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Total Return Index Calculation Methodology

Last updated: October 31, 2011

ImportantNotice:
1.ThisEnglishversionisnotanofficiallyaccuratetranslationoftheoriginalThaidocument.
InanycaseswheredifferencesarisebetweentheEnglishversionandtheoriginalThaiversion,
theoriginalThaidocumentwillprevail.
2.TheSETshallnotacceptanyresponsibilitiesfordamagescausedbyanyerrors,inaccuracies,
misunderstandingsormisspellingswithregardtothetranslationofthisdocument
3.Thisdocumentcanbeusedonlyforreference.Anyformsofpublishing,copyordistributionof
informationinthisdocumentarestrictlyprohibited.TheStockExchangeofThailand(TheSET)
reservestherightstoclaimcompensationfromviolatorsforanydamagesSETmaysufferfrom
thecontraventionoftheseconditions.
4.TheSETcalculatesallitsindexseriesinaccordancewiththemethodmentionedinthis
document.IfanyeventnotdescribedbelowoccursortheSETdecidesitisimpossibletousethe
followingmethod,theSETwilluseanalternativemethodofcalculationitdeemsvalid.
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
-

Daily Total Return Index


Daily Total Return Index
Daily Total Return t

t
t-1

=
=
=

t-1

x (1 + Daily Total Return t)

Total Return Index at time t


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

Daily Total Return: TR


n

( Clo sin g Pr ice Outs tan ding Shares )

t
t
i =1
TRt =
1 + Total Dividend Yield

n
t
( Clo sin g Pr ice Outs tan ding Shares ) ( Adjusted Pr ice Adjusted Shares)
t1
t1

i = 1

Total Divi dend Yield

n
(Dividend per share Outs tan ding Share s )
t-1
i =1

n
(Clo sin g Pr ice Outs tan ding Share s ) (Adjusted Pr ice Adjusted Shares)
t-1
t-1
i =1

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

( Closing Price t Outstanding Shares t ) Dividend Yield Weight

i =1
TRt =
1 + Total Dividend Yield
t
n
( Closing Price
Outstanding Shares ) ( Adjusted Price Adjusted Shares) Dividend Yield Weight
t -1
t -1

i = 1

[{

Total Divi dend Yield

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=

[{

n
(Dividend per share Outs tan ding Share s ) Dividend Yield Weight
t-1
i =1

n
Outs tan ding Share s ) (Adjusted Pr ice Adjusted Shares) Dividend Yield Weight
(Clo sin g Pr ice
t-1
t-1
i =1

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

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

The sum of TSR price and Exercise


price Closing price of the previous
trading day

4. Capital Increase by Public Offering/


Private Placement

5. Capital Increase by others such as


Warrants
6. Capital Decrease by decreasing in
number of share

7. Capital Decrease by decreasing in


par value

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
- 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

- 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
- 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
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
No adjustment

Corporate Action

Adjustment

8. Delisted Constituent

- 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

9. The Excluded Constituent:


The constituent is suspended more
than a year

- 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

10. The Resumed Constituent: The


constituent is resumed to trade.

Same as item 1

11. The constituent changes the


market/industry/sector/ or
move in/out SET50/SET100
Inclusion

Deletion

- 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

12. Split par

No adjustment

13. Stock Dividend

No adjustment

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