Also known as: 深证100指数 · SZ399330 Index (Bloomberg) · 399330 (CNI code) · 399004 (CNI code, TR)
At a glance
- Review frequencySemi-annual
- Constituent count100
- Buffer70 / 130
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 11 fields | |||
| Total return index | Local index name: 深证100 全收益指数; Local short name: 深证100R; Index name: Shenzhen 100 Total Return Index; Short name: Shenzhen 100 TRI; Index code: 399004 | 指数名称：深证100 全收益指数指数简称：深证100R英文名称：Shenzhen 100 Total Return Index英文简称：Shenzhen 100 TRI指数代码：399004Open p.1 ↗ |
The document also identifies the Shenzhen 100 Total Return Index with code 399004. |
| Index name | Shenzhen 100 Index | 指数名称：深证100 指数指数简称：深证100英文名称：Shenzhen 100 Index英文简称：Shenzhen 100指数代码：399330Open p.1 ↗ |
The official English name is Shenzhen 100 Index. |
| Index short name | Shenzhen 100 | 指数名称：深证100 指数指数简称：深证100英文名称：Shenzhen 100 Index英文简称：Shenzhen 100指数代码：399330Open p.1 ↗ |
The official English short name is Shenzhen 100. |
| Local index name | 深证100 指数 | 指数名称：深证100 指数指数简称：深证100英文名称：Shenzhen 100 Index英文简称：Shenzhen 100指数代码：399330Open p.1 ↗ |
The local-language index name is Shenzhen 100 Index. |
| Index code | 399330 | 指数名称：深证100 指数指数简称：深证100英文名称：Shenzhen 100 Index英文简称：Shenzhen 100指数代码：399330Open p.1 ↗ |
The index code is 399330. |
| Administrator | 深圳证券信息有限公司 | 本文件和其中的所有信息，包括但不限于所有的文字、数据、图表、表格属于深圳证券信息有限公司的财产，受中国知识产权法律及相关法律保护。Open p.9 ↗ |
The document and its information are the property of Shenzhen Securities Information Co., Ltd. |
| Index family | 深证指数 | 指数名称：深证100 指数指数简称：深证100英文名称：Shenzhen 100 Index英文简称：Shenzhen 100指数代码：399330Open p.1 ↗ |
The index is identified as a Shenzhen index by its name and listing-market scope. |
| Base date | 2002-12-31 | 指数基日为2002 年12 月31 日，基点为1000 点。Open p.1 ↗ |
The index base date is December 31, 2002. |
| Base value | 1,000 index points | 指数基日为2002 年12 月31 日，基点为1000 点。Open p.1 ↗ |
The index base value is 1000 points. |
| Market classification | China A | 在深圳证券交易所上市交易且满足下列条件的所有A 股：Open p.2 ↗ |
The index covers A-shares listed and traded on the Shenzhen securities market. |
| Size segment | Large | 上市时间超过六个月，A 股总市值排名位于深圳市场前1%的股票除外；Open p.2 ↗ |
The index targets large Shenzhen-market stocks, including an exception based on the top 1% market-cap rank for the listing-history rule. |
| M2 Universe · 4 fields | |||
| Markets | China Shenzhen A-share market | 在深圳证券交易所上市交易且满足下列条件的所有A 股：Open p.2 ↗ |
The selection universe is all A-shares listed and traded on the Shenzhen market. |
| Exchanges | Shenzhen Stock Exchange | 在深圳证券交易所上市交易且满足下列条件的所有A 股：Open p.2 ↗ |
Securities must be listed and traded on the Shenzhen Stock Exchange. |
| Security types | A share | 在深圳证券交易所上市交易且满足下列条件的所有A 股：Open p.2 ↗ |
The universe consists of A-shares. |
| Exclusions | ST stocks, *ST stocks, companies with major violations in the latest year, companies with material problems in financial reports in the latest year, companies with abnormal operations or major losses in the latest year, stocks with abnormal price fluctuations during the review period | 1. 非ST、*ST 股票；Open p.2 ↗ |
The universe excludes ST and *ST stocks, companies with violations, reporting problems, abnormal operations or major losses, and stocks with abnormal price movements. |
| M3 Eligibility screens · 6 fields | |||
| St stock exclusion | Excluded: Yes; Security status: ST, *ST | 1. 非ST、*ST 股票；Open p.2 ↗ |
ST and *ST stocks are not eligible. |
| Trading history | Minimum value: 6 months; Exceptions: A-shares whose total market capitalization ranks in the top 1% of the Shenzhen market are exempt | 2. 上市时间超过六个月，A 股总市值排名位于深圳市场前1%的股票除外；Open p.2 ↗ |
A security must have been listed for more than six months, unless its total A-share market capitalization ranks in the top 1% of the Shenzhen market. |
| Minimum size | Metric: Rank; Threshold: Top 1% of the Shenzhen market by total A-share market capitalization; this serves as an exception to the six-month listing-history requirement | 2. 上市时间超过六个月，A 股总市值排名位于深圳市场前1%的股票除外；Open p.2 ↗ |
Stocks ranked in the top 1% of the Shenzhen market by total A-share market capitalization are excepted from the listing-time requirement. |
