Direct Answer
The SZSE 100 is a rule-based measurement of Shenzhen large-cap equity benchmark, maintained by Shanghai/Shenzhen Stock Exchange. Like every index it owns nothing: it is a number produced by applying a published weighting formula to a selected list of companies, revised on a schedule the provider sets.
What this index covers
The SZSE 100 covers Shenzhen large-cap equity benchmark, within the China market. Shanghai/Shenzhen Stock Exchange defines which securities are eligible, how they are selected from that pool, and how much each one contributes to the published number.
The name states a target of 100 companies. A target is not a guarantee of the exact count on any given day: corporate actions, dual share classes and pending additions all move the real number around it.
How constituents are weighted
Paasche weighted and chain linked in real time, with free float shares as the weights. Free float excludes restricted shares and holdings above 5% by state shareholders, strategic investors, and company founders, families or senior executives.
The weighting method is the single biggest driver of how an index behaves. Two indexes covering the same market can diverge for years purely because they weight differently, which is why comparing index levels without knowing the method tells you very little.
What qualifies for inclusion
The universe is Shenzhen A shares that are not ST or *ST, with no major violations or financial reporting problems in the latest year, no abnormal operations or major losses, and no abnormal price swings in the review period. The bottom 10% by six month average A share trading value are removed and the top 100 by six month average total market capitalisation are selected, with industry representativeness and earnings record as tie breakers.
Eligibility rules are the part of an index most readers never look at and the part that decides what it can possibly measure. A screen that excludes a whole sector, or admits only one listing venue, shapes the result far more than any day of trading does.
How long a listing must exist first
Stocks must have been listed for more than six months, except stocks ranked in the top 1% of the Shenzhen market by A share total market capitalisation.
A seasoning rule is why a large new listing does not appear in an index the week it starts trading. It is a deliberate lag, and it means an index can under-represent a fast-growing part of the market for months at a time.
When the membership is revised
Reviewed semi-annually with data cut off dates of April 30 and October 31, effective the next trading day after the second Friday of June and December, usually announced two weeks ahead. No more than 10% of constituents change. Buffer zone: new stocks ranked within 70% of the sample count enter, and existing ones within 130% are retained.
Reconstitution is the one date an index changes shape by design rather than by price. Funds tracking it have to trade toward the new membership, which is why the schedule matters to anyone holding the tracker rather than only to the provider.
The rule that surprises people
A new listing whose average A share market capitalisation ranks in the top 10 of the Shenzhen market in its first 5 trading days joins after 15 trading days, replacing the lowest ranked constituent, without waiting for the periodic review.
References
- Shanghai/Shenzhen Stock Exchange: Shenzhen Securities Information Co., Shenzhen 100 Index Methodology (Chinese edition), as published 2023. Every rule described on this page is taken from this document.
Current SZSE 100 constituents
Shanghai/Shenzhen Stock Exchange publishes and licenses the SZSE 100 constituent list. Swoopr does not republish it here. The provider's own page is the authoritative source for current membership and weights.
Related reading
- All stock market indexes: how indexes are built, weighted and revised.
- Emerging Markets indexes: others covering the same region.
- Index concentration: measuring how much of an index sits in its largest holdings.
- Index rebalancing and inclusion effects: what happens to a stock when index membership changes.
Frequently Asked Questions
Who maintains the SZSE 100?
Shanghai/Shenzhen Stock Exchange maintains the SZSE 100 and publishes the methodology document that defines its eligibility and weighting rules.
What does the SZSE 100 measure?
It measures Shenzhen large-cap equity benchmark. The index is a calculated number applying a weighting formula to a selected list of companies, and it holds nothing itself.
Where can I see the current SZSE 100 constituents?
Shanghai/Shenzhen Stock Exchange publishes the current constituent list. Swoopr does not republish it, because index providers license constituent data and Swoopr holds no such licence.