Shenzhen Stock Exchange and China Securities Index Co., Ltd. announced that SZSE fundamental index series, including SZSE Fundamental 60 Index, SZSE Fundamental 120 Index and SZSE Fundamental 200 Index, would be released on May 10, 2010.
The fundamental index series were applied in A-share market by ranking 60, 120 and 200 companies listed on Shenzhen Stock Exchange according to four fundamental measures of company size: turnovers, cashflow, net assets and dividends. The fundamental index ranked stocks according to the four fundamental factors of company size to determine porfolio weight instead of depending on the fluctuations of market valuation in order to reduce the performance drag created by overweighting overvalued stocks and underweighting undervalued stocks. It broke the link between price and profolio weight. The rules for index compiling have been released on the webstie of Shenzhen Stock Exchange ?www.szse.cn?and China Securities Index Co., Ltd. ?www.csindex.com.cn?.
The fundamental index series were developed by China Securities Index Co., Ltd., and Shenzhen Securities Information Co., Ltd. also participated in the development. The release of fundemental index series is expected to drive the further development and innovation of index products and acclerate the construction of multi-level capital market. The development of related ETF products and fund products also has been under preparation by fund companies.