Base Day and Period

The base day for CSI300 is Dec. 31, 2004. The base point is 1000. The base period is the adjusted market value of 300 constituents on the base day.

Index Calculation Formulas

CSI300 is calculated using a Paasche weighted composite price index formula. The formula is:

Current index = Current adjusted market cap of constituents ÷ Base Period × 1000

Adjusted market value = Σ (Price × Adjusted No. of shares). Adjusted market value on the base day is also called divisor.

CSI300 uses category-weighted method to adjust constituents' shares. Hence, the calculation of constituents adjusted shares depends on two factors, namely free float and category-weighted method.

When changes occur to constituent list or the share structure, or constituents' market value changes due to non-trading factors, the divisor is adjusted to keep the index comparable overtime. The "Divisor Adjustment Methodology" is used to adjust CSI300 index.

Index Real-time Calculation

The real time calculation of CSI300 is based on the price data issued by the trading systems of the two exchanges.

1. The opening index is calculated by the opening price obtained through the daily aggregate auction. In case there is no deal, the opening index is then calculated by the closing price of the previous trading day.
2. The index is calculated every 2 seconds till the close of trading.

Price of each constituent (X) is defined on the following principle: If there is no deal the whole trading day, X equals the closing price of the previous trading day, otherwise, X equals the latest traded price.

CSI will decide whether or not to calculate the indices in case of abnormal quotations from the two exchanges.

Free Float

To reflect the price fluctuation of tradable shares in the market, CSI300 adopts free float shares (free float) to calculate index exclusive of non-negotiated shares such as strategic holdings, government holdings, etc.

Among all the A shares outstanding, restricted shares during lock-in period and the following six categories are usually deemed as non-free float by CSI:

1. Long term holdings by founders, families, & senior executives
2. Government holdings
3. Strategic holdings (Companies, banks)
4. Frozen shares
5. Restricted employee shares
6. Cross holdings

If the holdings of shareholders of the six categories and their persons acting in concert are larger than 5%, the holdings will be defined as non-free float. Free Float=Total A shares - non-free float shares.