FTSE SET INDEX SERIES Data as at: 31 October 2017

Transcription

1 FTSE MONTHLY REPORT - October 217 FTSE SET INDEX SERIES Data as at: 31 October 217 FTSE SET INDEX SERIES INTRODUCTION TABLE OF CONTENTS FTSE Group and the Stock Exchange of Thailand (SET) have jointly created the FTSE SET Index Series to provide Introduction & Index Series Overview 1 investors with a comprehensive series of indices for accessing segments of Thailand s market. The index series adopts 5 FTSE s global index standards such as size, free float weighting and liquidity screening, and provides a familiar tool for 9 performance measurement, product creation and analysis, appealing to both local and international investors. FTSE SET Mid Cap Index 13 As part of the FTSE SET Index Series the is the flagship index that captures the largest, FTSE SET Small Cap Index 15 most liquid companies on the Thai market. The index is also delivered on an intra-second streaming basis, enabling FTSE SET Mid Small Cap Index 17 investors to make trading decisions based on intra-second index quotes and respond more rapidly to immediate market FTSE SET Fledgling Index 19 events. FTSE SET Shariah Index 21 FTSE SET INDEX SERIES COMMENTARY % The ended the month in positive territory in October up 1.88 per cent, managing to outperform the FTSE ASEAN 4 Index by.24 per cent. 1-Month Performance of the Selected FTSE Indices Straits Time Index (STI) FTSE Bursa Malaysia KLCI FTSE Indonesia Index FTSE Philippines Index FTSE Vietnam Index FTSE ASEAN 4 Index FTSE All-World Index Month THB Performance Korea was the best performing Asian market this month with the FTSE Korea Index seeing a rise of 8.3 per cent in October. The second best performing Asian market was India, with the FTSE India Index, up 7.34 per cent. New Zealand was the worst performer, with the FTSE New Zealand Index falling 5.37 per cent. The FTSE All-World Index was up 1.59 per cent. Within the Thailand market, Mid Cap companies had the best performance with the FTSE SET Mid Cap Index up 4.1 per cent, followed by Mid Small Cap companies seeing an increase of 4.6 per cent in October. Fledgling compliant companies were the worst performers. The had a performance of 2.57 per cent. Beverages was the best performing sector in the FTSE SET All-Share Index, up 18.7 per cent, followed by Financial Services companies, up per cent. The Life Insurance, and Industrial Engineering sectors had the worst performance in October, down and 4.42 per cent, respectively. Padaeng Industry had the strongest performance in the, up per cent, with Thai Oil the best performing constituent, up 1.27 per cent Month Performance of the FTSE SET Index Series FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap FTSE SET Fledgling Index FTSE SET Shariah Index Month THB Performance FEATURES Objective The indices have been designed for the creation of structured products, index tracking funds, ETFs or as performance benchmarks Universe The index series also contains the FTSE SET Large Cap Index that comprises 3 of the largest, most liquid companies listed on the SET Coverage The indices provide a comprehensive coverage of the major market segments of the Thai market, including size, sectors, and Shariah based indices Design The indices have been designed for both domestic and international investors who want to see global standards applied to the selection and maintenance of companies Investability Index constituents are free-float weighted to ensure that only the investable opportunity set is included within an index Liquidity Companies are liquidity screened to ensure that the indices are tradable (except for the FTSE SET Fledgling Index) Maintenance The indices are governed by an independent committee made up of senior investment professionals to ensure they continue to meet the needs VENDOR CODES Bloomberg FSTHL Reuters <.FTFSTHL> Factset FSTHL.LOC-FTX Telekurs CH Source: FTSE Russell 1 of 22

2 FTSE SET Index Series Data as at: 31 October 217 FTSE SET INDEX SERIES 9% 98% Index Universe Large Cap Mid Cap Small Cap Fledgling Mid Small Cap Industry Indices The following indices are included in the FTSE SET Index Series: All-Share Screens on Business Activity & Financial Ratios This index comprises the largest 3 companies by full market capitalisation that meet stated eligibility requirements. FTSE SET Mid Cap Index This index comprises the companies within the top 9% of the SET Universe by full market capitalisation. They will also need to meet the stated eligibility requirements, but are not constituents of the FTSE SET Large Cap Index. FTSE SET Small Cap Index This index comprises the constituents within the top 98% of the SET Universe by full market capitalisation. They will also need to meet the stated eligibility requirements, but are not constituents of the FTSE SET Large Cap Index and the FTSE SET Mid Cap Index. FTSE SET Mid Small Cap Index This index comprises the constituents in the FTSE SET Mid Cap Index and the FTSE SET Small Cap Index. This index comprises the constituents in the, the FTSE SET Mid Cap Index and the FTSE SET Small Cap Index. FTSE SET All-Share Industry Indices There are 1 Industry, 19 Supersector and 39 Sector Indices comprised of the constituents in the FTSE SET All- Share Index. These industries, supersectors and sectors are defined in the Industry Classification Benchmark (ICB). FTSE SET Fledgling Index This index comprises the constituents listed on the SET Universe that are too small to be in the FTSE SET All- Share Index. FTSE SET Shariah Index This index comprises the constituents of the that are Shariah compliant according to the Yasaar screening methodology. Shariah INFORMATION Index Universe Stock Exchange of Thailand Main Board Index Launch FTSE SET Index Series - 24 June 28 FTSE SET Shariah Index - 23 April 29 FTSE SET All-Share Industry Indices - 11 November 21 Base Date 29 February 28 Base Value 1 Index Calculation Real-time and end-of-day indices available. Real-time indices are calculated at the following intervals: - intrasecond streaming basis FTSE SET Shariah Index - every 15 seconds All other FTSE SET Indices - every 6 seconds End-of-Day Distribution Indices available at 21: Bangkok local time (14: hours London time GMT or 15: hours BST) via FTP and Currency USD, EUR, GBP, JPY, THB Real-time calculated in THB only Review Dates Semi-annually in June and December Index Rules Available at Vendor Codes See page 4 or contact info@ftserussell.com Historical Data Available from January 1997 INDUSTRY CLASSIFICATION BENCHMARK (ICB) The indices are calculated in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis The ICB contains four classification levels: Industries (x1), Supersectors (x19), Sectors (x41) and Subsectors (x114) Global presence - ICB is adopted by stock exchanges representing over 65% of the world s market capitalisation Source: FTSE Russell 2 of 22

