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>With the review period complete, <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL (KCE TB)</a> should replace <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a> in 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> at the December rebalance.</li>
<li>Liquidity is poor in <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> and <a href="https://www.smartkarma.com/entities/thai-life-insurance-pcl" target="_blank" data-smartkarma-citation="entities:34915:1" rel="noopener">Thai Life Insurance (TLI TB)</a> but the stocks should be maintained in the index.</li>
<li>Passive trackers will need to buy 0.9x ADV (1.2% of float) of <a href="https://www.smartkarma.com/entities/kce-electronics-pcl" target="_blank" data-smartkarma-citation="entities:1892:1" rel="noopener">KCE Electronics PCL (KCE TB)</a> and sell 0.8x ADV (1.6% of float) of <a href="https://www.smartkarma.com/entities/ngern-tid-lor-pcl" target="_blank" data-smartkarma-citation="entities:31103:1" rel="noopener">Ngern Tid Lor (TIDLOR TB)</a>.</li>
</ul>


With the review period complete, KCE Electronics PCL (KCE TB) should replace Ngern Tid Lor (TIDLOR TB) in the SET50 INDEX at the December rebalance.
Liquidity is poor in Intouch Holdings (INTUCH TB) and Thai Life Insurance (TLI TB) but the stocks should be maintained in the index.
Passive trackers will need to buy 0.9x ADV (1.2% of float) of KCE Electronics PCL (KCE TB) and sell 0.8x ADV (1.6% of float) of Ngern Tid Lor (TIDLOR TB).


SET50 Index Rebalance Preview: KCE Could Replace TIDLOR

<ul>
<li>There were a bunch of indices where the review period ended last week. The changes will be announced this month and implemented in December.</li>
<li>
<a href="https://www.smartkarma.com/entities/emerald-resources-nl" target="_blank" data-smartkarma-citation="entities:17495:1" rel="noopener">Emerald Resources Nl (EMR AU)</a> replaced <a href="https://www.smartkarma.com/entities/invocare-ltd" target="_blank" data-smartkarma-citation="entities:9044:1" rel="noopener">Invocare Ltd (IVC AU)</a> in the <a href="https://www.smartkarma.com/entities/s-p-asx-200" target="_blank" data-smartkarma-citation="entities:22901:1" rel="noopener">S&amp;P/ASX 200 (AS51 INDEX)</a> at the close on Friday.</li>
<li>There were large outflows from mainland China listed ETFs during the week. Outflows from <a href="https://www.smartkarma.com/entities/ishares-msci-emerging-markets" target="_blank" data-smartkarma-citation="entities:438:1" rel="noopener">iShares Emerging Markets (EEM US)</a> continued for another week.</li>
</ul>


There were a bunch of indices where the review period ended last week. The changes will be announced this month and implemented in December.

Emerald Resources Nl (EMR AU) replaced Invocare Ltd (IVC AU) in the S&amp;P/ASX 200 (AS51 INDEX) at the close on Friday.
There were large outflows from mainland China listed ETFs during the week. Outflows from iShares Emerging Markets (EEM US) continued for another week.


Index Rebalance & ETF Flow Recap: NEXT50, SET50, L&F, Onewo, Celltrion, AMFI

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.

Equity Bottom-Up

<ul><li>Technically, the SET Index is expected to rebound further, with the resistance at 1,490/1,495 points and the support at 1,470/1,465 points, after the occurrence of a reversal sign yesterday for the first time in nine days (a candlestick formed in the bullish engulfing pattern).</li><li>The key factors today include the rebalancing of the SET50/SET100 Indexes in 2H23, which will have an impact on the closing prices for the first day.</li><li>We recommend stocks with positive factors, i.e., TLI and WHA (newly added to the SET50 Index), as well as ERW, as the number of tourist arrivals from the beginning of the year until June 26 marked at 12.4mn (vs. the 2023E target of 28mn).</li></ul>

Technically, the SET Index is expected to rebound further, with the resistance at 1,490/1,495 points and the support at 1,470/1,465 points, after the occurrence of a reversal sign yesterday for the first time in nine days (a candlestick formed in the bullish engulfing pattern).The key factors today include the rebalancing of the SET50/SET100 Indexes in 2H23, which will have an impact on the closing prices for the first day.We recommend stocks with positive factors, i.e., TLI and WHA (newly added to the SET50 Index), as well as ERW, as the number of tourist arrivals from the beginning of the year until June 26 marked at 12.4mn (vs. the 2023E target of 28mn).

