Stefan SoesantoIf we analyze the note plot a year ago, on the composite is clear:
Close date: 03/31/2023
Close: 2124.7562
Open: 2110.4280
High: 2125.9801
Low: 2108.7106
Volume: 39957495071
Jaw Alligator (y,13,8,8,5,5,3,n)
Teeth Alligator: (y,13,8,8,5,5,3,n)
Lips Alligator (y,13,8,8,5,5,3,n)
All A shares listed on Shenzhen Stock Exchange satisfying the
following criteria:
Not labelled as ‘special treatment’ (ST, *ST);
Listed for more than 6 months, with the exception of ranking
in the top 1% of Shenzhen market by A share total market cap;
No major violations in laws and regulations, and no major
problems in financial reports in the latest year;
No abnormal operation or substantial losses in the latest year;
No abnormal fluctuation in stock price during the review
period.
Selection Criteria
Calculate the A share daily average total market cap and A share
daily average trading value within the latest 6 months in the index
universe;
Rank the stocks by A share daily average trading value in
descending order and remove bottom 10% stocks;
Rank remaining stocks by A share daily average total market cap in
descending order and select top 500 stocks as index constituents.
In case of similar rankings, stocks with strong industry
representativeness and good financial performance are preferred.
Index Calculation
Shenzhen Component Index is calculated according to the Paasche
weighted method, real-time calculation is carried out daily
according to the following formula:
Constituents: stocks included in index calculation.
No. of shares: free-float shares of constituents, shares of the
numerator and denominator are the same.
Free-float shares: the actual number of tradable shares of a listed
company, which is the number of non-restricted shares after
excluding ‘the non-restricted shares held by the following three
types of shareholders and the shareholders acting in concert with a
shareholding ratio of more than 5%’:
①state-owned (legal entities) shareholders;
②strategic investors;
③company founders, families or senior executives.
Free-float market cap: stock price times free-float shares.
Numerator: the sum of constituents’ real-time free-float market
Cap.
Denominator: the sum of constituents’ last trading day closing
free-float market cap.
Stock price selection: opening prices of constituents in call
auction are used to calculate the opening index, real-time trading
prices are used to calculate the real-time index, and closing prices
are used to calculate the closing index. If there is no transaction on
that day, the closing price of the previous trading day shall be
taken. If a constituent is suspended trading, its latest transaction
price shall be taken.
Periodic Review
Review Period
The index is reviewed semi-annually. Review in May is based on
trading and fundamental data from November 1 of the previous
year to April 30; review in November is based on trading and
fundamental data from May 1 to October 31.
Implementation Date
Periodic reviews are implemented on the next trading day after
market closing of the second Friday in June and December each
year. Announcements of periodic reviews are published two weeks
before implementation.
Number of New Constituents
The number of new constituents in each periodic review shall not
exceed 10% of the total number of index constituents.
Buffer Zone
New candidate stocks ranking top 70% of the total number of index
constituents are selected in order, existing constituents ranking top
130% are remained in the index with priority.
Reserved Stocks
After new constituents are determined, remaining stocks will be
ranked by daily average total market cap in descending order and 5%
of the total number of index constituents will be selected as
reserved stocks.
Non-periodic Review
Fast Entry Rules
For a newly issued stock ranking top 10 in Shenzhen market by
average daily total market cap for the first 5 trading days, it will be
added into the index on the 15th trading day to replace the existing
constituent with the smallest average A share total market cap.
For a listed company ranking top 10 in Shenzhen market by the
average A share total market cap due to M&A and other corporate
actions, the same rules shall be applied.
Merger and Acquisition
Constituent companies merge: the stock of the resulting company
will remain as a constituent. The vacancy will be filled by the
highest ranked reserved stock.
A constituent company acquires a non-constituent company: the
stock of the resulting company will remain as a constituent.
A non-constituent company acquires a constituent company: the
stock of the resulting company becomes index constituent if it
ranks above all reserved stocks, otherwise the vacancy will be
filled by the highest ranked reserved stock.
Splits
When a constituent company splits into two or more companies, a
vacancy will be created. Whether resulting companies will be
included as index constituents depends on their ranking.
If every resulting company ranks above the lowest constituent, then
all resulting companies will be added to the index, and the lowest
Constituent(s) will be removed to keep the number of index
constituents constant.
