Total Return Index Calculation Methodology

[Pages:5]Total Return Index Calculation Methodology

Last updated: October 31, 2011 1

Important Notice:

1. This English version is not an officially accurate translation of the original Thai document. In any cases where differences arise between the English version and the original Thai version, the original Thai document will prevail.

2. The SET shall not accept any responsibilities for damages caused by any errors, inaccuracies, misunderstandings or misspellings with regard to the translation of this document

3. This document can be used only for reference. Any forms of publishing, copy or distribution of information in this document are strictly prohibited. The Stock Exchange of Thailand (The SET) reserves the rights to claim compensation from violators for any damages SET may suffer from the contravention of these conditions.

4. The SET calculates all its index series in accordance with the method mentioned in this document. If any event not described below occurs or the SET decides it is impossible to use the following method, the SET will use an alternative method of calculation it deems valid.

Total Return Index Calculation Methodology

Total return Index measures market performance, including price movements (capital gain/loss), rights offered to current shareholders allowing them to purchase additional shares, usually at a discount to market price (rights offering), and income from dividend payments (dividends) assuming they are reinvested in securities.

Currently, The Stock Exchange of Thailand (SET) can supply SET Total Return Index (SET TRI), SET50 Total Return Index (SET50 TRI), SET100 Total Return Index (SET100 TRI), mai Total Return Index (mai TRI) and Total Return Index by Industries (Industry TRI). Each index is an indicator of the performance of a group of securities. Based value is 1,000 points.

Calculation Method

? Daily Total Return Index

Daily Total Return Index t = Daily Total Return Index t-1 x (1 + Daily Total Return t)

- Daily Total Return Index t

=

- Daily Total Return Index t-1

=

- Daily Total Return t

=

? Daily Total Return: TR

Total Return Index at time t Total Return Index at time t-1 Total Return of the index at time t

n

[ ]

TRt

=

n

( Closin g i =1

Pr icet

?

Outs tan ding Sharest)

- 1 + Total Dividend Yieldt

i

=1

(

Closin g

Pr icet-1

?

Outstan ding Sharest-1) ? ( Adjusted Pr ice ? Adjusted Shares)

n

[ ] Total Dividend Yield t = n

(Dividend i =1

per share

?

Outs tan ding Sharest-1)

(Clo sin g i =1

Pr icet-1

?

Outs tan ding Sharest-1) ? (Adjusted

Pr ice ?

Adjusted

Shares)

2

- TR t

=

- Close Price t

=

- Outstanding Share t =

- Close Price t-1

=

- Outstanding Share t-1 =

- Dividend per Share =

- Adjusted Price

=

- Adjusted Shares

=

Daily Total Return of the Index at time t which calculated by total return of all constituents Close price of each constituent at time t Number of share of each constituent at time t Close price of each constituent at time t-1 Number of share of each constituent at time t-1 Cash Dividend per Share of constituents Price after adjustment when a corporate action occurs Shares after adjustment when a corporate action occurs

Daily Total Return of SETHD

n

[{ } ] TRt

=

i

n

=1

i

( =1

Closing

Price t

? Outstanding

Shares t

) ? Dividend

Yield

Weight

( Closing Pricet -1 ? Outstanding Sharest -1) ? ( Adjusted Price? AdjustedShares) ? Dividend Yield Weight

-1 + Total Dividend Yieldt

n

[ ] Total Dividend Yieldt = n

(Dividend per share i =1

?

Outs tan ding Sharest-1 ) ? Dividend Yield Weight

[{ } ]

i =1

(Clo sin g

Pr icet-1

?

Outs tan ding Sharest-1 ) ? (Adjusted

Pr ice ?

