China FTSE 50
China FTSE 50
China FTSE 50
The FTSE China A50 Index is the benchmark for investors to access the China domestic market through A Shares securities of companies incorporated in mainland China and traded by Chinese and institutional investors under the
Qualified Foreign Institutional Investor and Renminbi Qualified Foreign Institutional Investor (QFII & RQFII) regulation.
It is a real-time, tradable index comprising the largest 50 A Share companies by full market capitalisation of the
securities listed on the Shanghai and Shenzhen stock exchanges.
The FTSE China A50 Index is a free-float adjusted, liquidity-screened index. It is reviewed quarterly in March, June,
September, and December to ensure the Index remains representative of the underlying China market.
FEATURES
Objective
The index has been designed for the
creation of
structured products, index
tracking funds, ETFs and derivatives. It
represents the performance of the
mainland Chinese market that is available
to A share investors
Universe
Provides coverage of the largest 50 stocks
listed on both the Shanghai and Shenzhen
stock exchanges
The FTSE China A50 Index is the headline index of FTSE China Index Series, which is designed to represent the
performance of the mainland Chinese market that is available to A share investors, but also Chinese companies that
are listed overseas. The FTSE China A Index Series dissects the Chinese A Share market into different size segments
the A50 for the largest 50 blue chip companies, the large cap A 200, the mid cap A 400, the combined large/mid A
600, and FTSE China A Small Cap Index that contains the remaining companies that are in the top 98% of the eligible
universe. The FTSE China Index Series also contains the flagship FTSE China 50 Index that represents the largest Red
Chips, P Chips and H Shares listed on the Hong Kong Stock Exchange.
Investability
14238.10
-2174.16
2.11
1.13
1.39
-2.71
-4.0
-2.0
2.0
Liquidity
-13.25%
INFORMATION
Index Universe
0.15
0.24
5.23
0.20
1.84
5.0
on
intra-second
End-of-Day Distribution
Index available at 20:00 local time (12:00
hours London time GMT or 13:00 hours
BST) via FTP and email
Currency
CNY
(real-time),
(end-of-day)
USD
and
HKD
Review Dates
VENDOR CODES
FTSE
XIN9
BLOOMBERG
TXIN9IC
REUTERS
.TRIXIN9
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Index Overview
The FTSE China A50 Index is a real-time tradable index comprising the largest 50 'A' Share companies listed on the Shanghai Stock Exchange and Shenzhen
Stock Exchange. The index offers the optimal balance between representativeness and tradability for China's A Share market. It can be used as a basis for
on-exchange and OTC derivative products, mutual funds and ETFs.
Performance Hightlights
250
200
150
100
50
0
FTSE China A50 Index Historical Performance Table (CNY Total Return)
Cumulative Performance
1M
(%)
3M
(%)
-13.25
-21.39
4.88
-3.23
51.62
61.33
36.09
17.29
-15.36
-14.11
22.91
23.49
68.11
95.54
58.47
25.05
Index Name
6M
(%)
YTD
(%)
1Y
(%)
Annualised Performance
3Y
(%)
5Y
(%)
5Y
(%pa)
3Y
(%pa)
2011
(%)
2012
(%)
2013
(%)
2014
(%)
6.36
-17.26
14.56
-11.71
68.75
2.61
9.64
-27.81
6.36
2.64
44.39
1.17
1M Perf
(%)
Div Yield
(%)
Performance to the FTSE China A50 Index and Selected FTSE Asia Pacific Country Indices in July (CNY Total Return)
Rank
1
Number of
Cons
Index Name
FTSE Vietnam Index
16
1M Perf
(%)
Rank
4.56
Number of
Cons
Index Name
FTSE Pakistan Index
18
-4.56
14
155
2.08
10
30
498
-5.39
126
2,588
1.59
11
30
1,247
-5.55
479
20,832
0.60
12
30
812
-0.33
13
30
782
-7.32
111
3,197
-7.66
2,595
199
6,447
-0.89
14
50
27
391
-1.38
15
50
90
3,146
-2.75
16
50
3,730
-7.78
-12.71
-13.25
Number of Adds
Number of Dels
Number of Cons
After Review
Number of Cons
September 2014
50
2,189,044
50
2,189,044
0.00
December 2014
50
3,178,780
50
3,195,749
7.02
Note:
March 2015
50
3,663,313
50
3,718,603
8.16
June 2015
50
4,046,106
50
4,285,102
11.74
The majority of index changes occurs at the index reviews in March, June, September and December. Review changes to the index may include constituent
additions/deletions, shares in issue and free float changes, and changes due to corporate events.
