SSE Total Return Index Outpaces Benchmark by 630 Points Since 2019 Launch
The SSE Total Return Index, launched in July 2019, peaked at 4,873.52 points on May 13, 2026, while the SSE Composite Index stood at 4,242.57 the same day, a 630-point gap. Averaged over six years, the difference is 105 points a year, equivalent to roughly 2.6% to 3.5% annualized. Annual dividends on the Shanghai market rose from just over RMB 1 trillion to nearly RMB 2 trillion over six financial years.
The SSE Total Return Index (000888) was launched in July 2019. By 2026 it had been running for seven years. Its main difference from the SSE Composite Index lies in whether dividends are included: the SSE Composite Index, as a price index, adjusts for dividend ex-dates, while the SSE Total Return Index adds dividends back.
Over the seven years since its July 2019 launch, the SSE Total Return Index reached its highest level on May 13, 2026, at 4,873.52 points; on the same day the SSE Composite Index stood at 4,242.57 points, a gap of 630 points. That difference stems from the different treatment of dividends. Calculated over six years, the 630-point excess of the SSE Total Return Index over the SSE Composite Index averages 105 points a year. Measured against 3,000 points, 105 points a year equates to an annualized level of 3.5%; measured against 4,000 points, it equates to 2.6%. On this basis, the annualized level is 2.6% to 3.5%.
The gap between the two index levels began to widen roughly one year after the SSE Total Return Index was launched. The annual report season and the period that follows are the peak period for implementing annual dividends. After the launch of the SSE Total Return Index, the gap between the two indices widened from 2% in the initial period to 8% in the middle period, and reached 14% by 2026. Over six financial years, total annual dividends on the Shanghai market rose year by year from just over RMB 1 trillion to close to RMB 2 trillion. The increase in dividend amounts is also related to the rise in the number of listed companies.
The average earnings per share of Shanghai-listed companies rose from a few cents per share in the 2000s to two or three tenths of a yuan in the 2010s, reached six or seven tenths at the peak of the real estate cycle, and stood at four or five tenths in the 2020s. Average earnings per share of Shanghai-listed companies have risen tenfold over the past 20 years. When the Shanghai Composite Index first broke through 3,000 points in 2007, the price-earnings ratio was 44.4 times; when it returned to 3,000 points in 2009, the ratio fell to 29.8 times; after 2015, with the index still at 3,000 points, the ratio fell to 13 times; in 2026, with the index at around 3,700 to 3,800 points, the ratio was about 16 times. As earnings per share have risen, the floor of the Shanghai Composite Index has moved higher, and the slope of that rise has been broadly in step with the trend line for earnings per share.