| Financial screens | No material problems in financial reports during the latest year, No abnormal operations during the latest year, No major losses during the latest 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 material financial-reporting problems, no abnormal operations, and no major losses in the latest year. |
| Business or ESG exclusions | No major violations during the latest 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 during the latest year. |
| Extreme price screen | Rule: No abnormal stock-price fluctuations during the investigation period | 5. 考察期内股价无异常波动。Open p.2 ↗ |
Securities must have no abnormal stock-price fluctuations during the review period. |
| M4 Selection and constituent count · 6 fields | |||
| Liquidity screen bottom removal | 10% | 其次，对入围股票在最近半年的A 股日均成交金额按从高到低排序，剔除排名后10%的股票Open p.2 ↗ |
The bottom 10% of eligible stocks ranked by average daily trading value over the most recent half year are removed. |
| Selection method | Rank by metric | 首先，计算入围选样空间股票在最近半年的A 股日均总市值和A 股日均成交金额；其次，对入围股票在最近半年的A 股日均成交金额按从高到低排序，剔除排名后10%的股票；然后，对选样空间剩余股票按照最近半年的A 股日均总市值从高到低排序，选取前100 名股票构成指数样本股。Open p.2 ↗ |
The index ranks eligible stocks first by liquidity, removes the bottom 10%, then ranks the remaining stocks by market capitalization and selects the top 100. |
| Ranking metrics | Name: Average daily turnover; Window: Recent half year; Direction: Descending; Step order: 1, Name: Average daily a share market capitalization; Window: Recent half year; Direction: Descending; Step order: 2 | 首先，计算入围选样空间股票在最近半年的A 股日均总市值和A 股日均成交金额；其次，对入围股票在最近半年的A 股日均成交金额按从高到低排序，剔除排名后10%的股票；然后，对选样空间剩余股票按照最近半年的A 股日均总市值从高到低排序，选取前100 名股票构成指数样本股。Open p.2 ↗ |
Stocks are first ranked by average daily trading value over the most recent half year, and survivors are then ranked by average daily A-share market capitalization over the same period. |
| Target constituent count | 100 securities | 然后，对选样空间剩余股票按照最近半年的A 股日均总市值从高到低排序，选取前100 名股票构成指数样本股。Open p.2 ↗ |
The index is composed of 100 constituent stocks. |
| Tie break rule | When rankings are similar, companies with stronger industry representativeness and good profit records are prioritized. | 在排名相似的情况下，优先选取行业代表性强、盈利记录良好的上市公司股票作为样本股。Open p.2 ↗ |
Where rankings are similar, listed companies with stronger industry representativeness and good earnings records receive priority. |
| Reserve list | Size rule: 5% of the constituent sample size | 在确定新入选成份股后，在剩余股票中按日均总市值从高到低排序选取样本数量5%的股票作为备选样本股。Open p.4 ↗ |
After new constituents are determined, stocks equal to 5% of the sample size are selected from the remaining stocks, ranked by average daily total market capitalization, as reserve constituents. |
| M6 Review and rebalance schedule · 6 fields | |||
| Review frequency | Semi-annual | 指数样本股每半年调整一次。样本股考察期为半年，考察截止日为每年的4 月30 日和10 月31 日。Open p.3 ↗ |
Index constituents are reviewed and adjusted every six months. |
| Review types | Semi annual review, Ad hoc | 指数样本股每半年调整一次。样本股考察期为半年，考察截止日为每年的4 月30 日和10 月31 日。Open p.3 ↗ |
The index has semi-annual regular reviews and interim constituent adjustments. |
| Review months | June, December | 样本股定期调整于每年6 月和12 月的第二个星期五的下一个交易日实施。样本股调整方案通常在实施前两周公布。Open p.4 ↗ |
Regular constituent changes are implemented in June and December. |
| Data cutoff rule | Cutoff dates: 04-30, 10-31; Reference windows: previous November 1 to review-year April 30, review-year May 1 to October 31; Data types: Trading data, Financial data | 样本股考察期为半年，考察截止日为每年的4 月30 日和10 月31 日。每年5 月份审核样本股时，参考依据一般是上一年度11 月1 日至审核年度4 月30日的交易数据及财务数据；每年11 月份审核样本股时，参考依据一般是审核年度5 月1 日至10 月31 日的交易数据及财务数据。Open p.3 ↗ |
The six-month review cut-off dates are April 30 and October 31, using trading and financial data from the preceding specified six-month windows. |
| Announcement rule | approximately two weeks before implementation; announced together with the regular adjustment list | 样本股定期调整于每年6 月和12 月的第二个星期五的下一个交易日实施。样本股调整方案通常在实施前两周公布。Open p.4 ↗ |
The adjustment plan is usually announced two weeks before implementation, and the reserve list is published with the regular adjustment list. |
