Hang Seng China Enterprises Gross Total Return Index Futures

(Launch Date: 5 November 2018)

Introduction

In stock investing, the return and risk profile for shareholders has two components: stock price appreciation and dividend.   The conventional stock Index futures such as the Hang Seng Index (HSI) futures and Hang Seng China Enterprises Index (HSCEI) futures are risk management tools based on index calculated from prices of constituent stocks only.    The introduction of total return index (TRI) futures aims to meet the trading and risk management needs of investors who adopt an investment strategy on a total return basis, i.e. the cash dividends of index constituent stocks are re-invested into the index stock portfolio according to their respective market capitalisation weightings. 

There are four TRI futures contracts to be listed in the Hong Kong Futures Exchange Limited (HKFE):

• Hang Seng Index (Gross Total Return Index) Futures (“HSIGTRI Futures”)

• Hang Seng Index (Net Total Return Index) Futures (“HSINTRI Futures”)

• Hang Seng China Enterprises Index (Gross Total Return Index) Futures (“HSCEIGTRI Futures”)

• Hang Seng China Enterprises Index (Net Total Return Index) Futures (“HSCEINTRI Futures”)

Gross TRI replicates the index portfolio performance that all announced dividends available on the ex-dividend day will be re-invested into the constituent stocks portfolio.  The net TRI replicates the index portfolio performance with dividend re-investment on after dividend tax basis.  In Hong Kong, all H-shares are subject to dividend withholding tax.