FTSE CHINA A50 INDEX Data as at: 31 January 2018

Transcription

1 FTSE MONTHLY REPORT - JANUARY 2018 FTSE CHINA A50 INDEX Data as at: 31 January 2018 The is the benchmark for investors to access the China domestic market through A Shares - securities of companies incorporated in mainland China and traded by Chinese and institutional investors under the Qualified Foreign Institutional Investor, Renminbi Qualified Foreign Institutional Investor (QFII & RQFII) regulation and Stock Connect Programmes. It is a real-time, tradable index comprising the largest 50 A Share companies by full market capitalisation of the securities listed on the Shanghai and Shenzhen stock exchanges. The is a free-float adjusted, liquidity-screened index. It is reviewed quarterly in March, June, September, and December to ensure the Index remains representative of the underlying China market. The is the headline index of FTSE China Index Series, which is designed to represent the performance of the mainland Chinese market that is available to A share investors, but also Chinese companies that are listed overseas. The FTSE China A Index Series dissects the Chinese A Share market into different size segments the A50 for the largest 50 blue chip companies, China A Large Cap, China A Mid Cap, and China A Small Cap Index. The FTSE China Index Series also contains the flagship FTSE China 50 Index that represents the largest Red Chips, P Chips and H Shares listed on the Hong Kong Stock Exchange. FTSE CHINA A50 INDEX COMMENTARY (CNY Total Return) FTSE CHINA A50 INDEX % 1-Month Relative Performance against 6.94 The finished the month in positive territory in January up 9.66 per cent or index points, outperforming the FTSE FTSE China A Large Cap Free Index 2.44 China A All Cap Free Index by 6.94 per cent. It is also the best performing FTSE China A Mid Cap Free Index FTSE China A Small Cap Free Index segment when compared to other segments of the China A Share market, followed by the FTSE China A Large Cap Free Index with a 10.0 performance of 5.16 per cent. Compared against the FTSE China A Free Index, the 1-Month Relative Performance against relative performance in January was a FTSE China A Free Index positive 5.52 per cent. Financials is 5.52 the best performing industry, up per cent, followed by the FTSE China A Free Index - Basic Materials FTSE China A Free Index- Consumer Goods FTSE China A Free Index - Consumer Services telecommunications companies, up 8.27 per cent. Technology and health care are the worst performing industries in January, down 6.06 per FTSE China A Free Index - Financials 6.54 cent and down 0.36 per cent, respectively. FTSE China A Free Index - Health Care FTSE China A Free Index - Industrials China was also the best performing Asian market this month with the FTSE China A Free Index - Oil & Gas 0.82 Hong Kong listings of the FTSE China FTSE China A Free Index - Technology Index seeing a rise of per cent in January. The second best FTSE China A Free Index-Telecommunications 4.13 performing Asian market was Vietnam, FTSE China A Free Index - Utilities with the FTSE Vietnam Index up per cent. Philippines was the worst performer, with the FTSE Philippines Index falling 3.68 per cent. VENDOR CODES FTSE XIN9 BLOOMBERG TXIN9IC REUTERS.TRIXIN9 FEATURES Objective The index has been designed for the creation of structured products, index tracking funds, ETFs and derivatives. It represents the performance of the mainland Chinese market that is available to A share investors Universe Provides coverage of the largest 50 stocks listed on both the Shanghai and Shenzhen stock exchanges Investability Stocks are free-floated weighted to ensure that only the investable opportunity set is included within the index Liquidity Stocks are liquidity screened to ensure that the index is tradable Global Sector Classification The index is calculated in accordance with the Industry Classification Benchmark (ICB), the global standard for industry sector analysis Availability The index is now distributed on an intrasecond streaming basis, including total return index (TRI) values, providing investors with the fastest and most up-todate read of the China A Share market to respond more rapidly to market events INFORMATION Index Universe Index Launch 13 December 2003 Base Date 21 July 2003 Base Value 5000 Investability Screens Free float adjusted and liquidity screened Index Calculation Real-time and end-of-day indices available Real-time calculated on intra-second streaming basis End-of-Day Distribution Index available at 20:00 local time (12:00 hours London time GMT or 13:00 hours BST) via FTP and Currency CNY (real-time), USD and HKD (end-of-day) Review Dates Quarterly in March, June, September and December Index Rules Source: FTSE Russell 1 of 6

