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>We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.</li>
<li>India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.</li>
<li>A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.</li>
</ul>


We look at the performance of the index rebalance strategy over the year using weekly forecasts. In short, it has been a mixed bag for Asia.
India and China have been among the worst performing markets in the region while Australia and Korea have been among the better performers.
A lot of the outperformance appears to be front loaded, so getting the forecasts right early in the review period is of paramount importance.


Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

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 on the Stock Exchange of Thailand (SET).</li>
<li>In this insight, we take a look at the potential ADDs/DELs for SET 50 in the run up to the index rebal event in June 2025.</li>
<li>The GULF-INTUCH M&amp;A event could trigger an intra-review change within the next few weeks. Then there could be more regular index changes in 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 take a look at the potential ADDs/DELs for SET 50 in the run up to the index rebal event in June 2025.
The GULF-INTUCH M&amp;A event could trigger an intra-review change within the next few weeks. Then there could be more regular index changes in June 2025.


Quiddity Leaderboard SET50 Jun25: One Intra-Review Replacement Soon! Three Regular Changes Later

Cal Comp Electronics Thailand / Index Rebalance

<ul>
<li>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 December.</li>
<li>All changes are in line with our forecasts and there appears to be positioning in all the stocks.</li>
<li>
<a href="https://www.smartkarma.com/entities/cal-comp-electronics-thailand-ef79c197-e6a6-4130-8221-aced0c735b11" target="_blank" data-smartkarma-citation="entities:20764:1" rel="noopener">Cal Comp Electronics Thailand (CCET TB)</a> will have the largest passive buying a percentage of free float and could be the stock to watch.</li>
</ul>


There will be 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the close on 30 December.
All changes are in line with our forecasts and there appears to be positioning in all the stocks.

Cal Comp Electronics Thailand (CCET TB) will have the largest passive buying a percentage of free float and could be the stock to watch.


SET50 Index Rebalance: Four Changes; Cal Comp🚀

<ul>
<li>With 3 trading days left in the review period, we forecast 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 December rebalance.</li>
<li>Passive trackers will need to buy between 1.2-3.6 days of ADV on the inclusions and sell between 0.3-3.1 days of ADV on the deletions.</li>
<li>The forecast adds have continued to outperform the forecast deletes and there could be more movement in stocks with relatively high ADV to trade.</li>
</ul>


With 3 trading days left in the review period, we forecast 4 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) at the December rebalance.
Passive trackers will need to buy between 1.2-3.6 days of ADV on the inclusions and sell between 0.3-3.1 days of ADV on the deletions.
The forecast adds have continued to outperform the forecast deletes and there could be more movement in stocks with relatively high ADV to trade.


SET50 Index Rebalance Preview: 4 Changes Coming Up in December

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>KTX expects the index to move in a sideways up pattern, with resistance at 1,472/1,494 points and support at 1,423/1,405 points.</li><li>Highlights impacting the market include: i) the 3Q24E earnings results (US and Thai banks); ii) US election on November 5 (Harris or Trump?); iii) results of the Bank of Thailand’s MPC meeting (first signal of a rate cut?), and iv) the Pheu Thai government gradually rolling out additional economic stimulus measures.</li><li>Risks include geopolitical tensions in the Middle East, global financial market volatility leading up to the US election, and profit taking by foreign investors after the support from the Vayupak Fund fades</li></ul>

KTX expects the index to move in a sideways up pattern, with resistance at 1,472/1,494 points and support at 1,423/1,405 points.Highlights impacting the market include: i) the 3Q24E earnings results (US and Thai banks); ii) US election on November 5 (Harris or Trump?); iii) results of the Bank of Thailand’s MPC meeting (first signal of a rate cut?), and iv) the Pheu Thai government gradually rolling out additional economic stimulus measures.Risks include geopolitical tensions in the Middle East, global financial market volatility leading up to the US election, and profit taking by foreign investors after the support from the Vayupak Fund fades

Thailand

The Thailand SET 50 Index is a capitalization-weighted index based on the top 50 stocks listed on the Bangkok SET index having high market capitalizatin and high liquidity. The index was developed with a base value of 100 as of August 16 1995

Stock Exchange of Thailand SET 50 Index (SET50 INDEX)

Stock Exchange of Thailand SET 50 Index (SET50 INDEX)

Index Rebalance Strategy YTD Performance: Not Many Places to Hide in Asia

A positive start to the year for Asia index rebals has turned negative as the momentum/ value unwind began a few weeks ago. Higher volatility and a...

Brian Freitas

Quiddity Leaderboard SET50 Jun25: One Intra-Review Replacement Soon! Three Regular Changes Later

VGI PCL (VGI TB) and Bangchak Corporation (BCP TB) are the two names leading the race to become the intra-review SET50 ADD for the GULF-INTUCH...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance: Four Changes; Cal Comp🚀

There are 4 changes for the SET50, in line with forecast. Cal Comp float is limited, and the stock could move higher - the stock should also be...

Brian Freitas

SET50 Index Rebalance Preview: 4 Changes Coming Up in December

There should be 4 changes to the SET50 in Dec. Passive trackers will need to trade between 0.3-3.6x ADV on the changes. The adds have outperformed...

Brian Freitas

Monthly Report: October 2024

KTX expects the index to move in a sideways up pattern, with resistance at 1,472/1,494 points and support at 1,423/1,405 points.

Krungthai XSpring