Adjusted Shares)

? Dividend Yield Weight

- TR t

=

- Close Price t

=

- Outstanding Share t =

- Close Price t-1

=

- Outstanding Share t-1 =

- Dividend per Share =

- Adjusted Price

=

- Adjusted Shares

=

- Dividend Yield Weight=

Daily Total Return of the Index at time t which calculated by total return of all constituents Close price of each constituent at time t Number of share of each constituent at time t Close price of each constituent at time t-1 Number of share of each constituent at time t-1 Cash Dividend per Share of constituents Price after adjustment when a corporate action occurs Shares after adjustment when a corporate action occurs Dividend Yield Weight of each constituent for SETHD Index calculation

Constituents of Total Return Indices

Constituents of daily Total Return Indices are the same set as daily SET Index series.

Calculation Guidelines

y Re-Investment Rules 1. Using Gross dividends to calculate the Total Return Indices 2. The types of dividends using to calculate Dividend Yield are as follows: a. Normal Cash Dividend is dividend paid from net profit or retained earnings. b. Special/Extra Dividend is dividend paid other than Normal Cash Dividend. c. Capital Repayment Remark: Stock Dividend does not include in the dividend yield 3

3. Timing of re-investment: The dividends are reinvested on the day the constituent is posted ex-dividend (XD-date). If a constituent is not traded on its ex-dividend date, the dividends will reinvest on the first subsequent day that the constituent be traded.

y Index Adjustment due to Corporate Actions

Corporate Action 1. New Listed Constituent

2. Capital Increase by Rights Offering: XR - Offering price < Closing price of the previous trading day

Adjustment

- Adjustment date: The next trading day after the day that the constituent is listed

- Adjusted price: Closing price of the first trading day - Adjusted share: Number of listed share - Adjustment: Addition

- Adjustment date: The day is posted XR (XR-date) - Adjusted price: Offering price - Adjusted share: Number of newly issued share - Adjustment: Addition

- Offering price Closing price of the previous trading day

3. Capital Increase by Transferable Subscription Rights: XT - The sum of TSR price and Exercise price < Closing price of the previous trading day

- Adjustment date: The day that newly issued shares are listed

- Adjusted price: Closing price of the previous trading day - Adjusted share: Number of newly issued share - Adjustment: Addition

- Adjustment date: The day is posted XT (XT-date) - Adjusted price: The sum of TSR price and Exercise price - Adjusted share: Number of newly issued share - Adjustment: Addition

- The sum of TSR price and Exercise - Adjustment date: The day that newly issued shares are

price Closing price of the previous traded

trading day

- Adjusted price: Closing price of the previous trading day

- Adjusted share: Number of newly issued share

- Adjustment: Addition

4. Capital Increase by Public Offering/ Private Placement

- Adjustment date: The day that newly issued shares are traded

- Adjusted price: Closing price of the previous trading day - Adjusted share: Number of newly issued share - Adjustment: Addition

5. Capital Increase by others such as Warrants

6. Capital Decrease by decreasing in number of share

Same as item 4

- Adjustment date: The day that the shares are decreased - Adjusted price: Closing price of the previous trading day - Adjusted share: Number of decreased share - Adjustment: Subtraction

7. Capital Decrease by decreasing in par value

No adjustment

4

Corporate Action 8. Delisted Constituent

9. The Excluded Constituent: The constituent is suspended more than a year

10. The Resumed Constituent: The constituent is resumed to trade.

11. The constituent changes the market/industry/sector/ or move in/out SET50/SET100 - Inclusion

- Deletion

12. Split par 13. Stock Dividend

Adjustment

- Adjustment date: The first trading day after the day constituents are delisted

- Adjusted price: Closing price of the previous trading day - Adjusted share: All listed shares - Adjustment: Subtraction

- Adjustment date: The first trading day after the day constituents are excluded

- Adjusted price: Closing price of the previous trading day - Adjusted share: All listed shares - Adjustment: Subtraction

Same as item 1

- Adjustment date: The first trading day that the constituents are moved in

- Adjusted price: Closing price of the previous trading day - Adjusted share: All listed share - Adjustment: Addition

- Adjustment date: The first trading day after the day constituents are moved out

- Adjusted price: Closing price of the previous trading day - Adjusted share: All listed shares - Adjustment: Subtraction

No adjustment

No adjustment

5

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