2 Data as at: 31 January 2018 Index Overview The is a real-time tradable index comprising the largest 50 'A' Share companies listed on the Shanghai Stock Exchange and Shenzhen Stock Exchange. The index offers the optimal balance between representativeness and tradability for China's A Share market. It can be used as a basis for on-exchange and OTC derivative products, mutual funds and ETFs. Five-Year Performance (CNY Total Return) Index Rebased (31 January 2013=100) Performance Highlights The ended the month in positive territory in January up 9.66 per cent, outperforming the FTSE China A All Cap Free Index by 6.94 per cent. Year to date the has a volatility of per cent, higher than 2017 s volatility of per cent. Historical Performance Table (CNY Total Return) Index Name 1M 3M Cumulative Performance 6M YTD 1Y 3Y 5Y 3Y (%pa) 5Y (%pa) Annualised Performance Div Yield Performance to the and Selected FTSE Asia Pacific Country Indices in January (CNY Total Return) Rank Index Name Number of Cons Net Market Cap (CNYbn) 1M Perf 1 FTSE China 50 Index FTSE Hong Kong Index 96 3, FTSE Vietnam Index FTSE Japan Index , , FTSE New Zealand Index FTSE SET Large Cap Index 30 1, FTSE Korea Index 128 5, FTSE Bursa Malaysia KLCI FTSE Indonesia Index FTSE TWSE Taiwan 50 Index 50 3, FTSE ASFA Australia 200 Index 199 7, FTSE Pakistan Index FTSE India Index 137 3, Straits Times Index (STI) 30 1, FTSE Philippines Index Rank Index Name Number of Cons Net Market Cap (CNYbn) 1M Perf Historical Review Turnover Before Review After Review Review Month Number of Adds Number of Dels Number of Cons Net Market Cap (CNYm) Number of Cons Net Market Cap (CNYm) 2-Way Turnover March ,714, ,780, June ,010, ,138, September ,489, ,616, December ,999, ,216, Note: The majority of index changes occurs at the index reviews in March, June, September and December. Review changes to the index may include constituent additions/deletions, shares in issue and free float changes, and changes due to corporate events. Source: FTSE Russell 2 of 6

3 Data as at: 31 January 2018 Five-Year Historical Industry Breakdown Industry Breakdown 8 (9.80%) 1 (1.68%) (1.78%) 1 (0.91%) 1 (1.78%) (1.37%) (1.08%) 8 (18.52%) Basic Materials Consumer Goods Consumer Services Financials Health Care Industrials Oil & Gas Technology Telecommunications Utilities 26 (63.08%) Key: 26 Number of Constituents (63.08%) Index Weight Historical Volatility Table (CNY Total Return) Index Name YTD * 1Y * 3Y ** 5Y *** 2014 * 2015 * 2016 * 2017 * Historical Rolling Volatility (CNY Total Return) Volatility Index volatility is calculated on a rolling 180 days basis. Historical Tracking Error (CNY Total Return) Index Name YTD * 1Y * 3Y ** 5Y *** 2014 * 2015 * 2016 * 2017 * Note: is used as the benchmark for the calculation of the tracking error Historical Correlation Against (CNY Total Return) Index Name YTD * 1Y * 3Y ** 5Y *** 2014 * 2015 * 2016 * 2017 * Note: is used as the benchmark for the calculation of the correlation Source: FTSE Russell 3 of 6