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Industry Breakdown
2
(2.89%)
100
80
2
1
6
1 (1.41%) 2 (1.59%) (7.57%)
(0.12%) (1.97%)
1
(1.39%)
11
(16.80%)
60
40
20
0
24
(66.26%)
Key:
Basic Materials
Consumer Goods
Consumer Services
Financials
Health Care
Industrials
Oil & Gas
Technology
Telecommunications
Utilities
Number of Constituents
24
(66.26%) Index Weight
FTSE China A50 Index Historical Volatility Table (CNY Total Return)
Index Name
YTD (%)*
1Y (%)*
3Y (%)**
5Y (%)***
2011 (%)*
2012 (%)*
2013 (%)*
2014 (%)*
41.80
36.79
27.59
26.76
19.29
18.40
24.01
22.13
39.87
32.83
25.38
24.77
21.17
20.97
20.89
17.56
Volatility (%)
FTSE China A50 Index Historical Rolling Volatility (CNY Total Return)
45
40
35
30
25
20
15
10
5
0
FTSE China A50 Index Historical Tracking Error (CNY Total Return)
Index Name
FTSE China A50 Index
* Based on annualised daily total log returns.
YTD (%)*
1Y (%)*
3Y (%)**
5Y (%)***
2011 (%)*
2012 (%)*
2013 (%)*
25.94
23.10
18.10
15.33
8.55
7.92
11.36
13.95
2013 (%)*
2014 (%)*
2014 (%)*
Note: FTSE China A All-Share Index is used as the benchmark for the calculation of the tracking error
FTSE China A50 Index Historical Correlation Against FTSE China A All-Share Index (CNY Total Return)
Index Name
FTSE China A50 Index
* Based on annualised daily total log returns.
YTD (%)*
0.7991
1Y (%)*
0.7852
3Y (%)**
0.7696
5Y (%)***
0.8255
2011 (%)*
0.9151
2012 (%)*
0.9272
0.8806
0.7767
Note: FTSE China A All-Share Index is used as the benchmark for the calculation of the correlation
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FTSE China A50 Index Historical Sharpe Ratio (CNY Total Return)
Index Name
YTD*
1Y*
3Y**
5Y***
2011*
2012*
2013*
2014*
-0.2089
1.0419
0.4049
0.2274
-1.1848
0.5564
-0.6697
2.2001
0.8297
1.4819
0.6928
0.3686
-1.7239
0.1339
-0.0489
1.8849
Note: China 3-Month interbank offered rate (CHIBOR) is used as the risk free rate.
FTSE China A50 Index Historical Information Ratio (CNY Total Return)
Index Name
YTD*
1Y*
3Y**
5Y***
2011*
2012*
2013*
2014*
-1.0304
-0.7136
-1.8894
-1.4600
1.2326
1.0358
-1.2629
1.7462
Note: FTSE China A All-Share Index is used as the benchmark for the calculation of the information ratio
Local Code
Constituent Name
ICB Subsector
601318
Life Insurance
321,723
8.63
-18.04
600036
Banks
226,320
6.07
-4.14
600016
Banks
212,214
5.69
-7.52
601166
Banks
177,644
4.76
-9.91
600030
Investment Services
161,590
4.33
-22.74
-11.14
1M Perf (%)
600000
Banks
148,987
3.99
000002
118,049
3.16
0.95
601398
Banks
117,200
3.14
-4.30
601328
Banks
115,445
3.10
-16.99
10
601766
CRRC (A)
105,802
2.84
-16.23
1,704,974
45.71
Totals
BOTTOM
TOP
FTSE China A50 Index Top 5 and Bottom 5 Performers (CNY Total Return)
Local Code
Constituent Name
ICB Subsector
601186
Heavy Construction
000002
002594
BYD (A)
600900
1M Perf (%)
45,470
1.22
5.37
118,049
3.16
0.95
Automobiles
22,566
0.60
0.67
Alternative Electricity
53,470
1.43
0.00
601857
PetroChina (A)
44,893
1.20
-1.35
000651
53,684
1.44
-26.40
601006
Railroads
60,476
1.62
-27.21
002415
34,268
0.92
-27.70
000725
76,627
2.05
-28.71
601336
Life Insurance
24,215
0.65
-29.58
Number of Constituents
50
1,796
14,142,398
41,680,540
33.93
100.00
3,730,010
15,296,579
74,600
8,517
Largest
321,723
321,723
Smallest
4,455
653
Median
55,987
2,173
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Constituent Name
ICB Subsector
601318
Life Insurance
321,723
8.63
