Also known as: 创业板动量成长指数 · 399296 (CNI code)
At a glance
- Weighting schemeFactor tilted
- Review frequencyQuarterly
- Constituent count50
- Single cap15
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 11 fields | |||
| Local short name | 创成长 | 指数名称：创业板动量成长指数指数简称：创成长Open p.1 ↗ |
The local Chinese short name is Chuang Chengzhang. |
| Index name | SZSE ChiNext Momentum Growth Index | 英文名称：SZSE ChiNext Momentum Growth IndexOpen p.1 ↗ |
The official English index name is SZSE ChiNext Momentum Growth Index. |
| Index short name | ChiNext Momentum Growth | 英文简称：ChiNext Momentum GrowthOpen p.1 ↗ |
The English short name is ChiNext Momentum Growth. |
| Local index name | 创业板动量成长指数 | 指数名称：创业板动量成长指数Open p.1 ↗ |
The local Chinese index name is 创业板动量成长指数. |
| Index code | 399296 | 指数代码：399296Open p.1 ↗ |
The index code is 399296. |
| Index family | 创业板动量成长指数 | 指数名称：创业板动量成长指数指数简称：创成长Open p.1 ↗ |
The document identifies the index as the ChiNext Momentum Growth Index. |
| Base date | 2012-12-31 | 指数基日为2012 年12 月31 日，基点为1000 点。Open p.1 ↗ |
The index base date is December 31, 2012. |
| Base value | 1,000 points | 指数基日为2012 年12 月31 日，基点为1000 点。Open p.1 ↗ |
The index base value is 1000 points. |
| Market classification | China A | 在深圳证券交易所创业板上市交易且满足下列条件的所有A 股：Open p.1 ↗ |
The index covers China A-shares listed on Shenzhen Stock Exchange ChiNext. |
| Index family type | Factor | 指数名称：创业板动量成长指数指数简称：创成长英文名称：SZSE ChiNext Momentum Growth IndexOpen p.1 ↗ |
The index is a momentum-growth factor index. |
| Factor exposures | Momentum, Growth | 英文名称：SZSE ChiNext Momentum Growth IndexOpen p.1 ↗ |
The index provides momentum and growth factor exposures. |
| M2 Universe · 5 fields | |||
| Markets | China A-share market | 在深圳证券交易所创业板上市交易且满足下列条件的所有A 股：Open p.1 ↗ |
The index covers A-shares traded on the ChiNext market in China. |
| Exchanges | Shenzhen Stock Exchange | 在深圳证券交易所创业板上市交易且满足下列条件的所有A 股：Open p.1 ↗ |
Securities must be listed and traded on the Shenzhen Stock Exchange. |
| Boards | ChiNext | 在深圳证券交易所创业板上市交易且满足下列条件的所有A 股：Open p.1 ↗ |
Securities must be listed on the ChiNext board. |
| Security types | A share | 在深圳证券交易所创业板上市交易且满足下列条件的所有A 股：Open p.1 ↗ |
Eligible securities are A-shares. |
| Exclusions | ST stocks, *ST stocks | 1. 非ST、*ST 股票；Open p.1 ↗ |
ST and *ST stocks are excluded from the selection universe. |
| M3 Eligibility screens · 4 fields | |||
| St star status screen | No | 1. 非ST、*ST 股票；Open p.1 ↗ |
Securities designated ST or *ST are not eligible. |
| Trading history | Minimum value: 6 months | 2. 上市时间超过6 个月；Open p.1 ↗ |
A security must have been listed for more than six months. |
| Financial screens | No major violations by the company in the most recent year, No material problems in financial reports in the most recent year, No abnormal operations in the most recent year, No major losses in the most recent year | 3. 公司最近一年无重大违规、财务报告无重大问题；Open p.2 ↗ |
Companies must have no major violations, no material financial-reporting problems, no abnormal operations, and no major losses during the most recent year. |
| Extreme price screen | Metric: Abnormal price fluctuation; Window: review period; Threshold: no abnormal fluctuation | 5. 考察期内股价无异常波动。Open p.2 ↗ |
Securities must have no abnormal share-price fluctuations during the review period. |
| M4 Selection and constituent count · 4 fields | |||
| Selection method | Rank by metric | 创业板动量成长指数从成长、动量两个维度对上市公司进行综合评价，具体步骤为：Open p.2 ↗ |
The index ranks eligible stocks using a market-capitalization screen and composite growth-momentum factor scores. |
| Ranking metrics | Name: Average daily free float market capitalization; Window: Past half year; Direction: Descending; Step order: 1, Name: Revenue growth; Window: Latest quarter yoy; Direction: Higher score; Step order: 2, Name: Profit growth; Window: Latest quarter yoy; Direction: Higher score; Step order: 2, Name: Ebit growth; Window: Latest quarter yoy; Direction: Higher score; Step order: 2, Name: 52 week high ratio; Window: Past 52 weeks; Direction: Higher score; Step order: 2, Name: 12m minus 1m momentum; Window: Prior 12 months excluding last month; Direction: Higher score; Step order: 2, Name: 12m minus 1m excess return momentum; Window: Prior 12 months excluding last month; Direction: Higher score; Step order: 2 | (1) 将选样空间内的股票，按过去半年的日均自由流通市值从大到小排序，选取排名在前30%的股票；Open p.2 ↗ |
Stocks are first ranked by average free-float market capitalization over the past half year, then scored on three growth metrics and three momentum metrics. |