4 Data as at: 31 January 2018 Historical Sharpe Ratio (CNY Total Return) Index Name YTD* 1Y* 3Y** 5Y*** 2014* 2015* 2016* 2017* Note: China 3-Month interbank offered rate (CHIBOR) is used as the risk free rate. Historical Information Ratio (CNY Total Return) Index Name YTD* 1Y* 3Y** 5Y*** 2014* 2015* 2016* 2017* Note: is used as the benchmark for the calculation of the information ratio Top 10 Constituents Rank Local Code Constituent Name ICB Subsector Net Market Cap (CNYm) Index Weight 1M Perf Ping An Insurance (A) Life Insurance 691, China Merchants Bank (A) Banks 399, Kweichow Moutai (A) Distillers & Vintners 337, Industrial Bank (A) Banks 258, China Vanke (A) Real Estate Holding & Development 242, Midea Group (A) Durable Household Products 230, China Minsheng Banking (A) Banks 208, Shanghai Pudong Development Bank (A) Banks 189, Inner Mongolia Yili Industrial(A) Food Products 169, Citic Securities (A) Investment Services 165, Totals 2,894, Top 5 and Bottom 5 Performers (CNY Total Return) TOP BOTTOM Local Code Constituent Name ICB Subsector Net Market Cap (CNYm) Index Weight 1M Perf China Merchants Shekou Industrial Zone Holdings Real Estate Holding & Development 52, China Construction Bank (A) Banks 85, Poly Real Estate Group (A) Real Estate Holding & Development 117, China Vanke (A) Real Estate Holding & Development 242, Industrial and Commercial Bank of China (A) Banks 161, Guangzhou Automobile Group (A) Automobiles 12, BYD (A) Automobiles 48, China Pacific Insurance (Group) (A) Life Insurance 99, CRRC (A) Commercial Vehicles & Trucks 84, New China Life Insurance (A) Life Insurance 39, Portfolio Characteristics Number of Constituents Full Market Cap (CNYm) % Net Market Cap (CNYm) Constituent Sizes (Net Market Cap CNYm) Average Largest Smallest Median 50 1,917 18,810,348 49,268, ,847,209 17,602, ,944 9, , ,319 12, ,810 1,968 Source: FTSE Russell 4 of 6

5 Data as at: 31 January 2018 Constituents (CNY Total Return) Rank Local Code Constituent Name ICB Subsector Net Market Cap (CNYm) Index Weight 1M Perf Ping An Insurance (A) Life Insurance 691, China Merchants Bank (A) Banks 399, Kweichow Moutai (A) Distillers & Vintners 337, Industrial Bank (A) Banks 258, China Vanke (A) Real Estate Holding & Development 242, Midea Group (A) Durable Household Products 230, China Minsheng Banking (A) Banks 208, Shanghai Pudong Development Bank (A) Banks 189, Inner Mongolia Yili Industrial(A) Food Products 169, Citic Securities (A) Investment Services 165, Industrial and Commercial Bank of China (A) Banks 161, Agricultural Bank of China (A) Banks 157, Wuliangye Yibin (A) Distillers & Vintners 145, Bank of Communications (A) Banks 135, BOE Technology Group (A) Electrical Components & Equipment 125, China State Construction Engineering (A) Heavy Construction 121, Poly Real Estate Group (A) Real Estate Holding & Development 117, Hangzhou Hikvision Digital Technology (A) Electrical Components & Equipment 110, Ping An Bank (A) Banks 101, China Pacific Insurance (Group) (A) Life Insurance 99, Jiangsu Hengrui Medicine (A) Pharmaceuticals 98, Bank of Beijing (A) Banks 97, Bank of China (A) Banks 95, China Construction Bank (A) Banks 85, CRRC (A) Commercial Vehicles & Trucks 84, Haitong Securities (A) Investment Services 82, SAIC Motor (A) Automobiles 81, Focus Media Information Technology (A) Computer Hardware 80, China Petroleum & Chemical (A) Integrated Oil & Gas 67, Guotai Junan Securities (A) Investment Services 66, China Everbright Bank (A) Banks 65, China Yangtze Power (A) Alternative Electricity 62, Jiangsu Yanghe Brewery Joint-Stock (A) Distillers & Vintners 57, China United Network Communications (A) Mobile Telecommunications 53, China Merchants Shekou Industrial Zone Holdings (A Real Estate Holding & Development 52, China Shenhua Energy (A) Coal 52, Baoshan Iron & Steel (A) Iron & Steel 52, Huatai Securities (A) Investment Services 51, BYD (A) Automobiles 48, GF Securities (A) Investment Services 47, China Railway Construction (A) Heavy Construction 44, China Life Insurance (A) Life Insurance 44, China Railway Group (A) Heavy Construction 43, New China Life Insurance (A) Life Insurance 39, PetroChina (A) Integrated Oil & Gas 36, Shanghai International Port (A) Transportation Services 21, China Communications Construction (A) Heavy Construction 20, China Citic Bank (A) Banks 19, Guangzhou Automobile Group (A) Automobiles 12, Bank of Shanghai (A) Banks 12, Source: FTSE Russell 5 of 6

