CEO, A. Stotz Investment Research

Dr. Andrew Stotz, CFA

Quantamental Investing to beat Benchmarks

A. Stotz Investment Research

We pick stocks. We construct portfolios. All our effort is focused on how to better pick stocks and construct portfolios. We serve fund management companies, family offices, and high net worth individuals.

Thematic (Sector/Industry)

We highlight 14 stocks in Asia that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the Asian markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or some combination thereof.

We highlight 14 stocks in Asia that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the Asian markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or some combination thereof.

We highlight 14 stocks in ASEAN that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the ASEAN markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or some combination thereof.

We highlight 14 stocks in ASEAN that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the ASEAN markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or some combination thereof.

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Event-Driven

The Stock Exchange of Thailand (SET) has commenced a market consultation on changing 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>, SET100 and SETHD indices to free float market cap weighted indices from the upcoming rebalance in June.The market consultation document is short on detail, but the main points are the change in index calculation from full market cap weighted to free float market cap weighted, implementation of the changes in two tranches at the June and December reviews, and implementation of quarterly changes in free float for moves of +/-5%.The biggest uncertainty for us is whether the selection of the stocks for inclusion/exclusion will use the full market cap or the free float market cap.Using the full market cap for stock selection could see 3 changes at the upcoming June review, while using free float market cap for stock selection could result in up to 6 changes at the review. The two step implementation of the free float changes will dampen the index turnover but it will still be relatively high, ranging from a one-way turnover of 7.8% for changes in free float only to 9.52% if the stock selection methodology uses free float market cap.In this Insight, we look at the proposed changes and enumerate three scenarios, the changes they will entail, the impact on the stocks and the turnover for each scenario.

The Stock Exchange of Thailand (SET) has commenced a market consultation on changing the Stock Exchange of Thailand SET 50 Index (SET50 INDEX), SET100 and SETHD indices to free float market cap weighted indices from the upcoming rebalance in June.The market consultation document is short on detail, but the main points are the change in index calculation from full market cap weighted to free float market cap weighted, implementation of the changes in two tranches at the June and December reviews, and implementation of quarterly changes in free float for moves of +/-5%.The biggest uncertainty for us is whether the selection of the stocks for inclusion/exclusion will use the full market cap or the free float market cap.Using the full market cap for stock selection could see 3 changes at the upcoming June review, while using free float market cap for stock selection could result in up to 6 changes at the review. The two step implementation of the free float changes will dampen the index turnover but it will still be relatively high, ranging from a one-way turnover of 7.8% for changes in free float only to 9.52% if the stock selection methodology uses free float market cap.In this Insight, we look at the proposed changes and enumerate three scenarios, the changes they will entail, the impact on the stocks and the turnover for each scenario.

SET50 Index - Proposed Methodology Changes: Scenarios, Names Affected & Impact

We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the Thai market to try to find interesting ideas base upon Fundamentals or Valuation or Momentum or Risk or some combination thereof.

We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology. Our research team constantly reviews the Thai market to try to find interesting ideas base upon Fundamentals or Valuation or Momentum or Risk or some combination thereof.

The Stocks to Own in Thailand – Vol. 32

Index Rebalance

<div>The Stock Exchange of Thailand (SET) will announce the results of the semi-annual review of 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 mid-June and the changes will be effective after the close of trading on 30 June.</div><div>
The review period for market cap calculations runs from 1 March to 31 May, while the liquidity calculations run from 1 June 2020 to 31 May 2021.
We see three potential changes at the current time with an estimated one-way turnover for the rebalance at 2.19%.
Potential inclusions are <a href="https://www.smartkarma.com/entities/sri-trang-gloves-thailand-public-company-limited" target="_blank" data-smartkarma-citation="entities:29141:1" rel="noopener">Sri Trang Gloves (Thailand) Public Company Limited (STGT TB)</a>, <a href="https://www.smartkarma.com/entities/sri-trang-agro-industry-pcl" target="_blank" data-smartkarma-citation="entities:2759:1" rel="noopener">Sri Trang Agro Industry (STA TB)</a> and <a href="https://www.smartkarma.com/entities/irpc-pcl" target="_blank" data-smartkarma-citation="entities:19051:1" rel="noopener">IRPC PCL (IRPC TB)</a>.
Potential deletions are <a href="https://www.smartkarma.com/entities/vgi-pcl" target="_blank" data-smartkarma-citation="entities:12409:1" rel="noopener">VGI PCL (VGI TB)</a>, <a href="https://www.smartkarma.com/entities/com7-pcl" target="_blank" data-smartkarma-citation="entities:27411:1" rel="noopener">Com7 PCL (COM7 TB)</a> and <a href="https://www.smartkarma.com/entities/toa-paint-thailand-pcl" target="_blank" data-smartkarma-citation="entities:24235:1" rel="noopener">TOA Paint (Thailand) (TOA TB)</a>.
<a href="https://www.smartkarma.com/entities/kerry-express-thailand" target="_blank" data-smartkarma-citation="entities:29253:1" rel="noopener">Kerry Express Thailand (KEX TB)</a> will not completed six months of trading history by the end of the review period and will not be eligible for inclusion at the June rebalance.
There is a possibility that 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> methodology is changed to make it a free float weighted market cap index from a full market cap index. That will see a lot of passive flow on some stocks that have a low free float.
</div>

The Stock Exchange of Thailand (SET) will announce the results of the semi-annual review of the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) in mid-June and the changes will be effective after the close of trading on 30 June.
The review period for market cap calculations runs from 1 March to 31 May, while the liquidity calculations run from 1 June 2020 to 31 May 2021.
We see three potential changes at the current time with an estimated one-way turnover for the rebalance at 2.19%.
Potential inclusions are Sri Trang Gloves (Thailand) Public Company Limited (STGT TB), Sri Trang Agro Industry (STA TB) and IRPC PCL (IRPC TB).
Potential deletions are VGI PCL (VGI TB), Com7 PCL (COM7 TB) and TOA Paint (Thailand) (TOA TB).
Kerry Express Thailand (KEX TB) will not completed six months of trading history by the end of the review period and will not be eligible for inclusion at the June rebalance.
There is a possibility that the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) methodology is changed to make it a free float weighted market cap index from a full market cap index. That will see a lot of passive flow on some stocks that have a low free float.


SET50 Index Rebalance Preview: Potentially Three Changes & Move to Free Float Weighting

Thailand

Thai Union Group Public Company Limited provides frozen and canned seafood products. The Company offers seafood products including tuna, sardines, mackerel, herring, and salmon. Thai Union Group serves customers worldwide.

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Thai Union Group (TU-R TB)

The Stocks to Own in Asia – Vol. 32

Our research team constantly reviews the Asian markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or...

A. Stotz Investment Research

The Stocks to Own in ASEAN – Vol. 34

Our research team constantly reviews the ASEAN markets to try to find interesting ideas based on Fundamentals or Valuation or Momentum or Risk or...

A. Stotz Investment Research

SET50 Index - Proposed Methodology Changes: Scenarios, Names Affected & Impact

The SET has commenced a market consultation on the proposed changes to make its indices free float market cap weighted. We look at the impact on...

Brian Freitas

The Stocks to Own in Thailand – Vol. 32

A. Stotz Thai Portfolio: We highlight 14 stocks in Thailand that look interesting to us based upon our FVMR Methodology.

A. Stotz Investment Research

SET50 Index Rebalance Preview: Potentially Three Changes & Move to Free Float Weighting

There could be 3 changes to the SET50 at the June review with STGT, STA & IRPC joining the index at the expense of VGI, TOA & COM7. The methodology...

Brian Freitas

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