Although MWG shares meet the P/E ratio criteria according to the new index rules, SSI Research believes that they do not yet meet the foreign ownership limit (FOL) requirement and therefore will not be included in VNDiamond's portfolio for the upcoming fourth quarter.
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| Vincom Retail's shares face the possibility of being removed from the VNDiamond index during the restructuring period in April 2025. |
SSI Securities' analysis department (SSI Research) recently published a report forecasting changes to the VNDiamond Index portfolio for the fourth quarter of 2024. According to SSI Research, the Ho Chi Minh City Stock Exchange (HoSE) has issued version 3.0 of the VNDiamond Index rules, replacing version 2.1, effective from the October 2024 review period. ETFs will restructure their portfolios for the fourth quarter of 2024 according to the new rules and are expected to complete the restructuring by November 1st.
Accordingly, the new index rules have been revised to tighten the liquidity requirements of stocks while loosening the foreign ownership limit (FOL) to ensure a sufficient number of eligible stocks are included in the index. In addition, the new rules also amend the P/E filtering criteria (a ratio reflecting the relationship between stock price and net earnings per share (EPS)), add rules for determining the official stock basket, and include the wS parameter to limit volatility in the index.
Based on preliminary data as of September 5th, SSI Research forecasts that the VNDiamond Index portfolio will remain unchanged in composition this period, with 18 stocks including 10 bank stocks and 8 non-bank stocks.
In addition, SSI Research highlighted several noteworthy points, including the fact that VRE's FOL (Foreign Ownership Limit) has fallen below 65%, rendering it ineligible to be included in the index. According to the new rules, VRE is placed in the pending list and subject to a weighting factor of 50%, equivalent to a 50% reduction in its stock weighting.
In the next period, if the FOL (Forward Flow Rate) does not improve above 65%, VRE may be completely removed from the index. Since VRE is still included in the index this period, the number of non-bank stocks remains sufficient at 8, therefore no new stocks need to be selected to replace it.
Regarding MWG, SSI Research stated that the stock has met the P/E criteria according to the new index rules.
In addition, NLG, KDH, VPB, and BMP are projected to increase their weighting due to adjustments in the wFOL coefficient scale. Meanwhile, the remaining stocks will see a reduction in weighting to balance the portfolio.
Among the ETFs on the market, there are currently 5 ETFs using the VNDiamond index as a benchmark, including DCVFMVN Diamond, MAFM VNDiamond, BVFVN Diamond, KIM Growth Diamond, and ABF VNDiamond, with a total net asset value of approximately VND 12,600 billion as of September 5, 2024. The DCVFMVN Diamond fund alone currently has a total asset value of approximately VND 12,100 billion.
SSI Research has also estimated the portfolio allocation and trading volume of the DCVFMVN Diamond fund, in which VPB is expected to be purchased at 9.9 million shares. KDH and NLG are expected to be purchased at 8.4 million and 6.6 million shares respectively. Conversely, VRE is projected to be sold at 8.9 million shares, andOCB at 3.4 million shares.
Source: https://baodautu.vn/du-bao-thay-doi-danh-muc-vndiamond-index-ky-quy-iv2024-d224897.html
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