3 FTSE SET Index Series Data as at: 31 October 217 INDEX METHODOLOGY OVERVIEW Eligible Securities All classes of ordinary shares in issue are eligible for inclusion in the FTSE SET Index Series, subject to conforming to all other rules of eligibility, free float and liquidity. Index Review The FTSE SET Index Series is reviewed on a semi-annual basis in June and December using data on the Monday four weeks prior to the review effective date. The eligible constituents from the are screened by Yasaar for Shariah-compliance for the FTSE SET Shariah Index on a quarterly basis. The index series semi-annual review will be implemented after the close of business on the third Friday in June and December. New Issues If a new issue is so large (i.e. its full market capitalisation amounts to 2% or more of the, before the adjustment of free float) that the effectiveness of the index as a market indicator would be significantly and adversely affected by its non-inclusion, FTSE will normally include the new issue as a constituent of the FTSE SET Large Cap Index and remaining FTSE SET Indices that it qualifies for after the close of business on the fifth day of official trading. New issues, which do not qualify as early entrants will become eligible for inclusion at the next semi-annual review providing they pass the eligibility screens, and have since the commencement of official non-conditional trading, a minimum trading record of at least 2 trading days prior to the date of the review. Constituent Selection Inclusion Screens A company will be inserted at the periodic review if it rises above the position stated below for the relevant index when the eligible securities for each FTSE SET Index are ranked by full market capitalisation, i.e. before the adjustment of free float: - Risen to 2th or above FTSE SET Mid Cap Index - Risen to 86% or above FTSE SET Small Cap Index - Risen to 97% or above A company will be deleted at the periodic review if it falls below the position stated below for the relevant index when the eligible securities for each FTSE SET Index are ranked by full market capitalisation, i.e. before the adjustment of free float: - Fallen to 41st or below FTSE SET Mid Cap Index - Fallen to 92% or below FTSE SET Small Cap Index - Fallen below 99% A company will be eligible for the providing it is a constituent of either the large, mid, and small cap index. Eligible non-constituents that are ranked below the top 97% of the SET Universe will be included in the FTSE SET Fledgling Index. Further details of the index methodology can be found on The following publications are available by contacting your local FTSE Client Services team or info@ftserussell.com. GROUND RULES FOR THE FTSE SET INDEX SERIES Liquidity Screen The semi-annual liquidity screen is based on a security s median daily trading per month on the SET, with each daily trade total ranked and the middle ranking day selected. Daily totals with zero trades are included. Constituents of the FTSE SET Fledgling Index are not screened for liquidity. Non-constituents must turnover at least.5% of their shares in issue (after the adjustment of free float) based on their median daily trade per month in ten of the twelve months prior to the semi-annual review. An existing constituent must trade at least.4% of its shares in issue (after the adjustment of free float) based on its median daily trade per month for at least eight of the twelve months prior to the semi-annual review. New issues must have a turnover of at least.5% of their free float adjusted shares in each month since their listing. Free Float The FTSE SET Index Series constituents are adjusted for free float and weighted according to how much share capital is available for public investment. This achieves the most accurate and neutral market representation possible: meaning that only shares you can own are included in the index. FTSE has chosen to apply free float restrictions in weighted bands. This process accurately reflects the investability of a company, without subjecting the investor to frequent rebalancing transactions associated with a more precise free float methodology. Reserve Lists A reserve list of the five highest ranking non-constituents of the is published at the time of the semi-annual review. The Reserve List will be used in the event that one or more constituents are deleted during the period up to the next semi-annual review. FTSE SET Advisory Committee The FTSE SET Advisory Committee governs the ongoing management of these indices to ensure they continue to meet the needs of index users. The committee is made up of senior investment professionals and finance industry experts acting independently to advise on the creation of new indices, any enhancements to the methodology and to ensure that the index series evolves with any changes in the market environment. Source: FTSE Russell 3 of 22