600036
Banks
226,320
6.07
-4.14
600016
Banks
212,214
5.69
-7.52
601166
Banks
177,644
4.76
-9.91
600030
Investment Services
161,590
4.33
-22.74
600000
Banks
148,987
3.99
-11.14
000002
118,049
3.16
0.95
601398
Banks
117,200
3.14
-4.30
Rank
1M Perf (%)
-18.04
601328
Banks
115,445
3.10
-16.99
10
601766
CRRC (A)
105,802
2.84
-16.23
11
601988
Banks
103,170
2.77
-5.41
12
600837
Investment Services
103,159
2.77
-20.13
13
601989
100,051
2.68
-10.20
14
600519
93,535
2.51
-9.98
15
601288
Banks
91,040
2.44
-3.00
16
601668
Heavy Construction
83,520
2.24
-16.25
17
601169
Banks
78,996
2.12
-19.32
18
000725
76,627
2.05
-28.71
19
000001
Banks
74,279
1.99
-14.99
20
601390
Heavy Construction
67,379
1.81
-4.02
21
601818
Banks
63,259
1.70
-15.30
22
600028
63,068
1.69
-15.01
23
601601
Life Insurance
62,782
1.68
-15.98
24
601006
Railroads
60,476
1.62
-27.21
25
000333
57,299
1.54
-11.08
26
601939
Banks
54,675
1.47
-11.55
-26.40
27
000651
53,684
1.44
28
600900
Alternative Electricity
53,470
1.43
-0.00
29
600050
Mobile Telecommunications
52,483
1.41
-14.75
30
002024
Specialty Retailers
51,924
1.39
-9.87
31
601628
Life Insurance
47,045
1.26
-9.83
32
601186
Heavy Construction
45,470
1.22
5.37
33
601857
PetroChina (A)
44,893
1.20
-1.35
34
600104
Automobiles
44,594
1.20
-10.00
35
601688
Investment Services
44,396
1.19
-16.30
36
000776
GF Securities (A)
Investment Services
43,054
1.15
-17.66
37
002415
34,268
0.92
-27.70
38
601088
Coal
33,662
0.90
-18.42
39
600999
Investment Services
31,044
0.83
-19.20
40
002736
Investment Services
26,826
0.72
-13.07
41
600019
25,724
0.69
-22.31
42
601998
Banks
24,288
0.65
-1.43
43
601336
Life Insurance
24,215
0.65
-29.58
44
002594
BYD (A)
Automobiles
22,566
0.60
0.67
45
601800
Heavy Construction
22,082
0.59
-17.65
-22.31
46
600011
Conventional Electricity
19,958
0.54
47
600018
Transportation Services
17,972
0.48
-9.23
48
601727
Industrial Machinery
13,042
0.35
-10.95
49
601633
Automobiles
10,606
0.28
-22.85
50
600485
Telecommunications Equipment
4,455
0.12
-13.20
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FTSE China A50 Index Quarterly Review Process (Based on the Upcoming September Review)
AUGUST 2015
S
Tu W Th
10 11 12 13 14 15
Size
1
5
Review Data
16 17 18 19 20 21 22
Cutoff Date 23 24 25 26 27 28 29
[ Close ]
Size Requirement
30 31
Free Float
Size
Liquidity
Free Float
Median Liquidity Requirement
Free Float Requirement
FF 3%
- Excluded / Subject to
Committee Approval
3% < FF 15%
Requirement
- Minimum Size
- CNY 17bn
Eligible Companies
- CNY
Constituent Selection
The 50 Constituents are Selected with the
Following Order:
1. Companies Ranked 40th or Above
2. Existing A50 Constituents Ranked
Between 41st and 60th
3. Non-A50
Constituents
Between 41st and 60th
Ranked
Ran
A Share B Share H Share
Full Existing New
Company
k
Mkt Cap Mkt Cap Mkt Cap Mkt Cap Cons Cons
1
C01
800
300
1,100
Y
Y
2
C02
1,000
1,000
Y
Y
3
C03
500
200
700
Y
...
40
C40
200
200
Y
Y
41
C41
195
195
...
50
C50
150
150
Y
Y
...
60
C60
100
100
Y
Y
61
C61
99
99
Y
...
Companies Ranked
in Descending Order
of Full Market Cap
Including All Share
Classes
SEPTEMBER 2015
S
6
Review
M
7
Tu W Th
10 11 12
13 14 15 16 17 18 19
Implementation 20 21 22 23 24 25 26
Date [ Open ]
27 28 29 30
Reserve List
Beijing
Dubai
Hong Kong
London
Milan
Mumbai
New York
Paris
San Francisco
Sydney
Tokyo
Toronto
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