FTSE/ASEAN Index Series - set.or.th · PDF fileFTSE/ASEAN Index Series ... Jakarta (Jakarta...

27 July 2006

Authors

Research

Andy Harvell

Head of Research

+44 (0)20 7866 8986

[email protected]

Andreas Elia

Research Executive

+ 44 (0)20 7866 8013

[email protected]

Kamila Lewandowski

Index Development Executive

+44 20 7866 1877

[email protected]

FTSE/ASEAN Index Series Tradable and Benchmark Indices for South East Asia

Executive Summary

Overview

The FTSE/ASEAN Index series have been developed in conjunction with five

exchanges in the ASEAN (Association of South East Asian Nations) Region. The

five exchanges are from the ASEAN 5 countries namely Indonesia, Malaysia, the

Philippines, Singapore and Thailand. The exchanges involved are PT Bursa Efek

Jakarta (Jakarta Stock Exchange), Bursa Malaysia Berhad, The Philippine Stock

Exchange, Inc., Singapore Stock Exchange and The Stock Exchange of Thailand

(SET).

The FTSE/ASEAN Index Series

The FTSE/ASEAN 40 Index is a tradable consisting of 40 securities; the

FTSE/ASEAN Index is a benchmark index currently consisting of 180 securities,

based on the FTSE All-World ASEAN Index. The indices have lower volatility

compared to other indices in the region and a high degree of correlation between

the tradable and benchmark indices.

Using the Indices

The indices provide tools that can be used to give investors exposure to the

growing emerging market economies of the ASEAN region

FTSE/ASEAN Index Series ● Research Report 2nd Edition ● July 2006 2

FTSE Team Acting Head of Research &

Development

Andy Harvell

Head of Research

+44 (0)20 7866 8986

[email protected]

Research

Andy Harvell

Head of Research

+44 (0)20 7866 8986

[email protected]

Andreas Elia

Research Executive

+44 (0)20 7866 8013

[email protected]

Kamila Lewandowski

Research Executive

+44 (0)20 7866 1877

[email protected]

Index Design

Jamie Perrett

Head of Index Design

+44 (0)20 7866 1817

[email protected]

Tasos Kontos

Index Design Executive

+44 (0)20 7866 1887

[email protected]

Irene Lubelza Ricart

Index Design Executive

+44 (0)20 7866 1816

[email protected]

Contents

1. Overview 3

1.1 Population breakdown within ASEAN 4

1.2 ASEAN Free Trade Area (AFTA) 4

1.3 ASEAN 5 4

1.4 Economic Statistics 5 1.4.1 Gross Domestic Product (GDP) Nominal and Per Capita 5

1.5 About the ASEAN Exchanges 7 1.6 Exchange Statistics 8

2. The FTSE/ASEAN Index Series 9 2.1 The Indices 9

3. Performance 11 3.1 Performance 11

4.0 Volatility, Correlations, Tracking Errors, Betas & Risk Statistics 14 4.1 Volatility 14 4.2 Correlations 15 4.3 Tracking Error 16 4.4 Betas 16 4.5 Risk Ratios 17

5. Industry, Supersector and Sector Weightings 18 5.1 The Industry Classification Benchmark (ICB) 18 5.2 Industry Group Analysis 19 5.2.2 Comparison of the Over/Underweight Industry Groups compared to the

FTSE Asia Pacific ex Japan Index 20 5 Constituent Data 23 5.1 Top 10 Securities 23 5.2 FTSE/ASEAN 40 Index Constituents 24

7. Using the FTSE/ASEAN Indices 25 7.1 Index Values 25 7.2 Exchange Traded Funds (ETFs) 25 7.3 Index Linked Funds and OTC Products 25 7.4 Data Products 25

Appendix 26 Appendix 1: Background Company Information 26 Appendix 2: ICB Classification 27 Appendix 3: Index & Market Opening & Closing Times, Pricing & Exchange Rates

29 Appendix 4: Definitions 30

Notes 35

For information on purchasing data or licensing please contact FTSE Client Services:

US: [email protected] +1 212 641 6165

Europe: [email protected] +44 (0) 20 7866 1800

Asia: [email protected] +852 2230 5800


The Association of South East Asian Nations (ASEAN) was established on 8 Aug 1967 in Bangkok by five original member

countries: Indonesia, Malaysia, Philippines, Singapore and Thailand. Brunei Darussalam joined on 8 January 1984, Vietnam on

28 July 1995, Laos and Myanmar (Burma) on 23 July 1997, and Cambodia on 30 April 1999.

The ASEAN region had a population, in 1999, of 500 million (8% of the World’s population and larger than the European

Union), a total area of 4.5m sq. km (3.3% of the total surface area of the world), a combined GDP in 2003 of USD700bn

(growing 5% per annum) and a total trade of USD720bn. The economies of member countries of ASEAN are diverse, although

its major products include Electronics, Oil, and Wood.

The aims of the Association are to accelerate the economic

growth, social progress and cultural development of the region.

This is achieved through joint endeavours in the spirit of

equality and partnership in order to strengthen the foundation

for a prosperous and peaceful community on Southern Asian

nations. ASEAN also look to promote regional peace and

stability through abiding respect for justice and the rule of law

in the relationship among countries in the region and

adherence to the principles of the UN Charter. The countries

meet annually in November for summits.

ASEAN regularly conducts dialogue meetings with other

countries and an organization, collectively known as the ASEAN

dialogue partners. The members of this are Australia, Canada,

the People’s Republic of China, North Korea, South Korea, the

United States, India, Japan, Mongolia, New Zealand, Russia,

and the European Union. ASEAN Headquarters are located in

Jakarta, Indonesia.

The ASEAN countries are culturally diverse. ASEAN also

includes more Muslims than any other geopolitical entity --

about a quarter of a billion, mostly in Indonesia and Malaysia.

Other main religions of the various peoples in the region

include large numbers of Buddhists in Thailand, Myanmar,

Laos, Cambodia, Vietnam and Singapore and the predominantly Catholic Philippines.

Currencies: Philippine peso (PHP), Malaysian ringgit (MYR) or Malaysian dollar, Myanmar kyat (MMK), Laos kip (LAK), Thai baht

(BHT), Cambodian riel (KHR), Singapore dollar (SGD), Brunei dollar (BND), Indonesian rupiah (IDR) and Vietnamese dong

(VND).

1. Overview

Figure 1: Map of ASEAN Region

Source: FTSE, ASEAN Secretariat


1.1 Population breakdown within ASEAN The ASEAN population is 4.2 times the size of Japan, 1.2 times that of the EU-25 and 1.8 times that of the USA.

ASEAN population by country (2003)

Country Population

(m)

Pct

ASEAN

Pct

World

Population breakdown

Brunei 0.36 0.07 0.01

Cambodia 13.4 2.49 0.21

Indonesia 214.47 39.93 3.42

Laos 5.66 1.05 0.09

Malaysia 24.77 4.61 0.39

Myanmar 49.36 9.19 0.79

Philippines 81.50 15.17 1.30

Singapore 4.25 0.79 0.07

Thailand 62.01 11.55 0.99

Vietnam 81.31 15.14 1.30

ASEAN 10 537.11 100.00 8.56

ASEAN 5 387.00 72.05 6.17

Japan 127.21 2.03

China 1288.40 20.54

S Korea 47.91 0.76

Hong Kong SAR 6.82 0.11

Taiwan 22.52 0.36

USA 291.04 4.64

EU 25 453.9 7.24

Rest of World 3950.71 55.76

World Total 6271.7 100.00

Brunei

0.07%Cambodia

2.49%

Indonesia

39.93%

Malaysia

4.61%

Vietnam

15.14%

Thailand

11.55%

Singapore

0.79%

Philippines

15.17%Laos

1.05%Myanmar

9.19%

Brunei Cambodia Indonesia Laos Malaysia

Myanmar Philippines Singapore Thailand Vietnam

Source: ASEAN Secretariat

1.2 ASEAN Free Trade Area (AFTA) The AFTA is an agreement by ASEAN of local manufacturing in all ASEAN countries. Its aim is to increase ASEAN’s competitive

edge as a production base in the world markets, through the elimination of tariff and non-tariff barriers within ASEAN and to

attract more inward foreign direct investment to the region.

China and ASEAN are already committed to creating a free trade area by 2010, which would make the region the world's most

populous market, with 1.7 billion consumers.

