กก FTSE SET Index Series

Transcription

1 กก FTSE SET Index Series ก

2 Agenda 1. FTSE SET Index Series 2. ก ก ก ก ก 3. กก 4. ก FTSE SET Large Cap ก SET50 - ก ก - ก 2

3 FTSE? FTSE Independent Company 1995 Joint Venture London Stock Exchange Financial Times ก ก FTSE ก ก ก ก FTSE ก ก ก 11 ก Beijing, Boston, Frankfurt, Hong Kong, London, New York, Madrid, Paris, San Francisco, Shanghai Tokyo FTSE ก 75 Real-time 60,000 ก FTSE 70,000 ( real-time 600 ) ก FTSE Benchmark ก CalPers, French Fonds de Reserves pour les Retraites, Hong Kong Mandatory Provident Funds, Norwegian Petroleum Fund, Irish Reserve, OMERS, PGGM, Swedish AP Funden 3

4 What is FTSE SET Index Series? FTSE SET Index Series is the result of a collaboration between The Stock Exchange of Thailand (SET) and FTSE International A new internationally accepted index for new financial products such as ETFs (Exchange Traded Funds), derivatives instruments and other funds and so contributes to financial instrument variety and the market s general attraction. 4

5 Index Design FTSE SET Index Series FTSE SET Large Cap FTSE SET Mid Cap FTSE SET Small Cap FTSE SET All-Share FTSE SET Mid/Small Cap FTSE SET Fledgling Tradable Index ก 15 Benchmark Indices* ก 60 * ก Index 5

6 ก ก FTSE SET Index Series 1. ก Exchange Traded Fund (ETF) 2. Benchmark ก ก 3. ก. ก ก ก 6

7 Agenda 1. FTSE SET Index Series 2. ก ก ก ก ก 3. กก 4. ก FTSE SET Large Cap ก SET50 - ก ก - ก 7

8 ก ก ก ก ก (Screening Criteria) Free Float is the share capital of a company that is freely available for trading by investors Indices should be investable. Each constituent must pass a liquidity test SET Main Board Filter Investable Universe Investable Universe Investable Index All Companies By Market Cap Screened for Free Float Liquidity Tested Free Float Weighted

9 Index Design FTSE SET Index Series ❶ ❷ No prices in a year Dual screening criteria ❸ Liquidity> 0.05% Free Float > 15% ❹ FTSE SET Index Series Large Cap (30) Market Capitalisation Total Stocks (500) SET Universe (470) Eligible stocks for inclusion in FTSE SET Index Series (350) All Share (139) (150)98% 98% Mid Cap (43) (45) 90% 90% Small Cap (66) (75) 98% Mid Small Cap (109) (120) Fledging (200) 2% Removed (30) Failed (150) % ของ SET Universe : FTSE Analysis 9

10 ก FTSE SET Large Cap Index Tradable - ก 30 ก ก SET main board market cap ก ก ก (FF & Liquidity Screening) 15 FTSE SET Mid Cap Index Benchmark - ก market cap ก 90%** ( ก ก ก Large Cap index) 60 FTSE SET Small Cap Index Benchmark - ก market cap ก 98%** ( ก ก ก Large Cap index Mid Cap Index) 60 FTSE SET All- Share Index Benchmark - ก ก market cap ก 98%** ก ก ก 60 FTSE SET Mid/ Small Cap Index Benchmark - ก ก Mid Cap Small Cap Index 60 FTSE SET Fledgling Index Benchmark - ก market cap ก 2%** ก ก ก ก All-Shares Index 60 หมายเหต ** % ของ SET Universe 10

11 Agenda 1. FTSE SET Index Series 2. ก ก ก ก ก 3. กก 4. ก FTSE SET Large Cap ก SET50 - ก ก - ก 11

12 ก FTSE SET Index ก ก ก ก IV = n i= 1( ( p ) ) i e s i fi d n = Number of securities in the Index p = Price e = Exchange rate s = Share in Issue f = Free Float Factor d = Divisor ก Share in Issue Share in Issue กก 1% Share in Issue กก 10% Corporate event 12

