Shenzhen Stock Exchange (SZSE) and Shenzhen Securities Information Co., Ltd. recently announced to issue SZSE Cyclical Sector 50 Index (Code: 399670, Abbreviation: SZSE Cyclical 50), SZSE Defensive Sector 50 Index (Code: 399671, Abbreviation: SZSE Defensive 50), CNI Cyclical Sector 100 Index (Code: 399402, Abbreviation: Cyclical 100), and CNI Defensive Sector 100 Index (Code: 399403, Abbreviation: Defensive 100) on October 28, 2013. All 4 indices take December 31, 2004 as the base date and 1000 points as the base value.
Stocks with strongest cyclical feature and those with weakest cyclical features are selected from Shenzhen Market and A-share Market respectively to compose SZSE, CNI Cyclical and Defensive indices, which are immune to the disturbance of unsteady cyclical features, and which are prominent reflections of aggressive and defensive sectors. The definitions of Cyclical and Defensive sectors are based on CNINFO Sector Classification Standard. By virtue of demonstration statistics analysis of 10-years of observation range, and taking into consideration of the interactive relationships between industrial fundamentals of specific sectors and GDP Growth rate, sector stock yield and Leading Economic Indicators, sector stock yield and market benchmark index, sectors with remarkable features are defined as Cyclical Sector or Defensive Sector. Cyclical Sector include such sectors as Energy, Materials, Comprehensive Financial, Real estate, etc., while Defensive Sector include Food and Drinks, Health Care, Telecommunication and Utilities sectors, etc..
According to statistics, from the base day to the end of September, 2013, performances of SZSE Cyclical 50 and Cyclical 100 exhibit big elasticity, with their Beta coefficient being 1.12 and 1.07 respectively; Indices and macro-economy demonstrate strong interactive relationship, and cyclical features are prominent. Nevertheless, Beta coefficient of SZSE Defensive 50 and Defensive 100 are approximately smaller than 1, manifesting more steady fluctuation; two indices realize good long-term return, making accumulative return of 401.73% and 342.87% respectively, and annualized return of 20.24% and18.54% respectively.
More specific material on the indices can be found on the website of Shenzhen Stock Exchange (www.szse.cn) and the website of CNI Index (www.cnindex.com.cn).