1.3 ASEAN 5 The ASEAN 5 is a subset of countries within the ASEAN region. It is made up of Indonesia, Malaysia, the Philippines, Singapore

and Thailand, the five founder members of ASEAN. It accounts for 72% of the ASEAN population and 6.17% of the world

population. The ASEAN 5 accounts for 91% of ASEAN GDP, equivalent to 1.72% of global GDP and had GDP growth of 5.93%

in fiscal year 2004.

The FTSE/ASEAN indices are produced in conjunction with the exchanges of the ASEAN 5 countries.


1.4 Economic Statistics

1.4.1 Gross Domestic Product (GDP) Nominal and Per Capita

GDP Nominal & Per Capita (2003)

Country Actual figure

(GDPbn)

ASEAN

Ratio (%)

World

Ratio (%)

GDP per Capita

(USD)

World Ave Ratio

(%)

Brunei 4.7 0.68 0.01 13,056 225.22

Cambodia 4.2 0.61 0.01 313 5.41

Indonesia 208.5 30.38 0.57 972 16.77

Laos 2.0 0.29 0.01 353 6.10

Malaysia 103.2 15.04 0.28 4,166 71.87

Myanmar 9.6 1.40 0.03 194 3.36

Philippines 80.4 11.71 0.22 987 17.02

Singapore 91.4 13.32 0.25 21,506 370.99

Thailand 143.3 20.88 0.39 2,311 39.86

Vietnam 39.0 5.68 0.11 480 8.27

ASEAN 10 686.3 100.00 1.89 1,278 22.04

ASEAN 5 626.8 91.33 1.72 1,620 27.94

Japan 4,326.4 11.90 34.010 586.69

China 1,409.9 3.88 1,094 18.88

S Korea 605.3 1.66 12,634 217.95

Hong Kong SAR 158.6 0.44 23,255 401.17

Taiwan 281.5 0.77 12,500 215.63

USA 10,881.6 29.93 37,389 644.98

EU 25 10,970.2 30.17 24,169 416.93

Rest of World 7,036.4 19.35 2,012 34.71

World Total 36,356.2 100.00 5,797 100.00

Source: Facts about ASEAN

1.4.2 Real GDP Growth (%, y-o-y)

Real GDP Growth (%, y-o-y) 1996 – 2004

Country 1996 1997 1998 1999 2000 2001 2002 2003 2004

Brunei 1.01 3.60 -3.99 2.56 2.82 3.05 2.83 3.20

Cambodia 4.60 6.82 3.70 10.78 7.03 5.67 5.48 5.00

Indonesia 7.82 4.70 -13.13 0.79 4.92 3.45 3.69 4.10 4.32

Laos 6.89 6.91 3.99 7.28 5.81 5.76 5.70 5.90

Malaysia 10.00 7.32 -7.36 6.14 8.86 0.32 4.15 5.31 8.01

Myanmar 6.44 5.74 5.77 10.92 13.70 10.50 5.00 5.10

Philippines 5.85 5.19 -0.59 3.41 4.38 4.52 3.12 4.70 6.15

Singapore 7.71 8.51 -0.86 6.42 9.41 -2.37 3.29 1.09 12.55

Thailand 5.90 -1.37 -10.51 4.45 4.76 2.14 5.41 6.75

Vietnam 9.33 8.15 5.83 4.71 6.76 6.93 7.04 7.24 6.29

ASEAN 10 7.30 4.16 -7.14 3.58 5.91 3.26 4.33 5.01

ASEAN 5 7.23 3.76 -8.93 3.11 5.54 2.59 4.04 4.80 5.93

BCLMV 7.85 7.23 5.21 6.71 8.36 7.57 6.20 6.34

Japan 3.62 1.72 -1.11 -0.03 2.39 0.16 -0.29 1.41 2.64

China 9.60 8.80 7.80 7.10 8.00 7.50 8.00 9.30 9.50

S Korea 6.92 4.63 -6.73 9.45 8.48 3.8 6.97 3.11 4.66

Hong Kong SAR

Taiwan

USA 3.7 4.5 4.2 4.5 3.7 0.8 1.6 2.7 4.2

EU 15 2.00 3.00 3.00 3.00 4.00 2.00 1.00 1.00 2.00

Source: ASEAN Statistics Unit, Thomson Financial Datastream

ASEAN 5: Indonesia, Malaysia, Philippines, Singapore and Thailand

BCLMV: Brunei Darussalam, Cambodia, Laos, Myanmar and Vietnam


1.4.3 ASEAN’s trade with the world

• Approximately 24% of total trade value (both import and export) is intra-regional

• Exports have risen by 25% over the last nine years.

• The value of the ASEAN trade is larger than that of the MERCOSUR region

ASEAN Trade Value (2003)

Exports Imports

Country/Region Trade Value

(GDPmn)

(%Total) Trade Value

(GDPmn)

(%Total)

Intra-Regional 95,641 23.7 97,658 24.2

USA 71,831 17.8 52,865 13.1

EU 56,497 14.0 43,987 10.9

Japan 50,847 12.6 66,182 16.4

China 21,388 5.3 30,670 7.6

Others 107,344 26.6 112,186 27.8

Total 403,547 100.0 355,164 100.0


Comparison with other trading regions (Imports and Exports 2003)

Country/Region Members Nominal GDP

(USDbn)

Trade Value

(GDPbn)

ASEAN 10 countries 686.3 758.7

European Union 15 15 countries 10,482.7 4,752.1

European Union 25 25 countries (2004/05) 10,970.2 5,090.3

North American Free Trade Agreement

(NAFTA)

3 countries

(USA, Canada, Mexico)

12,342.1 2,698.9

Mercado Comun del Sur (MERCOSUR) 4 countries

(Argentina, Brazil, Paraguay, Uraguay)

639.1 150.0


European Union 15 – Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, Netherlands, Portugal, Spain,

Sweden, UK.

European Union 25 – EU-15 plus Cyprus, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Slovak Republic and Slovenia.


1.5 About the ASEAN Exchanges The FTSE/ASEAN indices are a joint collaboration between FTSE and the exchanges of the ASEAN 5 countries. This initiative is

the first collaborative effort amongst the Exchanges under the ASEAN umbrella using FTSEs internationally recognised index

design methodology. The exchanges involved are Bursa Malaysia Berhad, PT Bursa Efek Jakarta (Jakarta Stock Exchange), the

Philippine Stock Exchange, Inc., Singapore Stock Exchange Limited (SGX) and the Stock Exchange of Thailand (SET).

1.5.1 Bursa Malaysia Berhad

Bursa Malaysia Berhad is a public company limited by shares under the Companies Act 1965. Bursa Malaysia is an approved

exchange holding company under Section 11D of the Securities Industry Act 1983. Other companies in the Bursa Malaysia Bhd

Group of companies include a stock exchange, a derivatives exchange, an off-shore international financial exchange, equity and

derivatives clearing houses, a central depository, an information services provider and an Information Technology services

provider.

Bursa Malaysia Securities Berhad, a wholly-owned subsidiary of Bursa Malaysia Berhad, is an approved stock exchange under

Section 8 of the Securities Industry Act 1983.

1.5.2 PT Bursa Efek Jakarta (Jakarta Stock Exchange)

PT Bursa Efek Jakarta (Jakarta Stock Exchange), the Company, was established in 1992. In accordance to the Indonesian

Capital Market Law, Law Number 8/ 1995, the main purpose of the PT Bursa Efek Jakarta (Jakarta Stock Exchange) is to

establish a regular, fair and efficient securities trading activities.

1.5.3 The Philippine Stock Exchange

The Philippine Stock Exchange, Incorporated (PSE) owns and operates the only stock exchange in the Philippines. The

Securities and Exchange Commission granted the company the status of self-regulatory organisation in 1998.

It was incorporated in 1992 as a non-stock corporation and underwent a listing by way of introduction in 2003, pursuant to the

demutualization mandate of the Securities Regulation Code of 2000. In addition, the PSE sold equity to strategic investors by

way of private placement in 2004.

1.5.4 Singapore Stock Exchange (SGX)

Singapore Exchange Limited (SGX) is Asia-Pacific's first demutualised and integrated securities and derivatives exchange.

SGX was inaugurated on 1 December 1999, following the merger of two established and well-respected financial institutions -

the Stock Exchange of Singapore (SES) and the Singapore International Monetary Exchange (SIMEX).

On 23 November 2000, SGX became the first exchange in Asia-Pacific to be listed via a public offer and a private placement.

Listed on its own bourse, the SGX stock is a component of benchmark indices such as the FTSE All-World Index and the Straits

Times Index.