<ul>
<li>There were a couple of ad hoc rebalances in Korea last week for the <a href="https://www.smartkarma.com/entities/korea-stock-exchange-kospi-200" target="_blank" data-smartkarma-citation="entities:26021:1" rel="noopener">Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY)</a> and <a href="https://www.smartkarma.com/entities/kosdaq-150-index" target="_blank" data-smartkarma-citation="entities:31077:1" rel="noopener">KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY)</a>. </li>
<li>Coming Friday will mark the end of the review period for the next rebalance of 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</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, LQ45, <a href="https://www.smartkarma.com/entities/philippines-stock-exchange-psei-index" target="_blank" data-smartkarma-citation="entities:22912:1" rel="noopener">PCOMP</a> as well as 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</a> June implementation.</li>
<li>With Japan indices moving higher, the largest inflows went into ETFs tracking the <a href="https://www.smartkarma.com/entities/nikkei-225" target="_blank" data-smartkarma-citation="entities:22909:1" rel="noopener">Nikkei 225 (NKY INDEX)</a> and other local/global indices.</li>
</ul>


There were a couple of ad hoc rebalances in Korea last week for the Korea Stock Exchange KOSPI 200 (KOSPI2 INDEX EQUITY) and KOSDAQ 150 Index (KOSDQ150 INDEX EQUITY). 
Coming Friday will mark the end of the review period for the next rebalance of the HSI, HSCEI, HSTECH, HSCI, LQ45, PCOMP as well as the SET50 June implementation.
With Japan indices moving higher, the largest inflows went into ETFs tracking the Nikkei 225 (NKY INDEX) and other local/global indices.


Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

<ul><li>Technically, the SET Index is expected to weaken, with the support at 1,520/1,507 points and the resistance at 1,535/1,546 points, based on the influence of the rounding-top downtrend pattern.</li><li>Today's highlights are still focused on external factors.</li><li>We still expect the Fed to maintain its hawkish stance and reaffirm the necessity of further interest rate hikes to bring inflation down to the target of 2%.</li></ul>

Technically, the SET Index is expected to weaken, with the support at 1,520/1,507 points and the resistance at 1,535/1,546 points, based on the influence of the rounding-top downtrend pattern.Today's highlights are still focused on external factors.We still expect the Fed to maintain its hawkish stance and reaffirm the necessity of further interest rate hikes to bring inflation down to the target of 2%.

Thailand

Thai Life Insurance Public Company Limited provides a comprehensive range of life insurance products in Thailand, including whole life, endowment, annuity, term life, investment-linked, group life, and personal accident insurance. They also offer health and retirement plans, serving customers through agent and multi-channel partnerships such as commercial banks and digital platforms. The company was founded in 1942 and is headquartered in Bangkok, Thailand.

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Thai Life Insurance (TLI TB)

SET50 Index Rebalance Preview: KCE Could Replace TIDLOR

KCE Electronics could replace TIDLOR in the SET50. There are a few stocks close to the liquidity thresholds, but that is unlikely to result in any...

Brian Freitas

Index Rebalance & ETF Flow Recap: NEXT50, SET50, L&F, Onewo, Celltrion, AMFI

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Today's Dominant Ideas

Technically, the SET Index is expected to rebound further, with the resistance at 1,490/1,495 points and the support at 1,470/1,465 points, after...

Krungthai XSpring

Index Rebalance & ETF Flow Recap: NKY, KOSPI2, New Deal, SET50, MOG Digitech, Syngenta IPO

This recap highlights Insights covering Asian index rebalances (announcements/ forecasts/ IPO Fast Entry/ M&A driven changes). We also highlight...

Brian Freitas

Today's Dominant Ideas

Technically, the SET Index is expected to weaken, with the support at 1,520/1,507 points and the resistance at 1,535/1,546 points, based on the...

Krungthai XSpring

Price Gauge

52-week Range

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