Appendix 2
Methodology of SSEHolding-Increase &
Buy-Back Event Index
SSEHolding-Increase & Buy-Back Event Index is composed of A-Share stocks listed in SSEinvolving ongoing or coming capital events of shareholding-increase andshare buy-back. The index is to measure the price performance of these events, as well as to provide underlying for event driven strategy.
- Index Name and Index Code
Index Name: SSEHolding-Increase & Buy-Back Event Index
Shortened Name: SSE HIBB
IndexCode: 950094
- Base Date and Base Index
The base date is Dec 31, 2011.The base level is 1000.
- Index Eligibility
3.1 Index Universe
Theuniverse includes all A-share stocks listed in SSEexcept that:
The stock has been listed for less than 3 months, or
The stock is a ST or *ST stock, or
The stock has not completed the Non-Tradable Share Reform, or
The listing has been suspended.
3.2 Constituents Selection
First,rank the stocks in the universe by the average daily trading value over the past year in descending order and delete the bottom 20% stocks.
Second, select the stocks in the universe which have implemented substantialincreasing of shareholding over the past year or are in the process of share buyback as the candidate stocks. The increasing holding event of substantial shareholders is described as follows:
For each listed company, substantial shareholders include actual controller, board of directors, supervisors, senior management, top ten shareholders,significant strategic partners and any individual that controls a 5% or greater stake.
For each increasing holding event, the proportion of increasing shareholding to free float share should be more than 0.01%.
The increasing of shareholding is implemented via secondary market, block trading system included.
Thirdly, rank the candidate stocks by the proportion of accumulative net substantial shareholding increase over the past year to current free float shares in descending order and insert the top 45 candidates into the index.
Fourthly, rank the remaining candidate stocks which are inthe process of share buyback by the proportion of maximum number of buyback shares to current free float shares in descending order and insert the top 5 candidates into the index.
Fifthly, the total 50 inserted candidates compose the index.
- Index Calculations
The index is weighted as the following calculation formula: Current Index = Current Total Adjusted Market-Cap / Divisor ×Base Level
Where Current Total Adjusted Market-Cap = ∑(Stock Price ×Number of Free Float Adjusted Shares ×Weight Factor) and
For the calculation of number of free float adjusted shares, please refer to CSI Index Calculation and MaintenanceMethodology for further details. The value of Weight Factor is between 0 and 1, and is calculated at each rebalancing so as to make each constituent weight equal.
- Constituents and Index Weights
5.1 Constituent’s Periodical Review
The indexis adjusted and rebalanced quarterlyand the adjustment will be effectiveas ofthe next trading day after the 2nd Friday in March, June, September and December.
Weight Factoris assigned to each constituent at each quarterly rebalancing. The effective date is the same as that of the constituent adjustment.The Weight Factor stays the same until next rebalancing day.
5.2 Ongoing Review
In case that the representativeness and investability is effected due to significant changesbeyond periodical reviews, CSI may review the constituent stocksimmediately.Necessary adjustment will be made when certain corporate event happens so as to maintain the representativeness and investability of the index. Please refer to CSI Index Calculation and MaintenanceMethodology for further details.
If any constituent of the Index is changed beyond periodical reviews, the inserted constituent will inherit the weight of the deleted constituent as of the close of one trading day before the effective date of the addition. Then the Weight Factor of the inserting constituent will be calculated based on its inherited weight.
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