1.5.5 The Stock Exchange of Thailand

The Stock Exchange of Thailand (SET) was established in 1975 under the 1974 Securities Exchange Act of Thailand and

officially began securities trading on April 30, 1975. The Stock Exchange of Thailand stands at the centre of Thailand’s capital

market, and is a thriving and dynamic exchange offering a full range of products, services and trading infrastructure for

investors, listed companies and other participants.


1.6 Exchange Statistics

ASEAN 5 Exchange Statistics – Number of Companies Listed and Market Capitalisation

Listed Cos Mkt Cap

Of Listed Cos

(USDm)

Exchange Country End 2005 End 2004 % Change

2004/2005

End 2005 End 2004 % Change

2004/2005

Jakarta SE Indonesia 336 331 1.5 81,428.1 73,250.6 11.2

Bursa Malaysia Malaysia 1019 959 6.3 180,517.5 181,623.8 -0.6

Philippine SE Philippines 237 235 0.9 39,817.8 28,602.0 39.2

Singapore Exchange Singapore 686 633 8.4 257,340.6 217,617.8 18.3

Thailand SE Thailand 504 463 8.9 123,885.0 115,390.4 28.5

Source: World Federation of Exchanges Annual Report & Statistics 2005

ASEAN 5 Exchange Statistics – Number of Companies Listed and Market Capitalisation

Exchange Country Value

Traded

(USDm)

No

Trades

(m)

No Shares

Traded

(m)

Ave Daily

Turnover

(USDm)

Ave Value of

Trades

(USD000s)

Jakarta SE Indonesia 27,517.7 3,724.0 411,768.3 114.2 7.4

Bursa Malaysia Malaysia 61,636.4 20,035.3 122,680.4 248.5 3.1

Philippine SE Philippines 3,681.2 633.6 284,341.7 247.0 5.8

Singapore Exchange Singapore 107,247.4 n/a 171,149.7 252.0 n/a

Thailand SE Thailand 116,381.2 28,551.7 555,298.7 247.0 4.1

Source: World Federation of Exchanges Annual Report & Statistics 2005


� The FTSE/ASEAN Indices are designed to represent the performance of ASEAN region’s markets.

� Initially the series will comprise of five markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Other

markets may be added over time.

� The series contains a benchmark and a tradable index that is suitable for Exchange Traded Funds (ETFs), derivatives

and other tradable products.

These indices have been produced in collaboration with exchanges of the initial five countries listed above and are derived from

the FTSE All-World ASEAN Index, part of the FTSE Global Equity Index Series.

These indices are designed to give investors access to the ASEAN markets a major emerging player in the global market place,

and present new and exciting opportunities.

2.1 The Indices

2.1.1 The FTSE/ASEAN Index

This index represents those companies from the ASEAN region w are current constituents of the FTSE All-World Index. The

Index is calculated on an end-of-day basis. Capital and Total Return Indices are available and the base currency for the

FTSE/ASEAN Index is US dollars.

Constituents of the FTSE All-World Country Index for each participating exchange are eligible for inclusion in the index. The

shares, free float weightings and treatment of secondary lines of stock of constituents are the same as those used in the FTSE

Global Equity Index Series.

The constituents of the FTSE/ASEAN Index are determined by the ground rules of the FTSE Global Equity Index Series.

Companies must trade at least 0.5% of their available shares in issue, in ten out of twelve months prior to an index review to

be eligible for inclusion in the index. This ensures that every stock is liquid, keeps trading impact lower and reduces turnover.

They must also have a market capitalisation greater than USD100m.

Free float adjusted to take into account that available shares to be traded are applied using a banding structure. The bands are

narrower at the lower end of the scale for greater sensitivity, and broader at the top. The weighting of companies therefore

remains stable unless a significant corporate event occurs. The system is proven to accurately reflect the investability of a

company, without subjecting investors to unnecessary rebalancing and transaction costs.

2.1.2 The FTSE/ASEAN 40 Index

This index is designed to represent the performance of the largest companies in the ASEAN region’s markets. It is suitable for

Exchange Traded Funds (ETFs), derivatives and other tradable products. The index is calculated in real-time and published

every 15 seconds during the hours of calculation. The base currency for the index is US dollars. Total return and price indices

are available on an end of day basis.

The index consists of the largest 40 companies by full market capitalisation from the eligible markets. Securities that are

members of the FTSE All-World Country Index of Singapore, Malaysia, Thailand, Indonesia or the Philippines are potentially

eligible for inclusion in the FTSE/ASEAN 40 Index, subject to them passing a liquidity screen. Each security must turn over at

least 20% of its shares in issue, after adjusting for free float, in the twelve months prior to the review.

The FTSE/ASEAN 40 Index is reviewed annually in March, based on data from the close of the last business day in February.

Changes arising from the annual review are implemented after the close of business on the third Friday in March.

If a constituent of the FTSE/ASEAN 40 Index ceases to be a constituent of the FTSE Global Equity Index Series it will be

removed from the index. The removal will be concurrent with its removal from the FTSE Global Equity Index Series. The

highest-ranking non-constituent from the FTSE/ASEAN Index will become eligible for inclusion into the index and will be added

at the same time.

2. The FTSE/ASEAN Index Series


If a constituent is added to the relevant FTSE Global Equity Index Series Country Index it will be considered for eligibility to the

FTSE/ASEAN 40 Index at the next annual review.

If two constituents of the FTSE/ASEAN 40 merge the resulting company will remain a constituent of the index and a vacancy

will be created. This vacancy will be filled by selecting the largest eligible non-constituent security, by full market capitalisation,

from the FTSE/ASEAN Index at the time of the event. The removal and replacement of these stocks will be simultaneous.

If a constituent is taken over by an eligible non-constituent, the original constituent will be removed and replaced by the

merged entity. In the event that the merged entity is non-eligible for the index, it will be replaced by the largest eligible non-

constituent security, by full market capitalisation, from the FTSE/ASEAN Index at the time the time of the event. The removal

and replacement of these stocks will be simultaneous.

2.1.3 Country representation in the indices

The chart below shows the breakdown of the FTSE/ASEAN 40 and FTSE/ASEAN Indices by market capitalisations. In the

FTSE/ASEAN 40 Index Singapore and Thailand have a larger representation than in the benchmark FTSE/ASEAN Index.

Comparison of FTSE ASEAN 40 Index with FTSE ASEAN Index Country Weights (%)

45 .2 4

2 7 .7 6

13 .2 1 1 3 .0 0

0 .7 9

4 2 .3 1

31 .6 1

10 .4 6

2 .40

13 .2 2

0

1 0

20

30

40

50

S ing a po re M a la ys ia T ha ila nd Indo ne s ia Ph ilip p in e s

F T S E /A S EA N 40 Inde x F T S E/A S EA N Inde x

(% )

Source: FTSE Group

The Philippines weighting in the FTSE ASEAN/40 Index is about a third of that in the FTSE/ASEAN Index and is represented by

one security, compared to 12 out of 157 in the FTSE/ASEAN Index, as at 31 May 2006.

Comparison of number of securities in FTSE/ASEAN 40 Index and FTSE/ASEAN Index

Country FTSE/ASEAN 40 Index FTSE/ASEAN Index

Singapore 11 47

Malaysia 12 44

Thailand 9 41

Indonesia 7 15

Philippines 1 10

Total 40 157

Source: FTSE Group


3.1 Performance

3.1.1 FTSE/ASEAN Index Series – Five Year Total Returns

Five year total return performance to 30 June 2006 (USD terms)

0

5 0

1 0 0

1 5 0

2 0 0

2 5 0

3 0 0

3 5 0

4 0 0

4 5 0

Jun-

2001

Sep-

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Dec

-200

1

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-200

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2002

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Dec

-200

2

Mar

-200

3

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2003

Sep-

2003

Dec

-200

3

Mar

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4

Jun-

2004

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5

Jun-

2005

Sep-

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Dec

-200

5

Mar

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6

Jun-

2006

Index V

alu

es

Rebase

d (

29 J

une 0

1 =

100)

FT S E /A S E A N 4 0 In d e x ( T R) FT S E A S E A N In d e x ( T R )

FT S E G re at e r C h in a In d e x ( T R ) FT S E A sia P ac if ic e x Jap an In d e x ( T R )

FT S E Ch in a In d e x ( T R ) FT S E In d ia In d e x ( T R)

Source: FTSE Group Data as at 30 June 2006

3.1.2 FTSE/ASEAN Index Series – One Year Total Returns

One year total return performance to 30 June 2006 (USD terms)

9 0

1 0 0

1 1 0

1 2 0

1 3 0

1 4 0

1 5 0

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1 7 0

1 8 0

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005

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d (

30 J

une 0

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100)

