DELTA in focus for added weight in SET50 after 24% price slump

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Summary · why it matters

DELTA shares could draw buying from index funds or passive funds during the upcoming SET50 index rebalancing around September 28, after the stock fell 24% since the start of the quarter. As a result, DELTA's weight under the floating-weight index data as of September 21 dropped to 7.28%, from a direct market-cap weight as high as 19.88%. The Stock Exchange of Thailand applies a capped-weight threshold of 10% to reduce concentration risk. Analysts at Asia Plus Securities said passive funds tracking the SET50 index may need to buy more DELTA shares to lift its weight from 7.28% back toward the 10% ceiling, equivalent to increasing their investment position by about 37%, which typically causes unusually heavy trading volume in the closing auction or ATC session on the rebalancing day. Meanwhile, analysts at Trinity Securities estimate DELTA's weight in the SET50 index at about 7.6% based on yesterday's closing price, and that the capped-weight process effectively starts counting anew on the index basket adjustment day, resetting the capped factor without regard to the old weights of the past three months, so a stock with a share of nearly 20% will be capped and reset back to 10% again. However, caution is warranted for stocks currently carrying high weights in the index, such as PTT and ADVANC, because the latest proforma calculation found that the new rebalancing round could well push both of their weights below their current proportions, even though the scale of the decline is not considered very significant.

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PTT Public Company Limited
PTT
▼ NegativeCapitalrelevance

PTT's SET50 weight could be pushed below its current proportion in the new rebalancing round, implying passive outflows.

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