4 FTSE SET Index Series Data as at: 31 October 217 COMMENTARY IN OCTOBER Global markets were in positive territory in October, with the FTSE All-World Index up 1.59 per cent. Year-to-date global markets have continued on a positive path, up 9.5 per cent. Asia Pacific was the best performing region in October finishing the month up 4.14 per cent. The FTSE ASEAN 4 Index was also up on the month, seeing a rise of 1.64 per cent. Latin American was the worst performing region, down on the month 3.46 per cent. Within Asia Korea was the best performing market in October, with the FTSE Korea Index up 8.3 per cent. The had a rise of index points on the month, seeing a positive performance of 1.88 per cent. The Travel & Leisure sector within the had the best performance up 6.13 per cent, with Food Producers sector showing the worst performance down 4.61 per cent. The best performing constituent was Thai Oil showing a positive return of 1.27 per cent in October. Within the size segments in October mid cap companies were the best performers in the FTSE SET Index Series, up 4.1 per cent on the month with fledgling companies showing the worst performance, down.2 per cent on the month. The had a performance of 2.57 per cent in October, with Padaeng Industry the best performing constituent, up per cent. Year to date the FTSE Set Small Cap Index has the highest volatility within the FTSE SET Index Series at 9.41 per cent. The FTSE SET Fledgling Index has the lowest volatility with 6.12 per cent. This compares to a volatility of and 11.4 per cent respectively for 216. The FTSE SET All- Share Index had a volatility of 6.78 per cent year to date, lower than 216's per cent. As at the end of October, the accounts for per cent of the FTSE SET All-Share Index, with the 131 constituents of the FTSE SET Small Cap Index accounting for 6.65 per cent. The top ten constituents of the account for per cent of the index, compared to per cent of the FTSE SET Small Cap Index and per cent of the. Beverages was the best performing sector in the up 18.7 per cent in October, with Financial Services being the second best performer up per cent. Life Insurance was the worst performing sector followed by Industrial Engineering down per cent and 4.42 per cent, respectively. With an index weighting of 34.6 per cent and 8 constituents, Financials is the largest industry in the, up.2 per cent in weighting compared to the previous month. This compares to a weight of per cent in the FTSE SET Mid Cap Index and per cent in the. Within the FTSE SET Shariah Index Financials has 13 constituents, and accounts for 3.43 per cent. VENDOR CODES Index Name FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET Fledgling Index FTSE SET Shariah Index FTSE FSTHL FSTHM FSTHS FSTHMS FSTHA FSTHF FSTSH BLOOMBERG FSTHL FSTHM FSTHS FSTHMS FSTHA FSTHF FSTSH REUTERS <.FTFSTHL> <.FTFSTHM> <.FTFSTHS> <.FTFSTHMS> <.FTFSTHA> <.FTFSTHF> <.FTFSTSH> FACTSET FSTHL.LOC-FTX FSTHM-FTX FSTHS-FTX FSTHMS-FTX FSTHA-FTX FSTHF-FTX FSTSH-FTX TELEKURS CH CH CH CH CH CH TK Source: FTSE Russell 4 of 22

5 FTSE SET Index Series Data as at: 31 October 217 INDEX OVERVIEW The comprises the largest companies by full market capitalisation in the. The index is a free float adjusted market-capitalisation weighted index representing the performance of the largest Thai blue chip companies, which pass the size, free float, and liquidity screens. The index represents approximately 7 per cent of the SET Main Board and as at the end of October there were 3 constituents in the index. FTSE SET LARGE CAP INDEX FIVE-YEAR PERFORMANCE (THB PRICE RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 Oct 212=1) The ended the month in positive territory in October up 1.88 per cent, although underperforming the by.69 per cent. Year to date the performance is up by 13.9 per cent, with a volatility of 7.53 per cent, lower than 216 s volatility of per cent. Travel & Leisure had the best sector performance in the FTSE SET Large Cap Index in October, up 6.13 per cent. FTSE SET LARGE CAP INDEX HISTORICAL PERFORMANCE TABLE (THB PRICE RETURN) Index Name CUMULATIVE PERFORMANCE ANNUALISED PERFORMANCE 1M 3M 6M YTD 1Y Div Yield PERFORMANCE OF THE FTSE SET LARGE CAP INDEX AND SELECTED FTSE ASIA PACIFIC COUNTRY INDICES IN OCTOBER (THB PRICE RETURN) Rank Index Name Number Net Market Cap 1M Perf Number Net Market Cap 1M Perf Rank Index Name of Cons (THBbn) of Cons (THBbn) 1 FTSE Korea Index 13 26, , FTSE India Index , FTSE ASFA Australia 2 Index 2 39, FTSE China A5 Index 5 24, FTSE Hong Kong Index 94 18, FTSE TWSE Taiwan 5 Index 5 18, FTSE Philippines Index 26 2, FTSE China 5 Index FTSE Indonesia Index 29 3, FTSE Vietnam Index FTSE Bursa Malaysia KLCI 3 4, FTSE Japan Index , FTSE Pakistan Index Straits Times Index (STI) 3 7, FTSE New Zealand Index 13 1, FTSE SET LARGE CAP INDEX HISTORICAL REVIEW TURNOVER Review Month December 216 June 217 BEFORE REVIEW AFTER REVIEW Number of Adds Number of Dels Number of Cons Net Market Cap (THBm) Number of Cons Net Market Cap (THBm) ,417,66 3 4,45, ,737, ,78,959 Total 2-Way Turnover Note: The majority of index changes occurs at the index reviews in June and December. Review changes to the index may include constitue additions/deletions, shares in issue and free float changes, and changes due to corporate events. Source: FTSE Russell 5 of 22

6 Data as at: 31 October 217 FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN (16.3%) 3 (14.4%) 3 1 (6.2%) (2.14%) 3 (2.76%) 2 (4.59%) 2 (3.3%) 3 (11.37%) 8 (34.6%) Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities 2 (4.98%) Key: 8 Number of Constituents (34.58%) Index Weight RELATIVE PERFORMANCE AGAINST FTSE SET LARGE CAP INDEX (THB PRICE RETURN) 1 MONTH 1 YEAR Basic Materials 3.55 Basic Materials FTSE SET Industry Consumer Goods Consumer Services Financials Health Care Industrials FTSE SET Industry Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas.91 Oil & Gas 6.1 Technology -1.1 Technology Telecommunications Telecommunications 5.2 Utilities Utilities Relative Performance Relative Performance FTSE SET LARGE CAP INDEX HISTORICAL VOLATILITY (THB PRICE RETURN) 3 25 Volatility Index volatility is calculated on a rolling 18 days basis. Source: FTSE Russell 6 of 22