| Effective date rule | Months: 6, 12; Week ordinal: 2; Weekday: Friday; Timing: next trading day after the second Friday | 样本股定期调整于每年6 月和12 月的第二个星期五的下一个交易日实施。样本股调整方案通常在实施前两周公布。Open p.4 ↗ |
Regular changes take effect on the next trading day after the second Friday in June and December. |
| M7 Buffers and turnover control · 2 fields | |||
| Buffer zone | Entry rank: 70%; Exit rank: 130% | 排名在样本数70%范围之内的非原样本股按顺序入选，排名在样本数130%范围之内的原样本股按顺序优先保留。Open p.4 ↗ |
Non-incumbents ranked within 70% of the constituent count enter in order, while incumbents ranked within 130% are prioritized for retention. |
| Maximum turnover per review | 10% of constituents | 每次样本股调整数量不超过样本总数的10%。Open p.4 ↗ |
The number of constituent changes at each regular review may not exceed 10% of the total constituent count. |
| M8 Corporate actions, IPOs, ad-hoc changes · 8 fields | |||
| Risk warning effective rule | Trigger: ST or *ST risk warning; Effective timing: next trading day after the second Friday of the month following the risk warning implementation month | 样本股被交易所实施风险警示（ST 或*ST）的，从实施风险警示次月的第二个星期五的下一个交易日起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.6 ↗ |
A constituent receiving ST or *ST is removed effective on the next trading day after the second Friday of the following month. |
| Reserve list size | Normal (% of constituents): 5; Replenishment threshold (%): 50 | 备选样本股数量一般为指数样本数量的5%，备选名单随同定期调整名单向市场公布。当备选样本股数量不足50%时，将及时补充并公告备选样本股名单。Open p.7 ↗ |
The reserve list generally contains 5% of the index constituent count and is replenished promptly when it falls below 50%. |
| Major violation review body | Index Expert Committee | 样本股公司因重大违规行为（如财务报告造假），可能被暂停或者终止交易的，经指数专家委员会审议后，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.6 ↗ |
A constituent that may be suspended or terminated for major violations, such as financial-report fraud, is removed after deliberation by the Index Expert Committee. |
| Fast entry | Size threshold: average A-share total market capitalization ranked in the top 10 of the Shenzhen market; Observation window: 5; Observation window unit: Trading days; Entry after: 15; Entry after unit: Trading days; Simultaneous removal: remove the existing constituent with the lowest average A-share total market capitalization rank; Applies to ma restructuring: Yes | 新上市股票若在上市后的5 个交易日内，平均A 股总市值排名位于深圳市场前10 名，则在上市15 个交易日之后快速入选样本股，同时从指数中剔除平均A 股总市值排名最低的原样本股。上市公司因并购重组等行为，平均A 股总市值排名进入深圳市场前10 名，参照新上市股票快速入选规则处理。Open p.5 ↗ |
A newly listed stock ranking in the Shenzhen market's top 10 by average A-share total market capitalization within its first five trading days is added after 15 trading days, replacing the lowest-ranked existing constituent; companies entering the top 10 through mergers or restructuring are treated similarly. |
| Ad-hoc deletion | Delisting, Prolonged suspension, Risk warning, Acquisition, Other | 样本股终止上市的，从进入退市整理期的第一个交易日起，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。样本股公司因重大违规行为（如财务报告造假），可能被暂停或者终止交易的，经指数专家委员会审议后，将其从指数样本中剔除Open p.6 ↗ |
Interim removals occur upon delisting, possible suspension or termination for major violations, risk warnings, and merger-related replacement situations. |
| Replacement policy | Reserve list | 当指数出现样本股退市、实施ST 或*ST 等事项需要临时更换样本时，依次选择指数备选股名单中排序最靠前的股票作为样本股。Open p.7 ↗ |
Vacancies caused by interim changes are filled by the highest-ranked stock on the reserve constituent list. |
| Merger spinoff rules | Merger constituent with constituent: merged company retains constituent qualification and vacancy is filled by the highest-ranked reserve stock; Merger constituent with nonconstituent: merged company retains constituent qualification; Merger nonconstituent with constituent: merged company enters if ranked above the highest-ranked reserve stock; otherwise the highest-ranked reserve stock enters; Spinoff: new companies are assessed by rank, with the lowest-ranked incumbent removed as needed to preserve the constituent count | 样本股公司合并：合并后的新公司股票保留样本股资格，产生的样本股空缺由备选样本股名单中排序最靠前的股票填补。样本股公司合并非样本股公司：合并后的新公司股票保留样本股资格。非样本股公司合并样本股公司：若合并后的新公司股票排名高于备选样本股名单中排序最靠前的股票，则新公司股票成为指数样本，否则，备选样本股名单中排序最靠前的股票作为指数样本。Open p.5 ↗ |
