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

Delta Electronics (Thailand) / Index Rebalance

<ul>
<li>With 8 trading days left in the review period, we forecast 3 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> in June.</li>
<li>Capping changes for <a href="https://www.smartkarma.com/entities/delta-electronics-thailand-pcl-98806732-8ac4-42b2-a565-ba32673d1e5a" target="_blank" data-smartkarma-citation="entities:20912:1" rel="noopener">Delta Electronics Thailand (DELTA TB)</a> will result in big passive selling in the stock and funding inflows for the other index constituents.</li>
<li>The forecast adds have drifted lower over the last 6 months and outperformed 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">SET 50 Index</a> while the deletes have dropped a lot and underperformed the index.</li>
</ul>


With 8 trading days left in the review period, we forecast 3 changes for the Stock Exchange of Thailand SET 50 Index (SET50 INDEX) in June.
Capping changes for Delta Electronics Thailand (DELTA TB) will result in big passive selling in the stock and funding inflows for the other index constituents.
The forecast adds have drifted lower over the last 6 months and outperformed the SET 50 Index while the deletes have dropped a lot and underperformed the index.


SET50 Index Rebalance Preview: Capping DELTA & Constituent Changes

Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/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>Here we look at the potential ADDs/DELs and capping flows for SET 50 for the June 2025 index rebalance. Currently, we expect three ADDs and three DELs for June 2025.</li>
<li>Last time we didn't like the look of the trades, so recommended avoiding. ExpectedADDs underperformed ExpectedDELETEs by 13% since then. Expected Flows remain small.</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).
Here we look at the potential ADDs/DELs and capping flows for SET 50 for the June 2025 index rebalance. Currently, we expect three ADDs and three DELs for June 2025.
Last time we didn't like the look of the trades, so recommended avoiding. ExpectedADDs underperformed ExpectedDELETEs by 13% since then. Expected Flows remain small.


Quiddity Leaderboard SET50 Jun25: Capping Expected for DELTA; Three Index Changes Likely

<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 during the index rebal event in June 2025.</li>
<li>Currently, we expect four ADDs and four DELs. There are roughly two more months left in the reference period.</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 during the index rebal event in June 2025.
Currently, we expect four ADDs and four DELs. There are roughly two more months left in the reference period.


Quiddity Leaderboard SET50 Jun25: Four Changes Likely; Capping to Be Introduced

<ul>
<li>
<a href="https://www.smartkarma.com/entities/vgi-pcl" target="_blank" data-smartkarma-citation="entities:12409:1" rel="noopener">VGI PCL (VGI TB)</a> could be 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> later this month following the <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> / <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> merger.</li>
<li>Then there could be 3 or 4 more changes to the index at the June rebalance. The review period has just commenced so price moves will move the list around.</li>
<li>Passive trackers will need to buy around 1.85% of float in <a href="https://www.smartkarma.com/entities/vgi-pcl" target="_blank" data-smartkarma-citation="entities:12409:1" rel="noopener">VGI PCL (VGI TB)</a> while buying in the other stocks will be between 1-1.2% of float.</li>
</ul>



VGI PCL (VGI TB) could be added to the SET50 INDEX later this month following the Gulf Energy Development (GULF TB) / Intouch Holdings (INTUCH TB) merger.
Then there could be 3 or 4 more changes to the index at the June rebalance. The review period has just commenced so price moves will move the list around.
Passive trackers will need to buy around 1.85% of float in VGI PCL (VGI TB) while buying in the other stocks will be between 1-1.2% of float.


SET50 Index Rebalance Preview: VGI Could Be an Ad Hoc Add; Then 3/4 More in June

<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

Thailand

Thanachart Capital Public Company Limited operates as an investment holding company and is the parent company of Thanachart Group. It offers a diverse range of financial services including hire purchase, non-life and life insurance, securities brokerage, asset-based financing, non-performing asset management, and investment businesses. The company was incorporated in 1959 and is headquartered in Bangkok, Thailand.

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Thanachart Capital (TCAP TB)

SET50 Index Rebalance Preview: Capping DELTA & Constituent Changes

There should be 3 constituent changes in June and large selling in DELTA due to capping. Passive trackers will need to buy 1.5-3.8x ADV in the adds...

Brian Freitas

Quiddity Leaderboard SET50 Jun25: Capping Expected for DELTA; Three Index Changes Likely

We estimate the one-way flow for SET50 during the June 2025 rebalance to be ~US$67mn which translates to a turnover of 2.9%.

Janaghan Jeyakumar, CFA

Quiddity Leaderboard SET50 Jun25: Four Changes Likely; Capping to Be Introduced

There could be 4x ADV to buy in Thanachart (TCAP TB) and we see this as a high-conviction ADD. Some of the other ADDs/DELs are closer to the border...

Janaghan Jeyakumar, CFA

SET50 Index Rebalance Preview: VGI Could Be an Ad Hoc Add; Then 3/4 More in June

VGI could be added to the index later this month following the GULF/INTUCH merger. Then there could be 3/4 more changes in June. The forecast adds...

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

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