Download Methodology of SSE High Dividend Yield Select Index

Methodology of SSE High Dividend Yield Select Index
SSE High Dividend Yield Select Index selects 50 Shanghai A-Share
companies which are characterized by good liquidity, continuous
dividend-paying record, high dividend yield, persistent earnings and growth,
weighted by dividend yield. It aims to reflect the performance of Shanghai high
dividend yield companies with persistent earnings and growth.
1. Index Name and Index Code
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
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Index Name: SSE High Dividend Yield Select Index
Shortened Name: SSE High Dividend Yield
Index Code: 950100
2. Base Date and Base Index
The base date is Dec 31, 2004. The base level is 1000.
3. Index Eligibility
3.1 Index Universe
The universe includes all A-share stocks listed at SSE that meet the
following requirements:
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Non-ST or *ST stocks;
Non-temporary suspension stocks;
Continuously paid dividend in the last 3 years, and the cash dividend
yield each year is higher than 0.
3.2 Constituents Selection
First, for non-ST or *ST and non- temporary suspension SSE stocks, rank
them by the average daily trading value over the past year in descending order
and delete the bottom 20% stocks;
Second, rank the rest stocks by average cash dividend yield for the past 3
years in descending order and delete the bottom 30% stocks;
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Thirdly, for the rest stocks, calculate Quality Factors by industry and then
rank Quality Factors in descending order to get the composite scores:
(1)Define Quality Factors:
a) ROA=Net Incomet/Total Assetst；
b) Growth=((Net Incomet - Net Incomet-3)/avg(Total Assets))/P/B；
c) ACCRUAL=-|(Operating
Assetst-1|
Incomet
–
Operating
CashFlowt)/Total
d) OPCFD= Operating CashFlowt /Total Debtt
(2) Calculate Quality Factors by industry and then rank them in
descending order to get the composite scores:
Financials (refers to banks, insurance and diversified Financials according
to CICS 2nd Level sector): rank ROA and Growth factors in descending order
in all the rest stocks respectively to calculate their percentile ranks and
average the two percentile ranks as the composite scores for financial
companies;
Non-Financials: rank ROA and Growth indicators in descending order in
all the rest stocks respectively to calculate their percentile ranks; rank
ACCRUAL and OPCFD factors in descending order in non-financial stocks
respectively to calculate their percentile ranks and then average the four
percentile ranks as the composite scores for non-financial companies.
Fourthly, rank the rest stocks by their composite score in descending
order and select the top 50 as the constituents.
4. 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)
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Weight Factor = dividend yield/(Stock Price × Number of Free Float
Adjusted Shares) and
For the calculation of number of free float adjusted shares, please refer to
Index Calculation and Maintenance Methodology for further details.
5. Constituents and Index Weights Adjustment
5.1 Constituent’s Periodical Review
The index is adjusted and rebalanced once a year and the adjustment will
be effective as of the next trading day after the 2nd Friday in December.
Weight Factor is assigned to each constituent at each 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 affected due to
significant changes beyond periodical reviews, CSI may review the constituent
stocks immediately. Delisted stocks will be deleted from the constituents.
Please refer to Index Calculation and Maintenance Methodology for further
details.
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