6 Data as at: 31 January 2018 Quarterly Review Process (Based on the Upcoming March Review) Review Data Cutoff Date [ Close ] FEBRUARY 2018 S M Tu W Th F S Companies Listed on Shanghai and Shenzhen Stock Exchanges Size Size Requirement Companies must be constituents of the, which includes the largest companies ranked by full market cap comprising 98% of all companies listed on Shanghai & Shenzhen Stock Exchanges for inclusion Free Float Free Float Requirement: Companies with a free float of 5% or below are not eligible for inclusion, unless they exceeds 10 times the China region inclusion percentage level of FTSE China Small Cap Inclusion (no Quota) Index by investable market capitalisation. Size Free Float Liquidity Eligible Companies Liquidity (March And September) Median Liquidity Requirement New Index Entrant Must trade 0.05% of its free-float adjusted shares in issue based on its median daily trade per month in 10 out of 12 months Existing Constituent Must trade 0.04% of its free-float adjusted shares in issue based on its median daily trade per month in 8 out of 12 months Review Date [ Open ] Constituent Selection The 50 Constituents are Selected with the Following Order: 1. Companies Ranked 40th or Above 2. Existing A50 Constituents Ranked Between 41st and 60th 3. Non-A50 Constituents Ranked Between 41st and 60th MARCH 2018 S M Tu W Th F S Implementation Ran Company A Share B Share H Share Full Existing New k Mkt Cap Mkt Cap Mkt Cap Mkt Cap Cons Cons 1 C ,100 Y Y 2 C02 1, ,000 Y Y 3 C Y 40 C Y Y 41 C C Y Y 60 C Y Y 61 C Y - FTSE CHINA A50 INDEX Companies Ranked in Descending Order of Full Market Cap Including All Share Classes Reserve List Next 5 Highest Ranking Companies that are not Constituents of the FTSE China A50 Index FTSE International Limited FTSE is a trademark of the London Stock Exchange Group companies and is used by FTSE International Limited ( FTSE ) under licence. The FTSE China A indices (the FTSE indices ) are compiled by FTSE International Limited. All know-how, copyright and database rights in and to the FTSE indices vest in FTSE and/or its licensors. This document is provided for information purposes only. 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FTSE is a trademark of the London Stock Exchange Group companies and is used by FTSE International Limited ( FTSE ) under licence. FTSE and its licensors do not accept any liability to any person for any loss or damage arising out of any error or omission in ICB. Data definitions available from ftserussell.com For further information visit ftserussell.com, info@ftserussell.com or call your local FTSE Russell offices: Sydney +61 (0) Beijing Dubai Hong Kong London +44 (0) Milan New York Paris +33 (0) Rio de Janeiro San Francisco Seattle Shanghai Tokyo +81 (3) Toronto Source: FTSE Russell 6 of 6