If every resulting company ranks below the lowest ranked
constituent but some of them rank above all reserved stocks, then
the highest ranked resulting companies will be added to the index.
If every resulting company ranks below the lowest ranked
constituent and the highest ranked reserved stock, then the highest
ranked reserved stock will be added to the index.
Delisting
If a constituent is subject to delisting, it will be replaced by the
highest ranked reserved stock from the first trading day of its
delisting preparing period.
If a constituent is subject to probability of suspension or
termination of transaction due to substantial violations in
regulations (such as fraud of financial reports), it will be replaced
by the highest ranked reserved stock with permission of the Index
Advisory Committee.
Risk Alert
A constituent subject to risk alert (ST or *ST) by the exchange will
be removed on the next trading day of the second Friday of the
month following the implementation of risk alert, the highest
ranked reserved stock will be included.
Reserved Stocks
The reserved stocks list will be created for non-periodic
adjustments during the periodic review.
Constituents subject to delisting or being labelled as ‘special
treatment’ (ST, *ST) will be replaced by the highest ranked
reserved stocks.
Number of reserved stocks is set to cover 5% of the total number of
index constituents. Reserved stocks list will be refilled and
announced in time when the number of reserved stocks is less than
50%.
Adjustment for Index Calculation
Adjustment for Previous Closing Price
For total return index, the closing price of a constituent on record
date will be updated to the reference ex-right price on ex-date when
Dividend payment, bonus issue, rights issue, capital/surplus reserve
issue or other ex-right actions implemented. The reference ex-right
price shall be referred to Shenzhen Stock Exchange.
For price index, the closing price of a constituent will not be
adjusted for cash dividend. Adjustments for other ex-dividend or
ex-right actions are the same as those for total return index.
Adjustment for Free-float Shares
Real-time Adjustment
In the event of bonus issue, capital/surplus reserve issue or rights
issue, free-float shares of constituents shall be adjusted on ex-date.
In the event of secondary offering or rights issue, free-float shares
of constituents shall be adjusted on the listing date of new shares.
In the event of debt-equity conversion, shares repurchase or
exercise of warrants, free-float shares of constituents shall be
adjusted on the next trading day of the announcement.
Periodic Adjustment
Changes of free-float shares caused by non-corporate actions such
as increase/decrease of major shareholders’ holdings and listing of
Restricted shares shall be adjusted on the next trading day of the
second Friday in June and December each year, according to the
shareholding data from latest periodic and non-periodic reports
Index Dissemination and Management
Index Dissemination
Shenzhen Component Index shall be disseminated through the
following channels:
Real-time quotes shall be disseminated via the Shenzhen Stock
Exchange information release system and Internet access service of
quotes;
Quotes shall be daily disseminated via data transmission
channels such as SSCC and FTP;
Quotes shall be daily disseminated to the public via CNI’s
website (www.cnindex.com.cn).
Index Management
Shenzhen Component Index is compiled, maintained and operated
by Shenzhen Securities Information Company Limited (‘SSIC’),
delegated and authorized by Shenzhen Stock Exchange. The index
department of SSIC periodically reviews constituents’
representativeness and determines whether to change any
constituents according to the review.
Shenzhen Component Index is an asset owned by Shenzhen Stock
Exchange. Without written authorization of Shenzhen Stock
Exchange or SSIC, no institution or individual shall track or trade
The index, or use the index as an evaluation benchmark.
Disclaimer
This document and all information therein, including but not
limited to all words, data, charts and tables, are property of SSIC
and are protected by China’s intellectual property law and other
relevant laws. Without written authorization of SSIC, all
information or any part of it shall not be copied or redistributed.
Neither this document nor any information therein constitutes the
basis or suggestion for any securities, financial products, other
investment instruments or any trading strategies, nor does it
express opinions of Shenzhen Stock Exchange, SSIC and their
related parties about any issuers, securities, financial products,
other investment instruments or trading strategies.
For any losses caused by direct or indirect use of this document and
any information therein, including but not limited to losses caused
by inaccurate and incomplete contents, Shenzhen Stock Exchange.
SSIC and their related parties shall not be liable.
Calin Van Paris
Christopher Luu
Benjamin Wallace-Wells