MarketGrader China A-Shares Small Cap 120 Index

Base Date:

December 31, 2007

No. of Components:


Minimum Market Cap:

USD $200 million

Minimum Daily Avg. Liquidity:

USD $2,000,000

Sector Limit:

20% (24 companies)

Geographic Exposure:

Mainland China

Rebalance Frequency:


Underlying Universe:

Companies covered by that are domiciled in Mainland China and that belong to MarketGrader’s small cap universe as reconstituted annually for China (see below).


Annual Classification of China's Equity Market by Size
Every year, on the third week of March, MarketGrader classifies all companies under coverage in China's Mainland exchanges into two size segments: large cap and small cap. These become the subsets from which we select the constituents of our two China A-Shares Size indexes. MarketGrader defines the largest companies that make up 85% of the cumulative market capitalization of the Mainland China equity market it covers as large cap stocks. The remaining are categorized as small cap stocks.

All index components are selected based on their overall MarketGrader grade. Built on a scale between zero and 100, our overall grade is based on 24 fundamental indicators, or factors, which are divided into four categories, with six indicators each: Growth, Value, Profitability and Cash Flow. All of our indicators and our overall company grades are calculated daily for all companies under coverage.

Equal Weighting
All index constituents are equally weighted every time the index is rebalanced. No weight modifications or adjustments are made to the index between rebalance periods.

All index constituents must have a minimum total market cap of USD $200 million, a minimum 3-month daily traded value of USD $2 million and at least USD $50 million in aggregate trading volume in the trailing 12 months immediately before the index selection date.

No more than 20% of index constituents (24 companies) may belong to the same economic sector, based on MarketGrader’s Global Sector Classification.

Rebalance Discipline
The index is rebalanced twice a year, on the third Friday of March and September.


The MarketGrader A-Shares Small Cap 80 Index seeks to follow the most fundamentally sound companies with the best growth prospects in Mainland China that belong in China’s small cap universe as defined by MarketGrader annually. Along with the MarketGrader A-Shares Large Cap 80 Index, it seeks to give local and global investors the opportunity to gain exposure to the best companies in China, with the best growth at a reasonable price (GARP) attributes, while acting on their views on a size-specific basis. Since the index is equally weighted, it gives each company an equal opportunity to contribute to its overall performance regardless of sector, business model or affiliation with the state.

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