FT S E /A S E A N 4 0 In d e x ( T R ) FT S E A S E A N In d e x ( T R )

FT S E G re at e r Ch in a In d e x ( T R ) FT S E G E IS G re at e r Ch in a In d e x ( T R)

FT S E G E IS A S E A N A ll-Cap In d e x ( T R ) FT S E A sia P ac if ic e x Jap an In d e x ( T R)

FT S E Ch in a In d e x ( T R ) FT S E In d ia In d e x ( T R)


3. Performance


3.1.3 FTSE/ASEAN Index Series – Five Year Price Index Returns

Five year price index performance to 30 June 2006 (USD terms)

0

5 0

1 0 0

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d (

29 J

une 0

1 =

100)

FT S E /A S E A N 4 0 In d e x FT S E A S E A N In d e x FT S E G re at e r Ch in a In d e x

FT S E A sia P ac if ic e x Jap an In d e x FT S E C h in a In d e x FT S E In d ia In d e x


3.1.4 FTSE/ASEAN Index Series – One Year Price Index Returns

One year price index performance to 30 June 2006 (USD terms)

9 0

1 0 0

1 1 0

1 2 0

1 3 0

1 4 0

1 5 0

1 6 0

1 7 0

1 8 0

Jun-

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005

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-200

5

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Index V

alu

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d (

30 J

une 0

5 =

100)

FT S E /A S E A N 4 0 In d e x FT S E A S E A N In d e x FT S E G re a t e r Ch in a In d e x

FT S E G E IS G re a t e r Ch in a In d e x FT S E G E IS A S E A N A ll-Cap In d e x FT S E A sia P ac if ic e x Jap an In d e x

FT S E Ch in a In d e x FT S E In d ia In d e x

Source: FTSE Group


3.1.5 Price Index Performance over last 5 years

Capital returns over the last 5 years (USD terms)

Index 3M 6M 12M 2YR 3YR 5YR 3YR Ann 5YR Ann

% % % % % % % %

FTSE/ASEAN 40 Index -0.84 9.42 16.71 38.63 76.34 76.14 20.81 11.99

FTSE/ASEAN Index -2.43 7.94 14.68 34.83 69.26 82.39 19.18 12.77

FTSE Greater China Index 0.93 9.21 14.07 34.06 72.43 29.75 19.91 5.35

FTSE GEIS Greater China All-Cap Index 0.53 9.04 13.56 32.55 68.96 n/a 19.11 n/a

FTSE GEIS ASEAN All-Cap Index -2.76 8.91 15.08 34.11 66.74 n/a 18.58 n/a

FTSE Asia Pacific ex Japan -0.36 7.10 20.82 53.37 92.03 91.69 24.30 13.90

FTSE China Index 2.21 30.35 42.65 57.22 125.97 129.79 31.23 18.10

FTSE India Index -10.98 8.69 36.13 110.19 183.47 199.55 41.53 24.54

Source: FTSE Group

3.1.6 Total returns over last 5 years

Total returns over the last 5 years (USD terms)

Index 3M 6M 12M 2YR 3YR 5YR 3YR Ann 5YR Ann

% % % % % % % %

FTSE/ASEAN 40 Index 0.12 10.90 20.28 48.03 94.58 108.51 24.84 15.83

FTSE/ASEAN Index -1.48 9.53 18.20 43.52 84.78 109.39 22.71 15.93

FTSE Greater China Index 2.00 10.51 17.73 42.84 88.46 49.75 23.52 8.41

FTSE GEIS Greater China All-Cap Index 1.55 10.30 17.19 41.15 84.49 n/a 22.65 n/a

FTSE GEIS ASEAN All-Cap Index -1.81 10.50 18.56 42.62 81.82 n/a 22.05 n/a

FTSE Asia Pacific ex Japan 0.39 8.65 24.56 63.56 110.76 122.86 28.21 17.38

FTSE China Index 3.83 32.42 46.00 66.07 145.62 176.56 34.92 22.56

FTSE India Index -10.51 9.39 38.13 118.10 201.85 232.00 44.52 27.12

Source: FTSE Group


4.1 Volatility

4.1.1 Short term FTSE/ASEAN Index Series Volatility compared to FTSE Asia Pacific ex Japan Index

66 Day Rolling volatility (annualised)

0

5

1 0

1 5

2 0

2 5

6/30

/200

3

8/30

/200

3

10/3

0/20

03

12/3

0/20

03

2/29

/200

4

4/30

/200

4

6/30

/200

4

8/30

/200

4

10/3

0/20

04

12/3

0/20

04

2/28

/200

5

4/30

/200

5

6/30

/200

5

8/30

/200

5

10/3

0/20

05

12/3

0/20

05

2/28

/200

6

4/30

/200

6

6/30

/200

6

Annualise

d V

ola

tility

(%

)

FT S E /A S E A N 4 0 In d e x FT S E A S E A N In d e x FT S E A sia P ac if ic e x Jap an In d e x


Volatility annualised using basis of 260 trading days in a year

4.1.2 Longer term FTSE/ASEAN Index Series Volatility compared to FTSE Asia Pacific ex Japan Index

1 Year Rolling volatility (annualised

8

1 0

1 2

1 4

1 6

1 8

2 0

6/30

/200

3

8/30

/200

3

10/3

0/20

03

12/3

0/20

03

2/29

/200

4

4/30

/200

4

6/30

/200

4

8/30

/200

4

10/3

0/20

04

12/3

0/20

04

2/28

/200

5

4/30

/200

5

6/30

/200

5

8/30

/200

5

10/3

0/20

05

12/3

0/20

05

2/28

/200

6

4/30

/200

6

6/30

/200

6

Annualise

d V

ola

tility

(%

)

FT S E /A S E A N 4 0 In d e x FT S E A S E A N In d e x FT S E A sia P ac if ic e x Jap an In d e x


Volatility annualised using basis of 260 trading days in a year

4.0 Volatility, Correlations, Tracking Errors, Betas & Risk Statistics


4.1.10 Annualised Volatilities

Annualised Volatilities over short to very long time periods

Index 22D 66D 6M 1YR 3YR 5YR

(%) (%) (%) (%) (%) (%)

FTSE/ASEAN 40 Index 24.65 22.58 18.33 12.65 12.46 17.17

FTSE/ASEAN Index 22.06 19.80 16.12 11.77 12.26 16.65

FTSE Greater China Index 27.37 21.40 17.97 16.58 16.10 20.09

FTSE GEIS Greater China All-Cap Index 27.66 21.24 17.84 16.42 16.20 n/a

FTSE GEIS ASEAN All-Cap Index 22.15 20.28 16.44 11.83 12.71 n/a

FTSE Asia Pacific ex Japan Index 27.72 21.84 18.27 13.81 14.44 17.29

FTSE China Index 35.66 30.80 27.37 23.55 26.23 23.99

FTSE India Index 61.42 47.73 38.12 25.77 26.15 25.38


22D, 66D, 6M and 1YR daily returns, 260d annualising; 3YR, 5YR monthly returns, 12m annualising