7 Data as at: 31 October 217 FTSE SET LARGE CAP INDEX HISTORICAL VOLATILITY TABLE (THB PRICE RETURN) Index Name YTD * 1Y * ** *** 213 * 214 * 215 * * * Based on annualised daily total log returns. ** Based on annualised weekly total log returns. *** Based on annualised monthly total log returns. FTSE SET LARGE CAP INDEX HISTORICAL SHARPE RATIO (THB PRICE RETURN) Index Name YTD * 1Y * ** *** 213 * 214 * 215 * 216 * * Based on annualised daily total log returns. ** Based on annualised weekly total log returns. *** Based on annualised monthly total log returns. Note: Bangkok 3-Month interbank offered rate (BIBOR) is used as the risk free rate. FTSE SET LARGE CAP INDEX HISTORICAL CORRELATION AGAINST FTSE SET ALL-SHARE INDEX (THB PRICE RETURN) Index Name YTD * 1Y * ** *** 213 * 214 * 215 * 216 * * Based on annualised daily total log returns. ** Based on annualised weekly total log returns. *** Based on annualised monthly total log returns. FTSE SET LARGE CAP INDEX TOP 5 AND BOTTOM 5 SECTOR PERFORMERS TOP BOTTOM ICB Code ICB Sector Number of Cons Net Market Cap (THBm) Index Weight 1M Perf 1Y Perf Div Yield 575 Travel & Leisure 1 146, Chemicals 2 235, General Retailers 1 71, Food & Drug Retailers 1 364, Health Care Equipment & Services 2 255, Industrial Transportation 1 255, Mobile Telecommunications 3 318, Electricity 3 141, Construction & Materials 1 411, Food Producers 2 169, FTSE SET LARGE CAP INDEX 1-YEAR TOP PERFORMING SECTOR - INDUSTRIAL TRANSPORTATION Index Rebased (31 Oct 216=1) PROFILE Number of Constituents: 1 Constituent in Sector: Airports of Thailand Weight in : 4.97% 1-Year Price Return: 56.17% Dividend Yield: 1.15% - Industrial Transportation FTSE SET Industrial Transportation Index Source: FTSE Russell 7 of 22

8 Data as at: 31 October 217 FTSE SET LARGE CAP INDEX TOP 1 CONSTITUENTS Rank Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf 1 PTT PTT Exploration & Production 599, KBANK SCC Kasikornbank Siam Cement Banks Building Materials & Fixtures 518, , SCB Siam Commercial Bank PCL Banks 373, CPALL CP ALL Food Retailers & Wholesalers 364, BBL Bangkok Bank Banks 362, AOT Airports of Thailand Transportation Services 255, CPN Central Pattana Real Estate Holding & Development 221, ADVANC Advanced Info Serv Mobile Telecommunications 217, BDMS Bangkok Dusit Medical Services PCL Health Care Providers 183, Totals 3,57, FTSE SET LARGE CAP INDEX TOP 5 AND BOTTOM 5 PERFORMERS TOP BOTTOM Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf TOP Thai Oil Exploration & Production 14, LH Land & Houses Real Estate Holding & Development 68, IVL Indorama Ventures PCL Commodity Chemicals 75, KBANK Kasikornbank Banks 518, MINT Minor International Hotels 146, KTB Krung Thai Bank Banks 112, PTTEP PTT Exploration & Production Exploration & Production 118, SCB Siam Commercial Bank PCL Banks 373, DTAC Total Access Communication Mobile Telecommunications 35, TU Thai Union Group Food Products 51, FTSE SET LARGE CAP INDEX TOP PERFORMER IN OCTOBER - THAI OIL PROFILE Thai Oil FTSE SET Oil & Gas Producers Index 1.27% 3.4% 1.88% Month Price Return Local Code: TOP ICB Subsector: Exploration & Production Weight in : 2.3% Dividend Yield 4.41% Thai Oil PCL is an oil refinery company which imports crude oil and refines it into gasoline. Thai oil supplies its products to domestic market where its major customers include Shell, Caltex Oil and the Petroleum Authority of Thailand. Its refinery cost is among Asia's lowest at an efficient $1.2 a barrel. The company reports a net profit of more than 2 billion baht from its stock movement this year. It is the top performer of the FTSE SET Large Cap Index in October and increased 1.27 per cent. Source: FTSE Russell 8 of 22

9 Data as at: 31 October 217 INDEX OVERVIEW The comprises the constituents in the, the FTSE SET Mid Cap Index, and the FTSE SET Small Cap Index. The index is a free float adjusted market-capitalisation weighted index representing the performance of approximately 98 per cent of the SET Main Board which pass the size, free float, and liquidity screens. As at the end of October there were 255 constituents in the index. FTSE SET ALL-SHARE INDEX FIVE-YEAR PERFORMANCE (THB PRICE RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 Oct 212=1) Within the size segments of the FTSE SET All-Share Index, mid cap companies had the best performance in October with the FTSE SET Mid Cap Index up 4.1 per cent, followed by small cap companies seeing an increase of 3.92 per cent. Large cap companies were the worst performers although up 1.88 per cent. The had a performance of 2.57 per cent. FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Index FTSE SET Fledgling Index FTSE SET Shariah Index FTSE SET ALL-SHARE INDEX HISTORICAL PERFORMANCE TABLE (THB PRICE RETURN) Index Name FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET Fledgling Index FTSE SET Shariah Index 1M 3M CUMULATIVE PERFORMANCE 6M YTD 1Y ANNUALISED PERFORMANCE Div Yield FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities 4.24 Source: FTSE Russell 9 of 22

