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> has been added to 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> following the <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">Total Access Communication (DTAC TB)</a> / <a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">True Corp Pcl (TRUE TB)</a> merger.</li>
<li>Passive <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> trackers will need to buy 9.7m shares (THB 534m; 1x ADV) of <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> at the close of trading today.</li>
<li>There could be two more changes in June with relatively new listings, <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> and <a href="https://www.smartkarma.com/entities/betagro-pcl" target="_blank" data-smartkarma-citation="entities:36222:1" rel="noopener">Betagro (BTG TB)</a>, being added to 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>.</li>
</ul>



Srisawad Power 1979 (SAWAD TB) has been added to the SET50 INDEX following the Total Access Communication (DTAC TB) / True Corp Pcl (TRUE TB) merger.
Passive SET50 INDEX trackers will need to buy 9.7m shares (THB 534m; 1x ADV) of Srisawad Power 1979 (SAWAD TB) at the close of trading today.
There could be two more changes in June with relatively new listings, Thai Life Insurance (TLI TB) and Betagro (BTG TB), being added to the SET50 INDEX.


SET50 Index Rebalance: SAWAD Added; Buying at the Close Today

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

<ul>
<li>The completion of the <a href="https://www.smartkarma.com/entities/total-access-communication" target="_blank" data-smartkarma-citation="entities:948:1" rel="noopener">Total Access Communication (DTAC TB)</a> - <a href="https://www.smartkarma.com/entities/true-corp-pcl" target="_blank" data-smartkarma-citation="entities:8:1" rel="noopener">True Corp Pcl (TRUE TB)</a> merger could cause an intra-review change next week.</li>
<li>There could be two more index changes in the regular review in June 2023.</li>
<li>In this insight, we take a look at the current rankings of potential ADDs and potential DELs and their recent price and volume performance. </li>
</ul>


The completion of the Total Access Communication (DTAC TB) - True Corp Pcl (TRUE TB) merger could cause an intra-review change next week.
There could be two more index changes in the regular review in June 2023.
In this insight, we take a look at the current rankings of potential ADDs and potential DELs and their recent price and volume performance. 


Quiddity Leaderboard for SET Jun 23: DTAC-TRUE Intra-Review Changes

<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

<ul>
<li>In this insight, we take a look at the potential ADDs/DELs for the SET50 index rebalance in June 2023.</li>
<li>Based on the latest available data, I expect 3 ADDs/DELs but there are multiple names lurking close to the border.</li>
<li>
<a href="https://www.smartkarma.com/entities/srisawad-corp-pcl" target="_blank" data-smartkarma-citation="entities:9480:1" rel="noopener">Srisawad (SAWAD TB)</a>  and <a href="https://www.smartkarma.com/entities/sansiri-public-co-ltd" target="_blank" data-smartkarma-citation="entities:12201:1" rel="noopener">Sansiri Public (SIRI TB)</a> are leading the SET50 and SET100 Reserve Lists respectively and could become intra-review ADDs if the DTAC-TRUE merger closes in 1H 2023.</li>
</ul>


In this insight, we take a look at the potential ADDs/DELs for the SET50 index rebalance in June 2023.
Based on the latest available data, I expect 3 ADDs/DELs but there are multiple names lurking close to the border.

Srisawad (SAWAD TB)  and Sansiri Public (SIRI TB) are leading the SET50 and SET100 Reserve Lists respectively and could become intra-review ADDs if the DTAC-TRUE merger closes in 1H 2023.


Quiddity Leaderboard for Thailand SET50 Jun 23:Ramkhamhaeng Hospital Is an Interesting Case

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

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: SAWAD Added; Buying at the Close Today

SAWAD will be added to the SET50 index at the close today following the DTAC/TRUE merger. TLI and BTG could then replace JMART and TIDLOR in June,...

Brian Freitas

Quiddity Leaderboard for SET Jun 23: DTAC-TRUE Intra-Review Changes

There could be 8.2mn shares to buy in Srisawad which translates to an estimated impact of 0.8 days of volume and a flow size of US$13mn.

Janaghan Jeyakumar, CFA

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

Quiddity Leaderboard for Thailand SET50 Jun 23:Ramkhamhaeng Hospital Is an Interesting Case

There could be 15 days of volume to buy in Ramkhamhaeng Hospital (RAM TB) if the name achieves a 15% relative gain vs other names and becomes a...

Janaghan Jeyakumar, CFA

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

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