4.2 Correlations

4.2.1 Correlation over 1 year period

1 Yr correlation using daily price returns

Index FTSE/

ASEAN

40

Index

FTSE/

ASEAN

Index

FTSE

Greater

China

Index

FTSE

GEIS

Greater

China

All-Cap

Index

FTSE

GEIS

ASEAN

All-Cap

Index

FTSE

Asia

Pacific

ex

Japan

Index

FTSE

China

Index

FTSE

India

Index

FTSE/ASEAN 40 Index 1.0000 0.9741 0.7231 0.7184 0.9692 0.8027 0.6004 0.6240

FTSE/ASEAN Index 1.0000 0.7219 0.7173 0.9973 0.8218 0.6020 0.6346

FTSE Greater China Index 1.0000 0.9981 0.7270 0.8912 0.7756 0.5613

FTSE GEIS Greater China All-Cap Index 1.0000 0.7220 0.8848 0.7607 0.5544

FTSE GEIS ASEAN All-Cap Index 1.0000 0.8240 0.6101 0.6377

FTSE Asia Pacific ex Japan Index 1.0000 0.7232 0.6857

FTSE China Index 1.0000 0.5120

FTSE India Index 1.0000




Index FTSE/

ASEAN

40

Index

FTSE/

ASEAN

Index

FTSE

Greater

China

Index

FTSE

GEIS

Greater

China

All-Cap

Index

FTSE

GEIS

ASEAN

All-Cap

Index

FTSE

Asia

Pacific

ex

Japan

Index

FTSE

China

Index

FTSE

India

Index

FTSE/ASEAN 40 Index 1.0000 0.9849 0.7475 n/a n/a 0.8203 0.5683 0.6678

FTSE/ASEAN Index 1.0000 0.7830 n/a n/a 0.8615 0.6143 0.6757

FTSE Greater China Index 1.0000 n/a n/a 0.9279 0.6142 0.5460

FTSE GEIS Greater China All-Cap Index 1.0000 n/a n/a n/a n/a

FTSE GEIS ASEAN All-Cap Index 1.0000 n/a n/a n/a








Index FTSE/

ASEAN

40

Index

FTSE/

ASEAN

Index

FTSE

Greater

China

Index

FTSE

GEIS

Greater

China

All-Cap

Index

FTSE

GEIS

ASEAN

All-Cap

Index

FTSE

Asia

Pacific

ex

Japan

Index

FTSE

China

Index

FTSE

India

Index

FTSE/ASEAN 40 Index 1.0000 0.9854 0.7315 n/a n/a 0.8070 0.4032 0.6089

FTSE/ASEAN Index 1.0000 0.7411 n/a n/a 0.8287 0.4279 0.6161

FTSE Greater China Index 1.0000 n/a n/a 0.9288 0.5740 0.5740

FTSE GEIS Greater China All-Cap Index 1.0000 n/a n/a n/a n/a

FTSE GEIS ASEAN All-Cap Index 1.0000 n/a n/a n/a





4.3 Tracking Error

4.3.1 FTSE/ASEAN 40 Index versus FTSE/ASEAN Index and FTSE Asia Pacific ex Japan Index

Tracking error

Index 1YR % 3YR % 5Y %

Index 66D % 1Y % 3Y %

FTSE/ASEAN Index 0.213 0.562 0.849

FTSE Greater China Index 0.674 3.075 4.018

FTSE GEIS Greater China All-Cap Index 0.678 3.115 n/a

FTSE GEIS ASEAN All-Cap Index 0.226 0.638 n/a


FTSE China Index 1.060 5.792 6.697

FTSE India Index 1.378 5.363 5.832


4.4 Betas

4.4.1 FTSE/ASEAN Betas versus benchmark FTSE Indices

Betas of FTSE/ASEAN 40 Index vs. underlying FTSE Indices

Index 1YR % 3YR % 5YR %

FTSE/ASEAN Index 1.044 1.004 1.016

FTSE Greater China Index 0.504 0.581 0.625

FTSE GEIS Greater China All-Cap Index 0.506 0.574 n/a

FTSE GEIS ASEAN All-Cap Index 1.033 0.966 n/a


FTSE China Index 0.304 0.320 0.289

FTSE India Index 0.234 0.361 0.412



4.5 Risk Ratios

4.5.1 Sharpe Ratios

Sharpe Ratios over 1, 3 and 5 year time periods

Index Measure 1YR 3YR 5YR

FTSE/ASEAN 40 Index Average Return - Risk Free Rate (%) 12.485 17.306 10.274

Annualised Standard Devaition of Index Returns (%) 14.159 12.633 14.597

Sharpe Ratio 0.882 1.370 0.704

FTSE/ASEAN Index Average Return - Risk Free Rate (%) 10.516 15.836 10.792


Sharpe Ratio 0.837 1.348 0.811

FTSE Greater China Index Average Return - Risk Free Rate (%) 10.304 17.132 4.826


Sharpe Ratio 0.690 1.035 0.260

FTSE GEIS Greater China All-Cap Index Average Return - Risk Free Rate (%) 9.845 16.430 n/a

Annualised Standard Devaition of Index Returns (%) 14.848 16.396 n/a

Sharpe Ratio 0.663 1.002 n/a

FTSE GEIS ASEAN All-Cap Index Average Return - Risk Free Rate (%) 10.883 15.341 n/a

Annualised Standard Devaition of Index Returns (%) 12.685 11.797 n/a

Sharpe Ratio 0.858 1.300 n/a

FTSE Asia Pacific ex Japan Index Average Return - Risk Free Rate (%) 16.026 20.295 12.058


Sharpe Ratio 1.091 1.472 0.793


Based on daily capital value returns, 3M US Treasury Bill


5.1 The Industry Classification Benchmark (ICB) Securities within the FTSE/ASEAN Index Series have been classified using the Industry Classification Benchmark (ICB).

The ICB brings together two premier global providers of indices – FTSE Group and Dow Jones Indexes. It is a detailed and

comprehensive structure for sector and industry analysis, facilitating the comparison of companies across four levels of

classification and national boundaries. The system allocates companies to the Subsector whose definition most closely describes

the nature of its business. The nature of a company’s business is determined by its source of revenue or where it constitutes

the majority of its revenue.

The ICB Universe Database contains securities from over 50,000 companies, from the FTSE and Dow Jones Indexes universes.

The database covers 67 countries The classification structure consists of four layers:

• 10 Industries help investors monitor broad industry trends

• 18 Supersectors can be used for identifying macroeconomic opportunities for investment and trading decisions

• 39 Sectors provide a broad benchmark for investment managers

• 104 Subsectors allow for more detailed quantitative analysis

ICB has been adopted by stock exchanges representing over 65% of the world’s market capitalisation.

5. Industry, Supersector and Sector Weightings


5.2 Industry Group Analysis � In both the FTSE/ASEAN 40 Index and FTSE/ASEAN the Financials (8000) is the largest Industry Group accounting for

42.2% in the tradable index and 38.0% in the benchmark index market capitalisation.

� Industry Group breakdown shows the region’s dominance by Financials (8000), Industrials (2000),

Telecommunications (6000) and Consumer Services (5000) companies with a low representation in Technology (9000).

� Telecommunications (6000) is the second largest Industry group in the tradable index and Industrials (2000) has the

second largest representation in the benchmark index.

� The tradable index has no representation from the Basic Materials (1000), Health Care (4000) and Technology (9000)

Industry Groups.

� Compared to the FTSE Asia Pacific ex Japan Index, the FTSE/ASEAN indices have a large underweight in Technology

(9000) and Basic Materials (1000) and a large overweight in Telecommunications (6000), Consumer Services (5000)

and Financials (8000).

5.2.1 Comparison of Industry Group weightings between the FTSE/ASEAN 40 and FTSE/ASEAN Indices and FTSE

A-W Asia Pacific ex Japan Index

Industry Group Weightings (%)

-20

-15

-10

-5

0

5

10

15

Oil &

Gas

Basic

Materials

Indu

stria

ls

Cons

umer Goo

ds

Healt

h Ca

re

Cons

umer Service

s

Teleco

mmun

ications

Utilities

Fina

ncials

Tech

nology

FTSE/ASEAN 40 Index FTSE/ASEAN Index



5.2.2 Comparison of the Over/Underweight Industry Groups compared to the FTSE Asia Pacific ex Japan Index

Over/Underweights vs. FTSE Asia Pacific ex Japan

0

10

20

30

40

50

Oil &

Gas

Basic

Materials

Indu

stria

ls

Cons

umer Goo

ds

Hea

lth Care

Cons

umer Service

s

Teleco

mmun

icatio

ns

Utilities

Fina

ncials

Tech

nology

FTSE/ASEAN 40 Index FTSE/ASEAN Index FTSE Asia-Pacific Ex Japan Index


5.2.3 ICB Industry Breakdown of the FTSE/ASEAN 40, FTSE/ASEAN and FTSE Asia Pacific Ex Japan Indices

Comparison of industry weights between the FTSE ASEAN Index Series and FTSE Asia Pacific ex Japan Index

ICB

Code

ICB Industry FTSE/ASEAN 40 Index FTSE/ASEAN Index FTSE Asia Pacific ex Japan

Index

No Cons Index Wgt% No Cons Index Wgt% No Cons Index Wgt%

0001 Oil & Gas 2 6.5 5 4.9 28 5.7

1000 Basic Materials 1 1.4 8 2.5 69 11.9

2000 Industrials 5 8.5 26 13.0 152 13.1

3000 Consumer Goods 3 5.9 20 8.3 96 7.1

4000 Health Care - - 1 0.4 18 1.3

5000 Consumer Services 6 12.6 24 12.5 88 7.4

6000 Telecommunications 7 19.4 13 14.5 30 5.0

7000 Utilities 3 5.7 10 5.8 38 3.5

8000 Financials 13 40.0 46 36.9 179 32.1

9000 Technology - - 4 1.2 71 12.9

Totals 40 100.00 157 100.00 815 100.00



5.2.3 ICB Supersector Breakdown of the FTSE/ASEAN 40, FTSE/ASEAN and FTSE Asia Pacific Ex Japan Indices

Comparison of supersector weights between the FTSE ASEAN Index Series and FTSE Asia Pacific ex Japan Index