| Target constituent count | 50 | 计算各股票的组合权重，选取排名靠前的50只股票。Open p.3 ↗ |
The index selects the 50 highest-ranked stocks based on their composite portfolio weights. |
| Industry neutrality rule | Metric scores, excluding momentum-factor metrics, are normalized by the stock's industry to produce Z-scores. | 将(2)中得到的各股票指标的指标得分，按照该股票所属的行业进行归一化处理（动量因子除外），得到Z 得分。Open p.3 ↗ |
Individual indicator scores are normalized within each stock's industry, except for momentum-factor indicators. |
| M5 Weighting and capping · 8 fields | |||
| Factor tilt weighting | Portfolio weights start from free-float market-capitalization weights and are tilted according to growth and momentum factor scores. | 每只股票以自由流通市值权重为基础，根据各因子得分情况进行倾斜加权（每只股票根据因子得分和自由流通市值情况进行相应的因子权重分配，得分越高、自由流通市值越大，则因子权重越大），计算各股票的组合权重Open p.3 ↗ |
Each stock begins with a free-float market-cap weight and receives factor-adjusted weight based on factor scores and free-float market capitalization. |
| Weight adjustment factor frequency | 4 times a year | 权重调整因子每年调整4 次，于样本股定期调整时实施。Open p.4 ↗ |
Weight adjustment factors are adjusted four times per year and implemented at periodic constituent reviews. |
| Weight adjustment factor fixing | The weight adjustment factor generally remains fixed until the next periodic review date. | 在下一个定期调整日之前，权重调整因子一般固定不变。Open p.4 ↗ |
Between periodic reviews, the weight adjustment factor generally remains unchanged. |
| Temporary adjustment weight succession | A newly added stock inherits the removed stock's weight from the last trading day before the adjustment, and its adjustment factor is calculated from that weight. | 当出现样本股临时调整时，新进样本股继承被剔除股票在调整前最后一个交易日的权重，据此计算新进股票的权重调整因子。Open p.4 ↗ |
In an ad hoc constituent change, the incoming stock inherits the deleted stock's weight as of the last trading day before removal. |
| Weighting scheme | Factor tilted | 每只股票以自由流通市值权重为基础，根据各因子得分情况进行倾斜加权Open p.3 ↗ |
The weighting scheme tilts free-float market-capitalization weights according to growth and momentum factor scores. |
| Free float factor | Method: Free float | 每只股票以自由流通市值权重为基础，根据各因子得分情况进行倾斜加权Open p.3 ↗ |
Free-float market capitalization is used as the base weight, but the document does not specify free-float adjustment bands. |
| Weight cap | 15% | 在指数计算时，先对选样时的组合权重进行归一化处理，再设置调整因子，使得单只股票权重上限不超过15%。Open p.4 ↗ |
After normalization, an adjustment factor is set so that no single stock's weight exceeds 15%. |
| Cap application timing | At review | 权重调整因子每年调整4 次，于样本股定期调整时实施。在下一个定期调整日之前，权重调整因子一般固定不变。Open p.4 ↗ |
Weight adjustment factors used for the cap are implemented during periodic constituent reviews and generally remain fixed until the next review. |
| M6 Review and rebalance schedule · 4 fields | |||
| Review frequency | Quarterly | 创业板动量成长指数样本股实施季度定期调整，实施时间定于每年3 月、6 月、9 月和12 月的第二个星期五的下一交易日。Open p.3 ↗ |
The index implements quarterly regular constituent reviews. |
| Review types | Quarterly review, Ad hoc | 创业板动量成长指数样本股实施季度定期调整，实施时间定于每年3 月、6 月、9 月和12 月的第二个星期五的下一交易日。Open p.3 ↗ |
The document provides for quarterly regular reviews and ad hoc constituent adjustments. |
| Review months | March, June, September, December | 创业板动量成长指数样本股实施季度定期调整，实施时间定于每年3 月、6 月、9 月和12 月的第二个星期五的下一交易日。Open p.3 ↗ |
Regular reviews occur in March, June, September, and December. |
| Effective date rule | The next trading day after the second Friday of March, June, September, and December. | 创业板动量成长指数样本股实施季度定期调整，实施时间定于每年3 月、6 月、9 月和12 月的第二个星期五的下一交易日。Open p.3 ↗ |
Regular changes take effect on the next trading day after the second Friday in March, June, September, and December. |
| M8 Corporate actions, IPOs, ad-hoc changes · 4 fields | |||
| Risk warning treatment reference | Risk-warning cases are handled according to the SZSE Component Index rules. | 样本股公司被实施风险警示，发生收购、合并、分拆情形的处理，同深证成指。Open p.4 ↗ |
When a constituent company is placed under risk warning, its treatment follows the SZSE Component Index rules. |
| Ad-hoc deletion | Delisting, Risk warning, Acquisition | 样本股出现终止上市时，将其从指数样本中剔除，选择备选样本股名单中排序最靠前的股票补足。样本股公司被实施风险警示，发生收购、合并、分拆情形的处理，同深证成指。Open p.4 ↗ |
A constituent is removed upon delisting; risk warnings, acquisitions, mergers, and spin-offs are handled according to the SZSE Component Index rules. |
| Replacement policy | Reserve list | 样本股出现终止上市时，将其从指数样本中剔除，选择备选样本股名单中排序最靠前的股票补足。Open p.4 ↗ |
