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

Head of Research, Krungthai XSpring

Waraporn Wiboonkanarak

Head of Research

A full service Thai brokerage

Krungthai XSpring

Krungthai XSpring is a full service broker. The company provides a wide range of investment services such as Securities Brokerage, Derivative Agent Business, Securities Borrowing and Lending, Securities Trading, Underwriting, Financial Advisory, Wealth Advisory, Private Fund Management and International Markets Securities Trading. 

In terms of credibility, Fitch Ratings has assigned Krunghtai XSpring a long-term rating of AA- and a national short-term rating of F1+ with stable outlook.

Thematic (Sector/Industry)

<ul><li>Technically, the SET Index is expected to move downward, with the support at 1,365/1,356 points and the resistance at 1,378/1,384 points (10-day EMA/50-day EMA).</li><li>As for the overall picture, the index is still moving within the downchannel range of 1,330-1,396 points.</li><li>Regarding the short-term picture, the index is tending to move in a downtrend direction toward testing the support of the range, with the minor support at 1,365/1,356 points, respectively. </li></ul>

Technically, the SET Index is expected to move downward, with the support at 1,365/1,356 points and the resistance at 1,378/1,384 points (10-day EMA/50-day EMA).As for the overall picture, the index is still moving within the downchannel range of 1,330-1,396 points.Regarding the short-term picture, the index is tending to move in a downtrend direction toward testing the support of the range, with the minor support at 1,365/1,356 points, respectively. 

Index Rebal Trades & Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal Trades & 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

Equity Bottom-Up

<ul><li>We maintain our Buy rating, with a new fair price of Bt46.07, vs. Bt56.43 previously, based on the earnings yield and a required return of 9.4% (vs. 8.0% previously) due to a higher risk-free rate, which is based on the current Thai 10Y bond yield assumption, up by 60 bps.</li><li>Meanwhile, our 2024-25E net profit forecasts have been revised down by 13-18%.</li><li>Our valuation metrics reflect strength in all dimensions, including the long-term profit growth prospects, with projected EPS growth at a 14% CAGR in 2024-26E.</li></ul>

We maintain our Buy rating, with a new fair price of Bt46.07, vs. Bt56.43 previously, based on the earnings yield and a required return of 9.4% (vs. 8.0% previously) due to a higher risk-free rate, which is based on the current Thai 10Y bond yield assumption, up by 60 bps.Meanwhile, our 2024-25E net profit forecasts have been revised down by 13-18%.Our valuation metrics reflect strength in all dimensions, including the long-term profit growth prospects, with projected EPS growth at a 14% CAGR in 2024-26E.

Srisawad Corporation -Attractive Valuation

<ul><li>SAWAD’s 4Q23 net profit of Bt1,216mn was in line with the Bloomberg consensus estimate of Bt1,267mn (+4% YoY, -9% QoQ).</li><li>The YoY earnings growth was driven by the expansion of the loan portfolio, which offset the increases in funding costs and provisions.</li><li>The QoQ decrease in earnings was blamed on the increase in the provision.</li></ul>

SAWAD’s 4Q23 net profit of Bt1,216mn was in line with the Bloomberg consensus estimate of Bt1,267mn (+4% YoY, -9% QoQ).The YoY earnings growth was driven by the expansion of the loan portfolio, which offset the increases in funding costs and provisions.The QoQ decrease in earnings was blamed on the increase in the provision.

Sawad - Earnings in Line with the Market Expectation; ECL Still Increasing

Thailand

Srisawad Corporation Public Company Limited operates as a consumer finance company. The Company provides personal secured loans, home loans, loans for international labors, and other related financial products. Srisawad offers its products and services to retail clients in Thailand.

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Srisawad Power 1979 (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

KTX Zoom - MARCH 29, 2024

Technically, the SET Index is expected to move downward, with the support at 1,365/1,356 points and the resistance at 1,378/1,384 points (10-day...

Krungthai XSpring

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

Ngern Tid Lor (TIDLOR TB) could outperform Aeon Thana Sinsap Thailand (AEONTS TB) and Bangchak Corporation (BCP TB) could outperform IRPC PCL...

Janaghan Jeyakumar, CFA

Srisawad Corporation -Attractive Valuation

We maintain our Buy rating, with a new fair price of Bt46.07, vs. Bt56.43 previously, based on the earnings yield and a required return of 9.4%...

Krungthai XSpring

Sawad - Earnings in Line with the Market Expectation; ECL Still Increasing

SAWAD’s 4Q23 net profit of Bt1,216mn was in line with the Bloomberg consensus estimate of Bt1,267mn (+4% YoY, -9% QoQ). The YoY earnings growth was...

Krungthai XSpring

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