10 Data as at: 31 October 217 RELATIVE PERFORMANCE AGAINST FTSE SET ALL-SHARE INDEX (THB PRICE RETURN) 1 MONTH 1 YEAR Large -.69 Large 1.51 FTSE SET Indices Mid Small Mid Small Fledgling FTSE SET Indices Mid Small Mid Small Fledgling Shariah -.3 Shariah Relative Performance Relative Performance FTSE SET Industry Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities 5.58 FTSE SET Industry Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications 6.87 Utilities Relative Performance Relative Performance FTSE SET INDEX SERIES PORTFOLIO CHARACTERISTICS FTSE SET Large Cap Index FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET All- Share Index FTSE SET Fledgling Index FTSE SET Shariah Index Number of Constituents Full Market Cap (THBm) % Review Turnover -December 216 June 217 Totals Net Market Cap (THBm) Dividend Yield Constituent Sizes (Net Market Cap THBm) Average Largest Smallest Median Weight of Largest Constituent Top 1 Holdings (% Index Market Cap) 3 9,549, ,238, , ,221, ,771, , ,327, ,133,534 1,97,5 448,685 2,418,69 7,552, , ,118 2,957 3,425 1,75 29, ,823 76,124 16,335 76, ,823 35,771 3, , 16, ,554 5, ,824 3, ,, , , , Source: FTSE Russell 1 of 22

11 Data as at: 31 October 217 FTSE SET INDEX SERIES HISTORICAL VOLATILITY (THB PRICE RETURN) 35 Volatility FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET Fledgling Index FTSE SET Shariah Index Index volatility is calculated on a rolling 18 days basis. FTSE SET INDEX SERIES HISTORICAL VOLATILITY TABLE (THB PRICE RETURN) Index Name FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET Fledgling Index FTSE SET Shariah Index YTD * 1Y * ** *** 213 * 214 * 215 * 216 * * Based on annualised daily total log returns. ** Based on annualised weekly total log returns. *** Based on annualised monthly total log returns. FTSE SET INDEX SERIES HISTORICAL SHARPE RATIO (THB PRICE RETURN) Index Name YTD* 1Y* ** *** 213* 214* 215* 216* FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET Fledgling Index FTSE SET Shariah Index * Based on annualised daily total log returns. ** Based on annualised weekly total log returns. *** Based on annualised monthly total log returns. Note: Bangkok 3-Month interbank offered rate (BIBOR) is used as the risk free rate. FTSE SET INDEX SERIES HISTORICAL CORRELATION AGAINST FTSE SET ALL-SHARE INDEX (THB PRICE RETURN) Index Name FTSE SET Mid Cap Index FTSE SET Small Cap Index FTSE SET Mid Small Cap Index FTSE SET Fledgling Index FTSE SET Shariah Index YTD * 1Y * ** *** 213 * 214 * 215 * 216 * * Based on annualised daily total log returns. ** Based on annualised weekly total log returns. *** Based on annualised monthly total log returns. Source: FTSE Russell 11 of 22

12 Data as at: 31 October 217 FTSE SET ALL-SHARE INDEX TOP 5 AND BOTTOM 5 SECTOR PERFORMERS BOTTOM TOP BOTTOM TOP FTSE SET ALL-SHARE INDEX TOP 1 CONSTITUENTS Rank ICB Code ICB Sector Number of Cons 353 Local Code FTSE SET ALL-SHARE INDEX TOP 5 AND BOTTOM 5 PERFORMERS Net Market Cap (THBm) Index Weight 1M Perf 1Y Perf Beverages 3 32, Financial Services 9 17, Media 1 89, Household Goods & Home Construction 4 28, Personal Goods 5 33, Food Producers , Exploration & Production 599,823 Div Yield 275 Industrial Engineering 4 11, Life Insurance 1 19, PTT PTT 2 KBANK Constituent Name Kasikornbank Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf Net Market Cap (THBm) Banks 518, Index Weight , ICB Subsector M Perf 3 SCC Siam Cement Building Materials & Fixtures 411, SCB Siam Commercial Bank PCL Banks 373, CPALL CP ALL Food Retailers & Wholesalers 364,714 6 BBL Bangkok Bank Banks 362, AOT Airports of Thailand Transportation Services 255, CPN Central Pattana Real Estate Holding & Development 221, ADVANC 1 BDMS General Retailers 58 Alternative Energy 1 1, Advanced Info Serv Mobile Telecommunications 217,81 Bangkok Dusit Medical Services PCL Health Care Providers 183, Totals 3,57, PDI Padaeng Industry Nonferrous Metals 4, TK Thitikorn Consumer Finance 2, TTCL TTCL Heavy Construction 6, SQ Sahakol Equipment General Mining 5, Bangkok Life Assurance PCL Life Insurance 19, AJA AJ Advance Technology PCL Specialty Retailers M MK Restaurant Group Restaurants & Bars 11, THCOM Thaicom Telecommunications Equipment 8, BLA GL Group Lease Specialized Consumer Services 5, PACE Pace Development Real Estate Holding & Development 1, Source: FTSE Russell 12 of 22