ICB

Code

ICB Supersector FTSE/ASEAN 40 Index FTSE/ASEAN Index FTSE Asia Pacific ex Japan

Index


0500 Oil & Gas 2 5.46 5 4.34 27 5.09

1300 Chemicals 1 1.10 4 1.12 30 2.77

1700 Basic Resources 0 0.00 4 1.12 41 8.32

2300 Construction & Materials 1 1.15 8 1.84 33 2.41

2700 Industrial Goods & Services 4 7.21 18 11.14 123 10.46

3300 Automobiles & Parts 1 2.02 3 1.92 25 2.06

3500 Food & Beverage 1 2.22 13 4.40 35 2.05

3700 Personal & Household Goods 1 0.98 4 1.38 41 2.91

4500 Health Care 0 0.00 1 0.35 23 1.41

5300 Retail 0 0.00 5 0.96 21 3.03

5500 Media 2 3.05 5 2.39 22 0.76

5700 Travel & Leisure 4 8.94 14 8.88 42 2.62

6500 Telecommunications 7 20.37 13 15.48 36 6.30

7500 Utilities 3 5.29 10 5.68 41 3.42

8300 Banks 12 39.75 25 30.78 76 17.36

8500 Insurance 0 0.00 0 0.00 10 2.46

8700 Financial Services 1 2.48 21 7.23 111 12.97

9500 Technology 0 0.00 4 0.99 80 13.61

Totals 40 100.00 157 100.00 817 100.00



5.2 ICB Sector Breakdowns

Comparison of sector weights between the FTSE ASEAN Index Series and FTSE Asia Pacific ex Japan Index

ICB

Code

ICB Sector FTSE/ASEAN 40 Index FTSE/ASEAN Index FTSE Asia Pacific ex Japan

Index


530 Oil & Gas Producers 2 5.46 5 4.34 24 4.89

570 Oil Equip, Services & Distribution 0 0.00 0 0.00 3 0.20

1350 Chemicals 1 1.10 4 1.12 30 2.77

1730 Forestry & Paper 0 0.00 0 0.00 4 0.10

1750 Industrial Metals 0 0.00 2 0.29 26 3.01

1770 Mining 0 0.00 2 0.83 11 5.20

2350 Construction & Materials 1 1.15 8 1.84 33 2.41

2710 Aerospace & Defense 1 1.70 1 1.12 2 0.14

2720 General Industrials 2 4.58 4 4.84 20 3.93

2730 Electronic & Electrical Equipment 0 0.00 4 1.67 28 1.53

2750 Industrial Engineering 0 0.00 1 0.46 19 1.52

2770 Industrial Transportation 1 0.92 8 3.06 45 2.31

2790 Support Services 0 0.00 0 0.00 9 1.02

3350 Automobiles & Parts 1 2.02 3 1.92 25 2.06

3530 Beverages 0 0.00 2 1.09 9 0.86

3570 Food Producers 1 2.22 11 3.31 26 1.19

3720 Household Goods 0 0.00 1 0.21 8 0.41

3740 Leisure Goods 0 0.00 0 0.00 8 0.50

3760 Personal Goods 0 0.00 1 0.28 21 1.21

3780 Tobacco 1 0.98 2 0.89 4 0.79

4530 Health Care Equipment & Services 0 0.00 1 0.35 6 0.45

4570 Pharmaceuticals & Biotechnology 0 0.00 0 0.00 17 0.96

5330 Food & Drug Retailers 0 0.00 1 0.17 4 0.85

5370 General Retailers 0 0.00 4 0.79 17 2.18

5550 Media 2 3.05 5 2.39 22 0.76

5750 Travel & Leisure 4 8.94 14 8.88 42 2.62

6530 Fixed Line Telecommunications 4 16.57 7 12.39 19 3.13

6570 Mobile Telecommunications 3 3.80 6 3.09 17 3.18

7530 Electricity 1 3.22 5 3.21 24 2.16

7570 Gas, Water & Multiutilities 2 2.07 5 2.48 17 1.26

8350 Banks 12 39.75 25 30.78 76 17.36

8530 Nonlife Insurance 0 0.00 0 0.00 6 1.38

8570 Life Insurance 0 0.00 0 0.00 4 1.07

8730 Real Estate 1 2.48 17 5.64 60 7.25

8770 General Financial 0 0.00 4 1.59 51 5.72

8980 Equity Investment Instruments 0 0.00 0 0.00 0 0.00

9530 Software & Computer Services 0 0.00 0 0.00 13 1.70

9570 Technology Hardware & Equipment 0 0.00 4 0.99 67 11.90

Total 40 100.000 157 100.000 817 100.000



5 Constituent Data

5.1 Top 10 Securities • The top 10 securities in the FTSE/ASEAN 40 Index account for approximately 54.65% of the tradable index. This compares

with 34.50% for the top 10 securities in the benchmark FTSE/ASEAN Index.

• Index weightings in both the indices are skewed towards the top four securities in each index showing the level of

concentration in the large stocks.

5.1.1 FTSE/ASEAN 40 Index

FTSE/ASEAN 40 Top 10 constituents

Rank Security Net Market Cap (USDm) FTSE/ASEAN 40

Index Wgt%

FTSE/ASEAN

Index Wgt%

1 DBS Group Holdings 12,752.1 8.10 5.32

2 United Overseas Bank 11,335.5 7.20 4.72

3 Malayan Banking 10,951.6 6.95 4.56

4 Singapore Telecom 10,605.0 6.73 4.42

5 Overseas Chinese Banking 9,732.4 6.18 4.06

6 Telekomunikasi Indonesia 8,000.9 5.08 3.33

7 Telekom Malaysia 6,242.8 3.96 2.60

8 Keppel Corp 5,436.4 3.45 2.27

9 Bumiputra-Commerce

Holdings

5,091.1 3.23 2.12

10 Tenaga Nasional 5,063.0 3.22 2.11

Total 76,725.2 54.65 34.50


5.1.2 FTSE/ASEAN Index

FTSE/ASEAN Index Top 10 constituents

Rank Security Gross Market Cap

(USDm)

Net Market Cap

(USDm)

FTSE/ASEAN

Index Wgt%

1 DBS Group Holdings 17,002.8 12,752.1 5.32

2 United Overseas Bank 15,114.0 11,335.5 4.72

3 Malayan Banking 10,951.6 10,951.6 4.56

4 Singapore Telecom 26,512.5 10,605.0 4.42

5 Overseas Chinese Banking 12,976.5 9,732.4 4.06

6 Telekomunikasi Indonesia 16,001.7 8,000.9 3.33

7 Telekom Malaysia 8,323.7 6,242.8 2.60

8 Public Bank 5,890.6 5,890.6 2.46

9 Keppel Corp 7,248.5 5,436.4 2.27

10 Bumiputra-Commerce

Holdings

5,091.1 5,091.1 2.12

Total 125,113.3 86,038.3 35.01



5.2 FTSE/ASEAN 40 Index Constituents

FTSE/ASEAN 40 Index constituents ranked by index weight

Rank Sedol Constituent Country Sector FTSE/ASEAN

40 Index

Wgt%

FTSE/ASEAN

Index Wgt%

1 6175203 DBS Group Holdings Singapore Banks 8.10 5.32

2 6916781 United Overseas Bank Singapore Banks 7.20 4.72

3 6556325 Malayan Banking Malaysia Banks 6.95 4.56

4 B02PY22 Singapore Telecom Singapore Fixed Line Telecommunications 6.73 4.42

5 B0F9V20 Overseas Chinese Banking Singapore Banks 6.18 4.06

6 B02ZK79 Telekomunikasi Indonesia Indonesia Fixed Line Telecommunications 5.08 3.33

7 6868398 Telekom Malaysia Malaysia Fixed Line Telecommunications 3.96 2.60

8 6490263 Keppel Corp Singapore General Industrials 3.45 2.27

9 6075745 Bumiputra-Commerce Holdings Malaysia Banks 3.23 2.12

10 6904612 Tenaga Nasional Malaysia Electricity 3.22 2.11

11 6420389 PTT Thailand Oil & Gas Producers 3.16 2.07

12 6811734 Singapore Airlines Singapore Travel & Leisure 3.11 2.04

13 B012899 Singapore Press Holdings Singapore Media 2.60 1.71

14 6197928 City Developments Singapore Travel & Leisure 2.55 1.68

15 6309303 Capitaland Singapore Real Estate 2.48 1.63

16 B1359K1 PTT Exploration & Production Thailand Oil & Gas Producers 2.30 1.51

17 6464514 IOI Malaysia Food Producers 2.22 1.46

18 6366676 Genting Malaysia Travel & Leisure 2.17 1.42

19 6291712 Astra International Indonesia Automobiles & Parts 2.02 1.32

20 6530523 Maxis Communications Malaysia Mobile Telecommunications 1.85 1.21

21 B01C1P6 Bank Central Asia Indonesia Banks 1.72 1.13

22 6043214 Singapore Technologies Engineering Singapore Aerospace & Defense 1.70 1.12

