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(a)
For Hang Seng Index (HSI), Hang Seng China Enterprises Index (HSCEI), Hang Seng China H-Financials Index (HSCHFI) and Hang Seng Freefloat Index (HSFI) Series:
| Current Index = |
Σ(Pt × IS × FAF × CF) |
× Yesterday's Closing Index |
| ------------------------------ |
| Σ(Pt-1 × IS × FAF × CF) |
Pt : Current Price at Day t
Pt-1 : Current Price at Day (t-1)
IS : Issued Shares
FAF : Freefloat-adjusted Factor, which is between 0 and 1, adjusted every six months
CF : Cap Factor, which is between 0 and 1, adjusted every six months
| Index Price/Earnings Ratio = |
Total Freefloat-adjusted Market Capitalisation of Index Constituent Stocks |
| --------------------------------------------------------------------------------------- |
| StocksTotal Freefloat-adjusted Earnings of Index Constituent Stocks |
| Index Dividend Yield = |
Total Freefloat-adjusted Dividends of Index Constituent Stocks |
| --------------------------------------------------------------------------------------- |
| Total Freefloat-adjusted Market Capitalisation of Index Constituent Stocks |
Freefloat Adjustment*
The following shareholdings are viewed as strategic in nature and are excluded for index calculation:
- Strategic holdings – shares held by strategic shareholder(s) who individually or collectively control more than 30% of the shareholdings;
- Directors' holdings – shares held by director(s) who individually control more than 5% of the shareholdings;
- Cross-holdings – shares held by a Hong Kong-listed company which controls more than 5% of the shareholdings as investments; and
- Lock-up shares – shares held by shareholder(s) who individually or collectively represent more than 5% of the shareholdings in the company and with a publicly disclosed lock-up arrangement.
The data used for the freefloat adjustment are taken from publicly available sources, including annual reports and Securities Notification History Reports from Hong Kong Exchanges and Clearing Limited.
The Freefloat-adjusted Factor (FAF), representing the proportion of shares that is freefloated as a percentage of issued shares, is rounded up to the nearest multiple of 5% for Index calculation.
Cap Adjustment*
A Cap Factor (CF) is calculated in each regular half-yearly constituent change implementation, such that no constituent has a weighting exceeding 15%.
* The compilation of the HSI was switched from a full market capitalization weighted formula to a freefloat-adjusted market capitalization weighted formula with a 15% cap on individual stock weightings starting from 11 September 2006. The above changes are phased in over a period of 12 months from September 2006 to September 2007 to ensure a smooth transition and to minimize any impact on the market.
A re-capping exercise will be conducted semi-annually in Q1 and Q3 to coincide with the regular update of the FAF. Additional re-capping will be performed should there be constituent changes.
The timetable for the adjustments is as follows:
| |
Freefloat Adjustment |
Capping Level |
| Existing Constituent |
New Constituent |
|
Phase 1:
8 Sep 2006 (Fri),
after market close |
Nil |
Applying full
Freefloat Adjustment (FAF2) |
25% |
|
Phase 2:
9 Mar 2007 (Fri),
after market close |
Applying 2/3 Freefloat Adjustment (FAF1), Where:
FAF1 = 100% - 2/3 (100% - FAF2)
Rounded up to the nearest 5% |
20% |
|
Phase 3:
7 Sep 2007 (Fri),
after market close |
Applying full
Freefloat Adjustment (FAF2) |
15% |
(b)
For Hang Seng Composite Index (HSCI) Series:
| Today's Current Index = |
Today's Current Aggregate Market Capitalisation of Constituent Stocks |
× Yesterday's Closing Index |
| ----------------------------------------------------------------------------------------- |
| Yesterday's Closing Aggregate Market Capitalisation of Constituent Stocks |
| Index Price/Earnings Ratio = |
Total Market Capitalisation of Index Constituent Stocks |
| ----------------------------------------------------------- |
| Total Earnings of Index Constituent Stocks |
| Index Dividend Yield = |
Total Dividends ofIndex Constituent Stocks |
× 100 |
| ---------------------------------------------------- |
| Total Market Capitalisation of Index Constituent Stocks |
(c)
For Total Return Index (TRI) Series:
| Today's TRI = |
Today's Price Index Market Capitalisation |
× 100 |
| ---------------------------------------------------- |
| Yesterday's Price Index Market Capitalisation - Dividend Payment |
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