Merged companies generally retain constituent status, with reserve-list or rank-based replacement as specified; spin-off companies are admitted based on rank and the constituent count remains unchanged. |
| Deletion price | first trading day of the delisting arrangement period | 样本股终止上市的，从进入退市整理期的第一个交易日起，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.6 ↗ |
A constituent whose listing is terminated is removed from the index starting on the first trading day it enters the delisting arrangement period. |
| M9 Calculation and return variants · 10 fields | |||
| Weighting share count | free-float share count | 样本股权数：为样本股的自由流通量，分子项和分母项的权数相同。自由流通量：上市公司实际可供交易的流通股数量，Open p.2 ↗ |
Constituent weights use the number of freely tradable shares, with the same weight used in the numerator and denominator. |
| Ex rights reference price source | Shenzhen Stock Exchange | 除权参考价以深圳证券交易所发布为准。Open p.7 ↗ |
The ex-rights reference price is based on the price published by the Shenzhen Stock Exchange. |
| Scheduled free float adjustment dates | Month: 6; Rule: next trading day after the second Friday, Month: 12; Rule: next trading day after the second Friday | 在每年6 月、12 月的第二个星期五的下一个交易日，根据上市公司最新定期报告与临时公告中公布的股东持股数据进行集中调整。Open p.8 ↗ |
Free-float changes caused by non-company actions are centrally adjusted on the trading day after the second Friday in June and December. |
| Formula type | Chain linked | 深证100 指数采用派氏加权法，依据下列公式逐日连锁实时计算： ∑（样本股实时成交价× 样本股权数）实时指数= 上一交易日收市指数×Open p.2 ↗ |
The index is calculated in real time on a daily chain-linked basis using the Paasche weighting method. |
| Price source | opening call auction price for the opening index, real-time transaction prices for the real-time index, closing prices for the closing index, prior trading day's closing price when no trade occurs, and latest transaction price when suspended | 股票价格选取：以样本股集合竞价的开市价计算开市指数，以样本股的实时成交价计算实时指数，以样本股的收市价计算收市指数。样本股当日无成交的，取上一交易日收市价。样本股暂停交易的，取最近成交价。Open p.3 ↗ |
The index uses opening call auction prices, real-time transaction prices, closing prices, the prior close for securities without trades, and the latest traded price for suspended securities. |
| Calculation frequency | real-time daily, plus opening and closing index calculations | 深证100 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.2 ↗ |
The index is calculated daily in real time, with separate opening and closing index calculations. |
| Return variants | PR, GTR | 对于全收益指数，当样本公司进行派息、送股、配股、转增或其他除权情形时，在除权除息日将母项中该公司股票的股权登记日收市价更新为除权参考价。Open p.7 ↗ |
The document distinguishes a price index and a total-return index. |
| Dividend treatment | For the total-return index, the registration-day closing price is updated to the ex-rights reference price on the ex-dividend/ex-rights date for dividends and other corporate actions; for the price index, cash dividends receive no ex-dividend adjustment. | 对于全收益指数，当样本公司进行派息、送股、配股、转增或其他除权情形时，在除权除息日将母项中该公司股票的股权登记日收市价更新为除权参考价。除权参考价以深圳证券交易所发布为准。对于价格指数，现金分红在除息日不作除权调整，其余处理方法同全收益指数。Open p.7 ↗ |
The total-return index adjusts the base price to the exchange-published ex-rights reference price on the ex-dividend date, while the price index makes no adjustment for cash dividends. |
| Divisor adjustment | cash dividends for the total-return index, bonus shares, rights issues, capital reserve transfers to share capital, other ex-rights events, new share listings from seasoned offerings or rights issues, debt-to-equity swaps, share buybacks, warrant exercises, free-float changes from major shareholder holdings changes, restricted-share listings and other non-company-action free-float changes | 对于全收益指数，当样本公司进行派息、送股、配股、转增或其他除权情形时，在除权除息日将母项中该公司股票的股权登记日收市价更新为除权参考价。Open p.7 ↗ |
Adjustments are made for dividends and ex-rights events, changes in free-float shares from rights and bonus issues, listings of newly issued shares, debt-to-equity swaps, buybacks, warrant exercises, and periodic non-company-action free-float changes. |
| Market disruption rule | If a constituent is suspended, the latest transaction price is used in the calculation. | 样本股当日无成交的，取上一交易日收市价。样本股暂停交易的，取最近成交价。Open p.3 ↗ |
