercial (STB VN) is dedicated to mainly consumer lending and to a lesser extent the corporate segment, backed by source of funding from time deposits.FY20/19 results show positive fundamental momentum and trends with improvement in Profitability, in Efficiency, in NIM and Spread, in Asset Quality, and in Provisioning while Capital Adequacy and Liquidity showed some erosion. Growth in “Core Income” remains vibrant, especially in Net Interest Income, underpinned by forceful credit expansion and margin/spread enhancement, but also to a lesser extent in Fee and Commission streams.The improvement in Efficiency is noteworthy. We have seen the same trend in Thailand with the notable exception of BBL. In fact, Efficiency gains are a theme in global banking over the last 12 testing months.
A FV of 7%, a PBV of 1.07x, and an Earnings Yield of 9.0% are not unappealing. The bank commands both a high PH Score™ (7.7) and top quartile VFM ranking.
The PH Score™ is a fundamental momentum-quantamental score that scores banks according to changes in value-quality. The Score encompasses Profitability, Operating Efficiency, Liquidity, Capital, Asset Quality, and Coverage as well as a valuation variable. Scores lie between 0 and 10, with higher scores representing more positive signs. The PH Score™ was back tested over 2007-17 for global banks and conclusively shows progressively higher returns across quintiles ranked by Score. 
VFM combines the PH Score™ with technical and valuation filters.


Saigon Thuong: Efficiency Gains and “Core Income” Growth Drivers

Vietnam

Sacombank is a Vietnamese commercial joint stock bank offering a wide range of financial services, including personal and corporate banking, cards, loans, savings, insurance, and digital banking solutions. It provides various products such as credit cards, debit cards, business and home loans, and life insurance. Headquartered in Ho Chi Minh City, Vietnam, the bank was established on December 21, 1991.

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Sacombank (STB VN)

MarketVector Vietnam Local Index Rebalance: 4 Adds; 9.5% Turnover; US$112m Trade

FPT Group, Vietnam Airlines, Sacombank, Gelex Electricity will be added to the index. Big float increase for Gelex Elec. Estimated one-way turnover...

Brian Freitas

MVIS Vietnam Index Rebalance: One Deletion; Float & Capping Changes

There is one deletion from the index, plus a bunch of changes to float and capping factors. One-way turnover is 4.2% and passives need to buy over...

Brian Freitas

MVIS Vietnam Index Rebalance: One Add, Two Deletes

There is 1 addition and 2 deletions for the MVIS Vietnam Index. There are a lot of float and capping changes that will result in one-way turnover...

Brian Freitas

MVIS Vietnam Index Rebalance: Eight Additions & Some Big Float Changes

There are 8 additions and quite a few float changes to the MVIS Vietnam Index at the March rebalance. The one-way trade is US$80m and over a day of...

Brian Freitas

Saigon Thuong: Efficiency Gains and “Core Income” Growth Drivers

SACOMBANK screens well regionally and on a global basis. The bank combines well above-average fundamental trends with support from valuation and...

Paul Hollingworth

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