23 6709099 Bank Rakyat Indonesia Indonesia Banks 1.70 1.12

24 6077019 Bangkok Bank (F) Thailand Banks 1.65 1.08

25 6719764 Perusahaan Gas Negara Indonesia Gas, Water & Multiutilities 1.38 0.90

26 6412568 Advanced Info Serv Thailand Mobile Telecommunications 1.32 0.87

27 6888794 Kasikornbank (F) Thailand Banks 1.18 0.78

28 6609906 Siam Cement (F) Thailand Construction & Materials 1.15 0.75

29 B08X163 SembCorp Industries Singapore General Industrials 1.13 0.74

30 6731962 Resorts World Malaysia Travel & Leisure 1.10 0.73

31 6905295 Thai Petrochemical Industry Thailand Chemicals 1.10 0.72

32 6752349 British American Tobacco (Malaysia) Malaysia Tobacco 0.98 0.64

33 6531775 Plus Expressways Malaysia Industrial Transportation 0.92 0.61

34 6889924 Siam Commercial Bank PCL Thailand Banks 0.88 0.58

35 6685661 Phil Long Dist Tel Philippines Fixed Line Telecommunications 0.79 0.52

36 B01GQS6 YTL Power International Malaysia Gas, Water & Multiutilities 0.70 0.46

37 B00FYK2 Indosat Indonesia Mobile Telecommunications 0.63 0.41

38 6651048 Bank Mandiri Indonesia Banks 0.48 0.31

39 6492827 Krung Thai Bank Thailand Banks 0.47 0.31

40 6698120 Astro All Asia Networks Malaysia Media 0.45 0.29

Totals 100.00 65.64



The FTSE/ASEAN Indices data and licenses can support you whatever your investment requirement is. The products can be

used for analysis, benchmarking, trading and product creation.

7.1 Index Values Real-time index values for the tradable FTSE ASEAN 40 Index and end of day values for the benchmark FTSE/ASEAN Index are

available on the following codes:

Index FTSE Reuters Bloomberg Thomson One Global Topic

FTSE/ASEAN 40 ASEAN40 <.FTASEAN40> =ASEAN40 ASEAN40 – LN =ASEAN40.ft

FTSE/ASEAN AWASEAN AWASEAN – LN =AWASEAN.ft

Source: FTSE Group

7.2 Exchange Traded Funds (ETFs) Exchange Traded Funds are expected to be available, subject to regulatory approval, in the near future.

7.3 Index Linked Funds and OTC Products The FTSE/ASEAN Index Series is suitable to act as a base of a wide range of funds and structured products. These include

tracker funds, warrants, certificates and futures & options. Announcements will be made as these products become available.

7.4 Data Products For detailed analysis, end of day products are available for each of the indices.

• Index Valuation Service – Index level data on a daily basis

• Constituent Service – Constituents data on a daily or monthly basis

• Tracker Service – Highlights changes to the index and company constituents and weightings on a daily basis.

7. Using the FTSE/ASEAN Indices


Appendix 1: Background Company Information

About FTSE Group

FTSE Group is a world-leader in the creation and management of indexes. With offices in Beijing, London, Frankfurt, Hong

Kong, Madrid, Paris, New York, San Francisco, and Tokyo, FTSE Group services clients in 77 countries worldwide. It calculates

and manages the FTSE Global Equity Index Series, which includes world-recognized indexes ranging from the FTSE All-World

Index, the FTSE4Good series and the FTSEurofirst Index series, as well as domestic indexes such as the prestigious FTSE 100.

The company has collaborative arrangements with the Athens, AMEX, Cyprus, Euronext, Johannesburg London, Madrid,

NASDAQ and Taiwan exchanges, as well as Nomura Securities, Hang Seng and Xinhua Finance of China. FTSE also has a

collaborative agreement with Dow Jones Indexes to develop a single sector classification system for global investors.

FTSE indexes are used extensively by investors world-wide for investment analysis, performance measurement, asset allocation,

portfolio hedging and for creating a wide range of index tracking funds. Independent committees of senior fund managers,

derivatives experts, actuaries and other experienced practitioners review all changes to the indexes to ensure that they are

made objectively and without bias. Real-time FTSE indexes are calculated on systems managed by Reuters. Prices and FX rates

used are supplied by Reuters.

FTSE Group was selected as “Index Provider of the Year” by Global Pensions magazine in 2006, for the second year running.

FTSE has recently also been awarded the William F Sharpe Award for Index Innovation, by the Journal of Indexing, Best Index

Provider by Structured Products magazine, and Winner of the Exchangetradedfunds.com Global ETF Award for Most Innovative

ETF Index Provider.

Appendix


Appendix 2: ICB Classification


Appendix 3: Index & Market Opening & Closing Times, Pricing & Exchange Rates

Hours of calculation

The FTSE/ASEAN 40 is calculated on Mondays to Fridays from 09:00 hrs local Singaporean time until each of the constituent

markets has closed. The closing index value is calculated at 18:00 hrs local Singaporean time, 10:00 hrs GMT, based on ASEAN

5 market closing values.

During the period in the day when the markets are closed the index values continue being calculated and disseminated due to

currency fluctuations.

The FTSE/ASEAN Index is calculated at the end of the day on Monday to Fridays at 18:00 hrs local Singaporean time, 10:00 hrs

GMT.

Stock Market Trading Times (Singapore time)

Market Open Close Notes

Indonesia 10:30 17:00 (Closed between 13:00 and 14:30)

Malaysia 09:00 17:00 (Closed between 12:30 and 14:30)

Philippines 09:30 12:10

Singapore 09:00 17:00 (Closed between 12:30 and 14:00)

Thailand 11:00 18:00 (Closed between 13:30 and 15:30)

Source: FTSE Group

The FTSE/ASEAN indices are calculated on local public holidays whenever at least one exchange is trading. The indices will not

be calculated on 1st January.

Constituent Pricing

All exchange closing prices are sourced from Reuters.

Times for Pricing

Market Closing times

Indonesia Jakarta Stock Exchange Closing price at 16:00 hrs

Malaysia Last trade at 17:00 hrs

Philippines Last trade price at 12:10 hrs

Singapore Auction Price at 17:06 (Official Close)

Thailand Last trade at 17:30 hrs

Source: FTSE Group

All times detailed are local.

Foreign Exchange Rates

The foreign exchange rates used in the calculation of the FTSE/ASEAN Indices are Reuters’ real time spot rates.

The US dollar is the base currency for all index calculations. Constituent prices are converted into dollars throughout the period

of calculation (see Hours of Calculation). Therefore foreign exchange movements are taken into account in the Index calculation

for each market even though the underlying market may be closed.


Appendix 4: Definitions

Beta

Definition

Beta measures the tendency of a security’s returns to correlate with swings in the broad market. A beta of 1 indicates that the

security's price will move with the market. A beta greater than 1 indicates that the security's price will be more volatile than the

market, and therefore a rise in the underlying market will in most instances result in a greater appreciation of the security and

vice versa. A beta less than 1 implies the security has been less volatile than the market; if the market has fallen over the

specified period, the security will in most instances fall less far. Beta is currently calculated and distributed within all of FTSE’s

product files.

One use of CAPM is to analyze the performance of mutual funds and other portfolios. The technique is to compare the historical

risk-adjusted returns (that's the return minus the return of risk-free cash) of the fund against those of an appropriate index,

and then use least-squares regression to fit a straight line through the data points:

Beta Illustration

Source: FTSE Group

Each data point in this graph shows the risk-adjusted return of the portfolio and that of the index over one time period in the

past.

The general equation of this type of line is

r - Rf = beta · ( Km - Rf ) + alpha

where r is the fund's return rate, Rf is the risk-free return rate, and Km is the return of the index.

Beta is the slope of this line. Alpha, the vertical intercept, tells you how much better the fund did than CAPM predicted (or

maybe more typically, a negative alpha tells you how much worse it did, probably due to high management fees).