For suspended constituent securities, the index uses the most recent transaction price. |
| M10 Governance, change policy, disclosure · 5 fields | |||
| Index ownership | The Shenzhen 100 Index is an asset of Shenzhen Stock Exchange. | 深证100 指数属于深圳证券交易所资产，未经深交所或深圳证券信息公司书面许可，任何单位或个人不得跟踪、交易该指数，或以该指数为评价基准。Open p.9 ↗ |
The document states that the Shenzhen 100 Index belongs to Shenzhen Stock Exchange. |
| Tracking and benchmark license requirement | Written permission from Shenzhen Stock Exchange or Shenzhen Securities Information Co. is required to track, trade, or use the index as an evaluation benchmark. | 未经深交所或深圳证券信息公司书面许可，任何单位或个人不得跟踪、交易该指数，或以该指数为评价基准。Open p.9 ↗ |
No entity or individual may track, trade, or use the index as an evaluation benchmark without written permission from Shenzhen Stock Exchange or Shenzhen Securities Information Company. |
| Oversight body | Shenzhen Securities Information Co., Ltd. Index Division, authorized and entrusted by Shenzhen Stock Exchange | 深证100 指数由深圳证券交易所授权并委托深圳证券信息有限公司编制、维护和管理。深圳证券信息有限公司指数事业部定期对样本股的代表性进行考察，根据考察结果审议是否更换样本股。Open p.8 ↗ |
The Shenzhen 100 Index is compiled, maintained, and managed by Shenzhen Securities Information Co., Ltd. under authorization and entrustment from Shenzhen Stock Exchange, with its Index Division reviewing constituent representativeness. |
| Discretion points | The Index Division reviews constituent representativeness and deliberates whether to replace constituents based on the review results. | 深圳证券信息有限公司指数事业部定期对样本股的代表性进行考察，根据考察结果审议是否更换样本股。Open p.8 ↗ |
The Index Division may deliberate whether to replace sample stocks based on periodic reviews of their representativeness. |
| Change announcement | FTP, www.cnindex.com.cn | 1 2 FTP 3 www.cnindex.com.cnOpen p.8 ↗ |
Index information is published through FTP and the website www.cnindex.com.cn. |
Open points · 28Model-written, for reference
- 1ISIN is not stated.
- 2Third-party vendor tickers such as Bloomberg, Refinitiv, or Wind are not stated.
- 3Calculation agent is not explicitly distinguished from the administrator.
- 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.
- 8The index objective and intended use are not explicitly stated.
- 9Index family type and factor exposures are not explicitly stated.
- 10Liquidity screen metrics, thresholds, and review window are not stated; the text only excludes abnormal price fluctuations.
- 11Minimum free float, foreign room, voting rights, minimum price, and suspension rules are not stated.
- 12Listing boards or segments are not specified.
- 13Company nationality assignment rule is not stated.
- 14No explicit industry neutrality or industry quota rule is stated; industry representativeness is used only as a tie-breaking preference.
- 15No separate corporate-actions guide is named.
- 16No specific threshold for routine share or free-float changes between reviews is stated.
- 17No size-segment buffer or liquidity buffer specific to existing constituents is stated.
- 18No weight-reset frequency distinct from the semi-annual constituent review is stated.
- 19The document does not state the number of decimal places in the published index level.
- 20The document does not specify a withholding-tax basis or identify a net total return variant.
- 21The document does not state a policy for recalculating or correcting published index levels.
- 22The document does not specify treatment for full market closure or broad market disruption beyond suspended securities.
- 23The document does not state how often the methodology itself is reviewed.
- 24The document does not describe external review, consultation procedures, material-change definition, or notice period for methodology changes.
- 25The document does not state an error correction or restatement policy.
- 26The document does not specify whether or how often constituent lists are published.
- 27The document does not state a policy for discontinuing the index.
- 28Not coveredM5 Weighting and capping: not covered by this edition
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