When a constituent is delisted, the highest-ranked stock on the reserve list is selected to replace it. |
| Merger spinoff rules | Acquisitions, mergers, and spin-offs are handled in the same way as for the SZSE Component Index. | 样本股公司被实施风险警示，发生收购、合并、分拆情形的处理，同深证成指。Open p.4 ↗ |
Acquisitions, mergers, and spin-offs are handled according to the SZSE Component Index rules. |
| M9 Calculation and return variants · 5 fields | |||
| Weighting method | Paasche weighted method | 指数采用派氏加权法，依据下列公式逐日连锁实时计算：Open p.3 ↗ |
The index uses the Paasche weighting method. |
| Share count adjustment reference | 样本股权数调整方法参见指数计算与维护细则 | 样本股权数调整方法参见指数计算与维护细则，权重调整因子见“七、样本股权重调整”。Open p.3 ↗ |
Adjustments to constituent share counts refer to the detailed index calculation and maintenance rules. |
| Weight adjustment factor reference | 权重调整因子见“七、样本股权重调整” | 权重调整因子见“七、样本股权重调整”。Open p.3 ↗ |
Weight adjustment factors are specified in section seven on constituent weight adjustment. |
| Formula type | Chain linked | 指数采用派氏加权法，依据下列公式逐日连锁实时计算： = ∑ × × × ∑ × ×其中，样本股权数调整方法参见指数计算与维护细则Open p.3 ↗ |
The index is calculated in real time using a Paasche weighting method and a daily chain-linked formula. |
| Calculation frequency | Real time daily | 指数采用派氏加权法，依据下列公式逐日连锁实时计算： = ∑ × × × ∑ × ×其中Open p.3 ↗ |
The index is calculated in real time on each day. |
Open points · 40Model-written, for reference
- 1ISIN is not stated.
- 2Bloomberg, Refinitiv, Wind, or other data-vendor tickers are not stated.
- 3Benchmark administrator and calculation agent are not stated.
- 4Launch date is not stated; only the base date and base value are provided.
- 5Calculation currency is not explicitly stated.
- 6Methodology version and methodology date are not stated.
- 7Benchmark regulatory status is not stated.
- 8A formal objective or intended-use statement is not provided.
- 9Size segment is not specified using the requested standard categories.
- 10Parent index is not stated.
- 11No nationality-assignment rule beyond the A-share ChiNext listing criterion is stated.
- 12The liquidity metric, observation window, and threshold are not stated.
- 13Minimum market-capitalization or rank criterion is not stated.
- 14Minimum free-float percentage is not stated.
- 15Foreign ownership room or foreign ownership limits are not stated.
- 16Minimum voting-rights requirement is not stated.
- 17Minimum share price is not stated.
- 18Specific business or ESG exclusions beyond ST status, violations, reporting problems, abnormal operations, losses, and abnormal price movement are not stated.
- 19Suspension treatment at review is not stated.
- 20No explicit tie-breaking rule is stated for equal rankings or scores.
- 21No reserve list size or replacement-candidate rule is stated.
- 22The source and update timing of shares outstanding are not stated.
- 23No foreign ownership limit treatment or domestic inclusion factor is stated.
- 24No divisor adjustment rule for weight resets is stated.
- 25No group, sector, or country aggregate weight cap is stated.
- 26No data cutoff or reference date rule for quarterly reviews is stated.
- 27No announcement timing or disclosure channel for review results is stated.
- 28No separate weight-rebalancing or capped-weight reset frequency is stated.
- 29No rank buffer, size-segment buffer, liquidity buffer for existing constituents, or maximum turnover per review is stated.
- 30No fast-entry rule for large new listings is stated.
- 31No deletion price, share or free-float change threshold, or named separate corporate-actions guide is stated.
- 32The provided text refers to SZSE Component Index rules for risk warning, acquisition, merger, and spin-off treatment but does not reproduce those rules.
- 33M9 does not state the price source or reference-price treatment when no trade occurs.
- 34M9 does not state the real-time calculation interval or the number of decimal places published.
- 35M9 does not identify price, gross total return, or net total return variants.
- 36M9 does not specify withholding-tax treatment or cash-dividend reinvestment treatment.
- 37M9 does not list corporate-action or other events triggering divisor adjustments.
- 38M9 does not state market-disruption, closure, recalculation, or error-correction rules.
- 39Not coveredM7 Buffers and turnover control: not covered by this edition
- 40Not coveredM10 Governance, change policy, disclosure: not covered by this edition
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