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>Nearing the halfway mark in the review period, we see 3 potential 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 June rebalance.</li>
<li>Passive trackers will need to buy between 1.2-4.5 days of ADV on the inclusions and sell 0.9-1.3 days of ADV on the deletions.</li>
<li>
<a href="https://www.smartkarma.com/entities/berli-jucker-public-co-ltd" target="_blank" data-smartkarma-citation="entities:3685:1" rel="noopener">Berli Jucker (BJC TB)</a> continues to be a close add on liquidity while <a href="https://www.smartkarma.com/entities/gulf-energy-development-pcl" target="_blank" data-smartkarma-citation="entities:26038:1" rel="noopener">Gulf Energy Development (GULF TB)</a> and <a href="https://www.smartkarma.com/entities/intouch-holdings-pcl" target="_blank" data-smartkarma-citation="entities:17638:1" rel="noopener">Intouch Holdings (INTUCH TB)</a> continue to be close deletes.</li>
</ul>


Nearing the halfway mark in the review period, we see 3 potential changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the June rebalance.
Passive trackers will need to buy between 1.2-4.5 days of ADV on the inclusions and sell 0.9-1.3 days of ADV on the deletions.

Berli Jucker (BJC TB) continues to be a close add on liquidity while Gulf Energy Development (GULF TB) and Intouch Holdings (INTUCH TB) continue to be close deletes.


SET50 Index Rebalance Preview: Three Potential Changes in June

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/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 in the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET during the index rebal event in June 2024.</li>
<li>The 3-month reference period used for average market cap rankings started on 1st March 2024 and as things stand, there could be three ADDs/DELs in June 2024.</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 SET during the index rebal event in June 2024.
The 3-month reference period used for average market cap rankings started on 1st March 2024 and as things stand, there could be three ADDs/DELs in June 2024.


Quiddity Leaderboard SET50 Jun 24: Reference Period Begins; Three Changes Likely; Some Trade Ideas

<ul>
<li>There were index review announcements for the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a>, <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index" target="_blank" data-smartkarma-citation="entities:22900:1" rel="noopener">HSCEI INDEX</a>, <a href="https://www.smartkarma.com/entities/hang-seng-tech-index" target="_blank" data-smartkarma-citation="entities:31367:1" rel="noopener">HSTECH</a>, HSCI, HSIII and some global indices last week.</li>
<li>There are a bunch of review cutoffs early in the coming week followed by announcements for the <a href="https://www.smartkarma.com/entities/sse-science-and-technology-innovation-board-50-index" target="_blank" data-smartkarma-citation="entities:29279:1" rel="noopener">STAR50 INDEX</a> and STAR100 Index later in the week.</li>
<li>Another week of outflows for <a href="https://www.smartkarma.com/entities/tracker-fund-of-hong-kong-ltd" target="_blank" data-smartkarma-citation="entities:29257:1" rel="noopener">Tracker Fund of Hong Kong (2800 HK)</a> and <a href="https://www.smartkarma.com/entities/hang-seng-china-enterprises-index-etf" target="_blank" data-smartkarma-citation="entities:25:1" rel="noopener">Hang Seng H Share ETF (2828 HK)</a> as inflows to <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets-223f5da3-7054-4e4f-bc55-b7f0852c2581" target="_blank" data-smartkarma-citation="entities:31998:1" rel="noopener">iShares Emerging Markets ex-China (EMXC US)</a> continue.</li>
</ul>


There were index review announcements for the HSI, HSCEI INDEX, HSTECH, HSCI, HSIII and some global indices last week.
There are a bunch of review cutoffs early in the coming week followed by announcements for the STAR50 INDEX and STAR100 Index later in the week.
Another week of outflows for Tracker Fund of Hong Kong (2800 HK) and Hang Seng H Share ETF (2828 HK) as inflows to iShares Emerging Markets ex-China (EMXC US) continue.


Index Rebalance & ETF Flow Recap: HSI, Screen Holdings, GMRI, SEA EM, MVIS, SET50, JP Positioning

<ul>
<li>Early days, but there could be three 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</a> at the June rebalance. Two names are reversals of the December changes.</li>
<li>Passive trackers will need to buy between 1.5-3.6 days of ADV on the inclusions and sell 1.1-1.4 days of ADV on the deletions.</li>
<li>There are a couple of stocks that are close to passing/failing the liquidity tests and a couple close to cutoff ranks. That could result in further changes to the index.</li>
</ul>


Early days, but there could be three changes for the Stock Exchange of Thailand SET 50 Index at the June rebalance. Two names are reversals of the December changes.
Passive trackers will need to buy between 1.5-3.6 days of ADV on the inclusions and sell 1.1-1.4 days of ADV on the deletions.
There are a couple of stocks that are close to passing/failing the liquidity tests and a couple close to cutoff ranks. That could result in further changes to the index.


<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 only one ADD and one DEL for the SET 50 index and with more than 90% of the reference period complete, these are my final expectations.</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 only one ADD and one DEL for the SET 50 index and with more than 90% of the reference period complete, these are my final expectations.


Quiddity Leaderboard SET50 Dec 23: Final Expectations; Only ONE Change Likely

Thailand

Srisawad Corporation Public Company Limited is a Thai financial services company specializing in retail credit systems, including hire-purchase, secured loans for vehicles, homes, and land, and unsecured personal loans. The company also engages in non-performing asset management and debt collection services. It was founded in 1979 and is headquartered in Bangkok, Thailand.

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Srisawad (SAWAD TB)

SET50 Index Rebalance Preview: Three Potential Changes in June

There could be 3 changes for the SET50 Index in June. There are a few stocks that are close adds/deletes on liquidity and that will need to be...

Brian Freitas

Quiddity Leaderboard SET50 Jun 24: Reference Period Begins; Three Changes Likely; Some Trade Ideas

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Index Rebalance & ETF Flow Recap: HSI, Screen Holdings, GMRI, SEA EM, MVIS, SET50, JP Positioning

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: Three Potential Changes in June

There could be 3 changes for the SET50 in June. Big moves in liquidity could result in more changes for the index. With the index using full market...

Brian Freitas

Quiddity Leaderboard SET50 Dec 23: Final Expectations; Only ONE Change Likely

The SET 50 Dec 23 index review results could be announced in the next few days. In this insight, I have discussed my final expectations for index...

Janaghan Jeyakumar, CFA

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