13 FTSE SET Mid Cap Index Data as at: 31 October 217 INDEX OVERVIEW The FTSE SET Mid Cap Index comprises the companies within the top 9% of the SET Universe by full market capitalisation, excluding the constituents of the FTSE SET Large Cap Index. The index is a free float adjusted market-capitalisation weighted index representing the performance of the mid-capitalised companies trading on the SET Main Board, which pass the size, free float, and liquidity screens. As at the end of October there were 94 constituents in the index. FTSE SET MID CAP INDEX FIVE-YEAR PERFORMANCE (THB PRICE RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 Oct 212=1) The FTSE SET Mid Cap Index ended the month in positive territory in October up 4.1 per cent, outperforming the FTSE SET All-Share Index by 1.53 per cent. Year to date the FTSE SET Mid Cap Index performance is up by 7.13 per cent, with a volatility of 7.85 per cent, lower than 216 s volatility of per cent. Beverages had the best sector performance in the FTSE SET Mid Cap Index in October, up 19.5 per cent. FTSE SET Mid Cap Index FTSE SET MID CAP INDEX HISTORICAL PERFORMANCE TABLE (THB PRICE RETURN) Index Name FTSE SET Mid Cap Index 1M 3M CUMULATIVE PERFORMANCE 6M YTD 1Y ANNUALISED PERFORMANCE Div Yield FTSE SET MID CAP INDEX HISTORICAL REVIEW TURNOVER BEFORE REVIEW AFTER REVIEW Review Month Number of Adds Number of Dels Number of Cons Net Market Cap (THBm) Number of Cons Net Market Cap (THBm) 2-Way Turnover December ,747, ,714, June ,725, ,834, Total Note: The majority of index changes occurs at the index reviews in June and December. Review changes to the index may include constitue additions/deletions, shares in issue and free float changes, and changes due to corporate events. FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities 2.38 Source: FTSE Russell 13 of 22

14 FTSE SET Mid Cap Index Data as at: 31 October 217 FTSE SET MID CAP INDEX TOP 5 AND BOTTOM 5 SECTOR PERFORMERS BOTTOM TOP BOTTOM TOP FTSE SET MID CAP INDEX TOP 1 CONSTITUENTS Rank Life Insurance 1 19, EA Energy Absolute 3 BEM 5 TISCO Bangkok Expressway and Metro FTSE SET MID CAP INDEX TOP 5 AND BOTTOM 5 PERFORMERS Net Market Cap (THBm) 6 DIF Digital Telecommunications Infrastructure FunTelecommunications Equipment 53, KKP ICB Code ICB Sector Number of Cons Net Market Cap (THBm) Index Weight 1M Perf 1Y Perf 353 Beverages 2 29, Electricity 7 17, Financial Services 3 77, Totals 576, Net Market Cap (THBm) Global Power Synergy Conventional Electricity 22,282 Alternative Electricity 8,956 Index Weight , Div Yield 376 Personal Goods 1 21, Mining 1 76, Industrial Transportation 4 99, Technology Hardware & Equipment 4 83, Local Code IRPC TCAP Thanachart Capital PCL Banks 49, M Perf BCP The Bangchak Petroleum PCL Exploration & Production 43, Local Code Constituent Name ICB Subsector TTCL Index Weight - 1M Perf M MK Restaurant Group Restaurants & Bars 11, TASCO Constituent Name BCPG Tipco Asphalt PCL ICB Subsector 1 BANPU Banpu Coal 76,124 Conventional Electricity 9 BTSGIF BTS Rail Mass Transit Growth Infrastructure FTravel & Tourism GPSC BCPG SPCG GL IRPC TISCO Financial Group TTCL SPCG Exploration & Production Banks Heavy Construction Alternative Electricity Building Materials & Fixtures 65,824 59,16 3. Kiatnakin Bank Banks 48, Group Lease 71,724 Transportation Services 61,996 14, , , JAS Jasmine International PCL Telecommunications Equipment 13, THCOM Thaicom Telecommunications Equipment , BLA Bangkok Life Assurance PCL Life Insurance 19, Specialized Consumer Services.45 13, Household Goods & Home Construction 1 2, General Retailers 2 4, Source: FTSE Russell 14 of 22

15 FTSE SET Small Cap Index Data as at: 31 October 217 INDEX OVERVIEW The FTSE SET Small Cap Index comprises the companies within the top 98% of the SET Universe by full market capitalisation, excluding the constituents of the FTSE SET Large Cap Index and FTSE SET Mid Cap Index. The index is a free float adjusted market-capitalisation weighted index representing the performance of the smallcapitalised companies trading on the SET Main Board, which pass the size, free float, and liquidity screens. As at the end of October there were 131 constituents in the index. FTSE SET SMALL CAP INDEX FIVE-YEAR PERFORMANCE (THB PRICE RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 Oct 212=1) The FTSE SET Small Cap Index ended the month in positive territory in October up 3.92 per cent, outperforming the FTSE SET All-Share Index by 1.35 per cent. Year to date the FTSE SET Small Cap Index performance is up by 4.79 per cent, with a volatility of 9.41 per cent, lower than 216 s volatility of per cent. Mining had the best sector performance in the FTSE SET Small Cap Index in October, up 18.7 per cent. FTSE SET Small Cap Index FTSE SET SMALL CAP INDEX HISTORICAL PERFORMANCE TABLE (THB PRICE RETURN) Index Name FTSE SET Small Cap Index 1M 3M CUMULATIVE PERFORMANCE 6M YTD 1Y ANNUALISED PERFORMANCE Div Yield FTSE SET SMALL CAP INDEX HISTORICAL REVIEW TURNOVER BEFORE REVIEW AFTER REVIEW Review Month Number of Adds Number of Dels Number of Cons Net Market Cap (THBm) Number of Cons Net Market Cap (THBm) 2-Way Turnover December , , June , , Total 35.5 Note: The majority of index changes occurs at the index reviews in June and December. Review changes to the index may include constitue additions/deletions, shares in issue and free float changes, and changes due to corporate events. FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities Source: FTSE Russell 15 of 22

