According to the Financial Association on November 15th (Reporter Zhou Xiaoya), the sse 180 index has welcomed the revision of its compilation plan, and leading fund companies have reported related products in advance.

On November 14th, the Shanghai Stock Exchange and the China Securities Index Company issued statements simultaneously, stating that to better reflect the overall performance of core listed companies on the shanghai securities market, the Shanghai Stock Exchange and the China Securities Index Company announced the revision of the compilation plan for the sse 180 index, which will be officially implemented on December 16, 2024.

Specifically, this revision focuses on three aspects: sample selection methods, sample weights, and esg sustainable investment. After the plan optimization, the sse 180 index's industry layout becomes more balanced, its representation of the Shanghai market becomes stronger, and it better reflects the development direction of new production forces.

As the sse 180 index is the 'hub' of the sse broad-based index system, the optimization of this index plan has also attracted market attention regarding its impact on the sse 50 index and other broad-based indices.

Some industry insiders analyze that if the sse 180 index previously consisted of small-cap stocks in industries with a significant weight, there may be cases where these stocks are excluded, which would also lead to changes in the sample space of the sse 50 index. However, overall, this plan optimization has little impact on the selection of constituent stocks for the sse 50 index.

In terms of product layout, currently, there is only one on-market fund, the Huaan sse 180etf, as well as two off-market funds: the Huaan sse 180etf linked fund and the wanjia180 index fund. However, prior to the publication of this plan, Yinhua Fund and E-fund have recently reported new sse 180etf products.

Focus on three major aspects of revision.

Specifically, the content of this revision focuses on three aspects.

First, a sample selection method combining liquidity screening and market cap ranking is adopted to further enhance the market cap coverage of the sample and strengthen the representation of the index.

Compared to the previous compilation plan, the latest released compilation plan adds a "investability screening" criterion in the "sample selection method," using the average daily trading volume ranking in the top 90% of the sample space from the past year as the selection basis.

Second, a cap is set on the weight limits of individual stocks and the top five sample stocks, and a new industry balance rule is introduced, ensuring that the total weight distribution of the primary industries of the samples remains consistent with the corresponding industry’s total free-flowing market cap in the sample space, further enhancing the index's representation of macro industrial structure changes and the industry distribution of Shanghai-listed companies.

Third, the ESG sustainable investment concept is introduced, excluding listed companies with a C rating or below in the China Securities ESG evaluation results, thereby reducing the probability of significant negative risk events occurring in the sample.

It is reported that the sse 180 index, established in July 2002, is one of the important benchmark indices in China's capital markets and the sse index system, composed of 180 stocks from the Shanghai market with large scale and good liquidity, aiming to reflect the overall performance of the large cap blue-chip companies in the Shanghai market, and is the index that best represents the overall situation of the Shanghai market.

At the time of the index's release, there were only about 700 listed companies in the Shanghai market; to reflect the market structure at that time, the index used a method of allocating the number of industry samples based on the proportion of free-flowing market cap, aiming for the sample distribution to be as consistent as possible with the circumstances of the listed companies in the Shanghai market.

As China's macroeconomic development and continuous industrial transformation have progressed, the market cap structure, industry distribution, and sector characteristics of the listed companies in Shanghai have gradually changed. Currently, there are 2,268 listed companies in the Shanghai market, with the number of star companies reaching 577, which also indicates that the original compilation method has room for further optimization.

The sse 50 index and other derived indices may welcome new changes.

With the optimization of the sse 180 index program, the exchange stated that the index positioning is clearer, and its representativeness, investment value, and stability have all improved, better reflecting the overall performance of core listed companies in the shanghai market.

Specifically, the representativeness of the index for the shanghai market is stronger, with the sample's coverage of market cap, revenue, dividends, and net income reaching approximately 61%, 63%, 76%, and 82%, respectively, which is an increase of 2.4%, 1.4%, 4.1%, and 4.9% compared to before the revision.

Secondly, it better reflects the development direction of new productive forces, with the weight of industries related to information technology, healthcare, and industrial sectors in the xinjingji increasing by 9.5%, and the weight of the star has increased by 1.8%.

Thirdly, the rules for industry balance in the index are more reasonable, with the distribution of sample weights across industries maintaining consistency with the overall industry characteristics of the shanghai market, better reflecting changes in the structure of capital markets and the upgrade of industries.

Fourthly, the index's return and stability have further improved, with the annualized return over the past decade increasing by about one percentage point and the annualized volatility decreasing by 0.1 percentage points, while the sample turnover rate in the last three years has decreased to about 8%.

It is worth noting that the sse 180 index is the "central" of the sse broad-based index system. With the optimization of this index's compilation plan, other broad-based indices may also greet new changes simultaneously.

For example, the sse 50 index uses the sse 180 index samples as the sample space to select the 50 most representative securities in the shanghai securities market that have a large market cap and good liquidity. Meanwhile, the sample space for the sse 380 index is the shanghai securities market after excluding certain securities from the sse 180 index sample space.

In addition, the sse 180 index also has multiple derivative indices such as the sse 180 selected, sse 180 financial stocks, sse 180 corporate governance, and sse 180 growth.

Two leading fund companies recently reported their products.

As early as before the release of the optimization plan, Yinhua Fund and E Fund reported the 180etf on November 13 and October 28 respectively.

Among them, the product report for E Fund's 180etf was accepted by the CSRC at the beginning of this month.

From the current layout of the sse 180 index, there is only the Huasan sse 180etf listed in the domestic market, and additionally, two other off-market index funds have been established: the Huasan sse 180etf linked fund and the wanjia180 index fund.

Among them, the largest Huasan sse 180etf has been listed, with a current scale of 21.955 billion yuan. As of the end of June this year, 95.96% of the fund's shares were held by institutional investors. Central Huijin Investment is the largest holder of this etf, holding 5.232 billion shares, accounting for 90% of the total listed shares.