The quality of the fit is given by the statistical number r-squared. An r-squared of 1.0 would mean that the model fit the data

perfectly, with the line going right through every data point. More realistically, with real data you'd get an r-squared of around

.85. From that you would conclude that 85% of the fund's performance is explained by its risk exposure, as measured by beta.


Correlation Coefficient

Definition

A statistical measure of the extent to which the movement of two price returns for a security or index are interdependent on

each other. A positively correlated pair of price returns move in a similar way, whereas a negatively correlated pair will move in

a dissimilar way. The term is often used to assist the identification of assets that when combined deliver diversification benefits.

In the case where correlation is significantly less than +1, diversification benefits will be realized, with investors often selecting

portfolios that have varying degrees of correlation among themselves. It is presented in the form of a value ranging between –1

and +1. A correlation coefficient of +1 signifies a perfect positive relationship, while a –1 shows a perfect negative relationship.

Tradable indices such as the FTSEurofirst 80 and 100 are designed to have as high as possible a correlation with the relevant

underlying benchmark index, as this reduces the cost and increases the ease of using derivatives based upon the tradable

index, to manage an investment portfolio or fund.

How to Calculate

Formally, a correlation coefficient is defined between the two random variables x and y.

Correl (xy) = CoVar(xy) / (StdDev(x) · StDev (y))

The correlation between two securities is most often calculated on a monthly basis with a minimum of 36 data points. The

coefficient can be calculated more easily using the =correl() function in Excel.

Herfindahl Index

Definition

In economics, the Herfindahl index is a measure of the size of firms in relationship to the industry and an indicator of the

amount of competition among them. It is defined as the sum of the squares of the market shares of each individual firm. As

such, it can range from 0 to 10,000, moving from a very large amount of very small firms to a single monopolistic producer.

Decreases in the Herfindahl index generally indicate a loss of pricing power and an increase in competition, whereas increases

imply the opposite. It can be used in equity indices to get a feel for concentration of the larger securities/companies within the

index by equating the index to an equal number of constituents.

Calculation

H = sum (wti2)

Where H is the Herfindahl Index and wti is the weight of the ith constituent of the index

In order to get a feel for the meaning of the index, it is often useful to look at the inverse of the index (or rather 10000 /

Index). This can be interpreted as number of equally sized firms that operate in this market. Example: 5 companies that have a

market share of 20% each lead to an index value of 2000 = 5 * 20^2. Dividing 10000 through 2000 gives the original result of

5.


Information Ratio

Definition

The Information Ratio of a manager series vs. a benchmark series is the quotient of the annualized excess return and the

annualized standard deviation of excess return.

Calculation

Information Ratio = (AnnRtn(r1, ..., rn) - AnnRtn(s1, ..., sn)) / AnnStdDev(e1, ..., en)

where:

r1, ..., rn = manager return series

s1, ..., sn = benchmark return series

e1, ..., en = r1 - s1, ..., rn - sn

The Information Ratio measures the consistency with which a manager beats a benchmark.

Sharpe Ratio

Definition

The reward of an index’s excess return relative to the total variability of the portfolio. The Sharpe Ratio is a direct measure of

reward-to-risk.

Calculated by subtracting the risk-free rate from the return of the index and dividing by the standard deviation of the index. The

ratio measures how well an index/portfolio rewards risk; the higher the Sharpe ratio, the better the index/portfolio’s historical

risk-adjusted performance.

How to Calculate

There are various formulae for calculating the Sharpe Ratio. The formulae used within FTSE is as follows

The definition of the Sharpe Ratio is:

S(x) = ( rx - Rf ) / StdDev(x)

where

x is some investment

rx is the average annual rate of return of x

Rf is the best available rate of return of a "risk-free" security (i.e. cash)

StdDev(x) is the standard deviation of rx

A note on the risk free rate: For USD based indices a 90-day Treasury bill is used; for GBP 3m Libor is used; for EUR based

indices 3m Euribor is used; and for JPY based indices the Tokyo 3m Interbank Rate is used. The daily return is based on a 260

day year to make it comparable with the daily return on equities and equity indices which use trading days only.


Tracking Error

Definition

Primarily used when using a benchmarking strategy, in measuring the amount by which the performance of the portfolio differs

from that of the benchmark index. The tracking error qualifies the degree to which the strategy used in creating the portfolio

has given returns differing that of the benchmark index.

Tracking error is used within FTSE indices when derivative indices are being created in support of portfolios based upon specific

benchmark indices, for example the FTSEurofirst 80 supports the FTSE Eurobloc index. The new index is designed to have the

lowest possible tracking error subject to other requirements such as investability.

How to calculate

For calculations within FTSE, the tracking error is given by the annualised standard deviation of rt, denoted by

rt = (It · Rt-1) / (It-1 · Rt)

where I is the benchmark index and R is the index/fund in question.

Volatility

Definition

A measure of the variability of returns over a chosen time-period, revealing the extent by which the returns of an index value

change from the average. Low volatility indicates the returns for an index have stayed quite close to the average whereas a

high volatility would indicate a larger fluctuation over the time-period.

Volatility therefore can be seen as a market measure of investment risk. Derivative traders that hope to gain from movements

in securities or indices (rather than hedging a portfolio) are generally appreciative of securities or indices that lean towards

higher volatility, as these provide greater opportunities for speculating. Those using the index for hedging have a lower regard

for and therefore interest in volatility, instead requiring an index to have a high correlation and low tracking error relative to

their portfolio of stocks. (For instance, a UK investor holding a portfolio based upon the FTSE All-Share Index would be

appreciative of a high correlation and low tracking error with the FTSE 100 derivative index.

How to calculate

There are various formulae for measuring volatility. The methodology used within FTSEindices is to annualise the standard

deviation of daily natural log returns of prices r, for n days.

First it is necessary to calculate the rates of return for each period.

Rt = Pt / Pt-1,

where Pt is the price at time t, and Pt-1 is the price from the prior period.

Then take the natural log of the return in order to approximate the continuously compounded return. Next calculate the mean

of the return,

m = sum(ln Rt) / n,

where m is the mean of the return, ln Rt denotes the natural log of Rt and n is the number of periods.

The variance is then computed by summing (ln Rt – m)2 over all the periods, and dividing by (n – 1). We divide by (n - 1)

because we need to take account of the degrees of freedom in the calculation of the variance in order to get an unbiased

estimate.

Volatilities for different units of time are fundamentally different notions. There is no direct relationship between, say a weekly

volatility and an annual volatility. However, there is an exception to this observation. The exception is called the square root

of time rule. If fluctuations in a stochastic process from one period to the next are independent volatility increases with the

square root of the unit of time. Any price that follows a random walk, Brownian motion or geometric Brownian motion satisfies


this independence condition. The square root of time rule is exact if volatilities are based upon log returns. It is approximately

correct if volatilities are based on simple returns.

Hence the volatility is given by:

AnnVol = sqrt(time periods in year) * sqrt(variance).

A note on converting from a year to a day count. Should we count actual days, including weekends and holidays, or just count

trading days? The latter approach is the one we adopt because prices cannot change on non-trading days. In general there

approximately 260 trading days in a year, although this does vary from market to market, and for ease of comparison we have

adopted a 260 trading day convention.


Notes

© 2006 FTSE International Limited ("FTSE"). All rights reserved.

All rights reserved. The FTSE/ASEAN indices are calculated by FTSE in conjunction with PT Bursa Efek Jakarta (Jakarta Stock

Exchange), Bursa Malaysia Berhad, The Philippine Stock Exchange, Inc., Singapore Exchange Securities Trading Limited and

The Stock Exchange of Thailand (the "Exchanges”). All rights in the FTSE/ASEAN indices vest in FTSE and the Exchanges.

“FTSE®” is a trademark of the London Stock Exchange Plc and The Financial Times Limited and is used by FTSE under

licence. Neither FTSE nor the Exchanges nor their licensors shall be liable (including in negligence) for any loss arising out

of use of the FTSE/ASEAN indices by any person. Distribution of FTSE/ASEAN indices index values and the use of

FTSE/ASEAN indices to create financial products requires a licence from FTSE."

The Industry Classification Benchmark (“ICB”) is jointly owned by FTSE and Dow Jones Indexes. FTSE and Dow Jones

Indexes do not accept liability to any person for any loss or damage arising out of any error or omission in the ICB. “Dow

Jones” and “DJ” are trade and service marks of Dow Jones.

All copyright, trade mark, database and proprietary rights in any third party information is the property of the respective

third party.

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