16 FTSE SET Small Cap Index Data as at: 31 October 217 FTSE SET SMALL CAP INDEX TOP 5 AND BOTTOM 5 SECTOR PERFORMERS BOTTOM TOP BOTTOM TOP ICB Code ICB Sector Number of Cons Net Market Cap (THBm) Index Weight 1M Perf 1Y Perf FTSE SET SMALL CAP INDEX TOP 1 CONSTITUENTS FTSE SET SMALL CAP INDEX TOP 5 AND BOTTOM 5 PERFORMERS Div Yield 177 Mining 2 8, Financial Services 6 29, Oil & Gas Producers 2 5, Beverages 1 2, Media 6 2, Health Care Equipment & Services 5 17, Alternative Energy 1 1, Mobile Telecommunications 1 1, Industrial Engineering 4 11, General Industrials 3 9, Rank Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight M Perf 1 ORI Origin Property Real Estate Holding & Development 16, TIP Dhipaya Insura Property & Casualty Insurance 12, ERW Erawan Group Hotels 1, COM7 Com7 Specialty Retailers 9, RS RS PCL Broadcasting & Entertainment 8, THANI Ratchthani Leasing Specialty Finance 8,282 7 GOLD Golden Land Property Development Real Estate Holding & Development 8, ANAN Ananda Development Real Estate Holding & Development , ASP Asia Plus Group Holdings PCL Investment Services 7, ROJNA Rojana Industrial Park PCL Conventional Electricity 7, Local Code Constituent Name ICB Subsector Totals 98, Net Market Cap (THBm) Index Weight M Perf TK Thitikorn Consumer Finance 2, SQ Sahakol Equipment General Mining 5, FN FN Factory Outlet Clothing & Accessories 3, RS RS PCL Broadcasting & Entertainment 8, PRINC Principal Capital Real Estate Holding & Development 3, TRITN Triton Holding PCL Broadcasting & Entertainment 1, SMT Stars Microelectronics (Thailand) PCL Electrical Components & Equipment 1, BJCHI BJC Heavy Industries Industrial Machinery 1, AJA AJ Advance Technology PCL Specialty Retailers PACE Pace Development Real Estate Holding & Development 1, Source: FTSE Russell 16 of 22

17 FTSE SET Mid Small Cap Index Data as at: 31 October 217 INDEX OVERVIEW The FTSE SET Mid Small Cap Index comprises the constituents in the FTSE SET Mid Cap Index and the FTSE SET Small Cap Index. The index is a free float adjusted market-capitalisation weighted index representing the performance of the mid and small-capitalised companies trading on the SET Main Board, which pass the size, free float, and liquidity screens. As at the end of October there were 225 constituents in the index. FTSE SET MID SMALL CAP INDEX FIVE-YEAR PERFORMANCE (THB PRICE RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 Oct 212=1) The FTSE SET Mid Small Cap Index ended the month in positive territory in October up 4.6 per cent, outperforming the FTSE SET All-Share Index by 1.49 per cent. Year to date the FTSE SET Mid Small Cap Index performance is up by 6.69 per cent, with a volatility of 7.81 per cent, lower than 216 s volatility of per cent. Beverages had the best sector performance in the FTSE SET Mid Small Cap Index in October, up 18.7 per cent. FTSE SET Mid Small Cap Index FTSE SET MID SMALL CAP INDEX HISTORICAL PERFORMANCE TABLE (THB PRICE RETURN) Index Name FTSE SET Mid Small Cap Index 1M 3M CUMULATIVE PERFORMANCE 6M YTD 1Y ANNUALISED PERFORMANCE Div Yield FTSE SET MID SMALL CAP INDEX HISTORICAL REVIEW TURNOVER BEFORE REVIEW AFTER REVIEW Review Month Number of Adds Number of Dels Number of Cons Net Market Cap (THBm) Number of Cons Net Market Cap (THBm) 2-Way Turnover December ,141, ,14, June ,116, ,252, Total Note: The majority of index changes occurs at the index reviews in June and December. Review changes to the index may include constitue additions/deletions, shares in issue and free float changes, and changes due to corporate events. FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities Source: FTSE Russell 17 of 22