13 ก ก FTSE SET Index Series live ( ): (Base Date) : 29 ก 2551 (Base) : 1,000 2 : 10 Index Review : 2 ก Index Committee ก ก., FTSE Professional market participants( 8-12 ) Index Rules ก ก. FTSE ก ก ก (Industry) ก (Sector) ICB (Industrial Classification Benchmark) 13

14 Agenda 1. FTSE SET Index Series 2. ก ก ก ก ก 3. กก 4. ก FTSE SET Large Cap ก SET50 - ก ก - ก 14

15 FTSE SET Large Cap VS SET50 Index 1. Trading Record : ก SET > 6 2. Free Float > 20% 3. ก Liquidity : SET50 T/O > 50% > 9 12 FTSE SET Large Cap 1. Trading Record : ก SET > 20 ก 2. Free Float > 15% 3. ก Liquidity : - Share T/O median > 0.05% (FF Adjusted) > ก FTSE SET : Share T/O median > 0.04% (FF Adjusted) >

16 FTSE SET Large Cap VS SET50 Index (Cont ) SET50 4. Full Market Cap Size : ก Daily Average Market Cap 50 ก ก SET50 Index 5. Reserve List : 5 6. Index Review: 2 (.,.) FTSE SET Large Cap 4. Full Market Cap Size : ก Full Market Cap ก ก 30 ก ก FTSE SET Large Cap Index 5. Reserve List : 5 6. Index Review: 2 (.,.) 16

17 Trading Records SET : SET ก >6 ก ก ก FTSE : SET ก >20 ก ก ก ก SET Failed Stock X 2 ก FTSE Pass 17

18 Free Float restrictions SET : 1. ก ก 2. > 5% ก FTSE :1. ก ก 2. ก Free Float Stock X. X=70% X SET FF of X = 30% FTSE FF of X = 100% Pass FF Pass FF 18

19 Free Float restrictions (Cont ) FTSE : Trade investments (cross-holdings) ก ก ก ก ก (same line of business) SET : ก Free Float Stock A 4% Stock B Stock A holds 4% of Stock B SET FF of B = 100% FTSE Pass FF Pass FF FF of B = 96% -> 100% (band) 19

20 Liquidity Screening SET : T/O >50% >9 12 FTSE : - ก FTSE SET, median T/O > 0.05% ( ก FF adjusted) > ก FTSE SET, median T/O > 0.04% ( ก FF adjusted) >8 12 Mean VS Median mean jan feb mar apr may jun jul aug sep oct nov dec 0 jan feb mar apr may jun jul aug sep oct nov dec median 20

21 Liquidity Screening (Cont ) Stock Y ก ก SET Passed 9 months FTSE Passed 5 months Passed (compare with others) Failed (compare with itself) ก SET กก ก => Market ก SET : ก ก ก FTSE : ก ก ก ก Market 21

22 Market Cap Size SET : ก ก ก Daily Average Market Cap(12 ) 50 ก SET50 FTSE : ก ก ก Full Market Cap( ก ก review) 30 ก FTSE SET Large Cap SET SET50 Index Stock Z 30 th Largest Daily Average Market Cap but 33 th Largest Full Market Cap as of 30 Nov,2007 FTSE Failed to be in FTSE SET Large Cap 22

23 ก Free Float( ) SET 1. > 5% 2. ก ก 3. ก 1. ก 2. ก FTSE 3. Trade investments (crossholdings) ก ก ก ก ก FTSE free float ก free float < 15% = not eligible free float > 15% but < 20% = 20% free float > 20% but < 30% = 30% free float > 30% but < 40% = 40% free float > 40% but < 50% = 50% free float > 50% but < 75% = 75% free float > 75% = 100% 23