18 FTSE SET Mid Small Cap Index Data as at: 31 October 217 FTSE SET MID SMALL CAP INDEX TOP 5 AND BOTTOM 5 SECTOR PERFORMERS BOTTOM TOP BOTTOM TOP ICB Code ICB Sector Number of Cons Net Market Cap (THBm) Index Weight 1M Perf 1Y Perf FTSE SET MID SMALL CAP INDEX TOP 1 CONSTITUENTS FTSE SET MID SMALL CAP INDEX TOP 5 AND BOTTOM 5 PERFORMERS Div Yield 353 Beverages 3 32, Financial Services 9 17, Electricity 9 179, Media 1 89, Banks 4 164, Mobile Telecommunications 1 1, Industrial Engineering 4 11, General Industrials 3 9, Life Insurance 1 19, General Retailers 6 59, Rank Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf 1 BANPU Banpu Coal 76, EA Energy Absolute Conventional Electricity 71, IRPC IRPC Exploration & Production 65, BEM Bangkok Expressway and Metro Transportation Services 61, TISCO TISCO Financial Group Banks 59, DIF Digital Telecommunications Infrastructure FunTelecommunications Equipment 53,788 7 TCAP Thanachart Capital PCL Banks 49, KKP Kiatnakin Bank Banks , BTSGIF BTS Rail Mass Transit Growth Infrastructure FTravel & Tourism 45, BCP The Bangchak Petroleum PCL Exploration & Production 43, Totals 576, Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf THANI Ratchthani Leasing Specialty Finance 8, GPSC Global Power Synergy Conventional Electricity 22, PDI Padaeng Industry Nonferrous Metals 4, TK Thitikorn Consumer Finance 2, TTCL TTCL Heavy Construction 6, THCOM Thaicom Telecommunications Equipment 8, BLA Bangkok Life Assurance PCL Life Insurance 19, AJA AJ Advance Technology PCL Specialty Retailers PACE Pace Development Real Estate Holding & Development 1, GL Group Lease Specialized Consumer Services 5, Source: FTSE Russell 18 of 22

19 FTSE SET Fledgling Index Data as at: 31 October 217 INDEX OVERVIEW The FTSE SET Fledgling Index comprises the constituents listed on the SET Universe that are too small to be in the. The index is a free float adjusted market-capitalisation weighted index representing the performance of companies ranked below the top 97% of the SET Universe. As at the end of October there were 222 constituents in the index. FTSE SET FLEDGLING INDEX FIVE-YEAR PERFORMANCE (THB PRICE RETURN) PERFORMANCE HIGHLIGHTS Index Rebased (31 Oct 212=1) FTSE SET Fledgling Index The FTSE SET Fledgling Index ended the month in negative territory in October down.2 per cent, underperforming the by 2.59 per cent. Year to date the FTSE SET Fledgling Index performance is up by 5.95 per cent, with a volatility of 6.12 per cent, lower than 216 s volatility of 11.4 per cent. Industrial Transportation had the best sector performance in the FTSE SET Fledgling Index in October, up 8.99 per cent. FTSE SET FLEDGLING INDEX HISTORICAL PERFORMANCE TABLE (THB PRICE RETURN) Index Name FTSE SET Fledgling Index 1M 3M CUMULATIVE PERFORMANCE 6M YTD 1Y ANNUALISED PERFORMANCE Div Yield FTSE SET FLEDGLING INDEX HISTORICAL REVIEW TURNOVER BEFORE REVIEW AFTER REVIEW Review Month Number of Adds Number of Dels Number of Cons Net Market Cap (THBm) Number of Cons Net Market Cap (THBm) 2-Way Turnover December , , June , , Total 41.5 Note: The majority of index changes occurs at the index reviews in June and December. Review changes to the index may include constitue additions/deletions, shares in issue and free float changes, and changes due to corporate events. FIVE-YEAR HISTORICAL INDUSTRY BREAKDOWN INDUSTRY BREAKDOWN Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities Source: FTSE Russell 19 of 22

20 FTSE SET Fledgling Index Data as at: 31 October 217 FTSE SET FLEDGLING INDEX TOP 5 AND BOTTOM 5 SECTOR PERFORMERS BOTTOM TOP BOTTOM TOP ICB Code ICB Sector Number of Cons Net Market Cap (THBm) Index Weight 1M Perf 1Y Perf FTSE SET FLEDGLING INDEX TOP 1 CONSTITUENTS Rank Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf FTSE SET FLEDGLING INDEX TOP 5 AND BOTTOM 5 PERFORMERS Div Yield 277 Industrial Transportation 3 1, Travel & Leisure 4 3, Nonlife Insurance 7 3, Financial Services 15 16, Media 12 9, General Industrials 6 2, Electronic & Electrical Equipment 2 1, Local Code Constituent Name ICB Subsector Net Market Cap (THBm) Index Weight 1M Perf Technology Hardware & Equipment 6 4, Alternative Energy 1 1, Food Producers 12 11, BFIT Srisawad Finance Investment Services 3, MODERN Modernform Group Furnishings 3, AMARIN Amarin Printing & Publishing Publishing 3, AMATAR Amata Summit Growth Freehold and LeaseholIndustrial & Office REITs 3, SEAFCO 8 QHHR Seafco Heavy Construction 2,921 6 ASIAN Asian Seafoods Coldstorage 7 ECL Eastern Commercial Leasing Consumer Finance 2, Quality Houses Hotel & Residence FLPF Food Products Hotel & Lodging REITs 9 HPF Hemraj Industrial Property and Leasehold FunIndustrial & Office REITs 2, RPH Ratchaphruek Hospital Health Care Providers 2, Totals 27, , FER Ferrum Specialty Retailers TSI Thai Setakij Insurance PCL Property & Casualty Insurance CHARAN Charan Insur Property & Casualty Insurance SIS SIS Distribution Thailand Computer Hardware BFIT Srisawad Finance Investment Services 3, DIGI Digital Tech Planet Clothing & Accessories ASIAN Asian Seafoods Coldstorage Food Products 2, MPIC M Pictures Entertainment PCL Broadcasting & Entertainment EIC Electronics Industry PCL Semiconductors 1, TEAM Team Precision PCL Electrical Components & Equipment , Source: FTSE Russell 2 of 22