CSI Index Monthly Report. November 2017 Issue

Transcription

1 CSI Index Monthly Report November 2017 Issue

2 CSI Express In November, the mainland stock market made a 23-month high and fell. CSI 300 Index was down by 0.02% to 4006 points. CSI 500 Index was down by 4.52% to 6263 points. Shanghai Composite Index dropped 2.24% to 3317 points. Large caps outperformed small caps. Financials and Energy led the sector group. Average daily turnover of A-share market further climbed to CNY 507 billion. CSI Universal Bond Index lost 0.43% to points. Index release announcement in November CSI AH Price Select Index Series include CSI100 AH Price Select Index, CSI Banks AH Price Select Index, CSI Brokerage AH Price Select Index, CSI Fin (ex Banks) AH Price Select Index, CSI Energy AH Price Select Index, CSI Central SOEs AH Price Select Index and CSI SOEs AH Price Select Index. These Indices aim to provide outperformance against respective A-shares benchmark indices via applying AH price select investment strategy. CSI GuoSen Value Index consists of the 100 stocks with long term value, stable and sustainable ROEs that exceed the opportunity cost of capital, and high EP. CSI Dividend Growth Strategy Index aims to reflect the performance of steady cash dividend growth companies. The Index is characterized by good liquidity, moderate dividend payout ratio, continuous dividend-paying record, positive dividend growth rate and high dividend yield, weighted by dividend yield. CSI Financial Health Index selects 100 stocks which are characterized by good liquidity and healthy financial position as constituents from A-share stocks. The Index is equally weighted. CSI Financial Health Low Volatility Index selects 50 stocks which are characterized by good liquidity, healthy financial position and low volatility as constituents from A-share stocks. The Index is weighted by the inverse of volatility. CSI CITIC High Dividend Yield Strategy Index selects 80 stocks which are characterized by good liquidity, stable profitability and high expected dividend yield as constituents from A-share stocks. The Index is weighted by expected dividend yield adjusted market capitalization. In November, 3 index products which track CSI-licensed indices were incepted in China mainland market. GF launched 1 index fund (LOF) tracking CSI 10-Year CDB Bond Index, which raised CNY 221 million. E Fund launched 1 feeder to its CSI 300 Health Care ETF, which raised CNY 315 million. China Universal launched 1 index fund (LOF) tracking CSI Hong Kong Connect High Dividend Yield Select Index, which raised CNY 360 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 4, % 4.81% 13.23% 21.03% 9.99% % CSI 100 4, % 7.79% 20.97% 29.36% 10.47% % CSI 200 4, % -0.82% -0.24% 6.57% 12.20% % CSI 500 6, % -3.20% -4.89% 0.00% 14.72% % CSI 800 4, % 2.57% 7.84% 14.70% 10.31% % CSI , % -6.85% % % 16.61% % CSI Dividend 4, % 1.56% 11.19% 16.95% 9.66% % SSE Composite 3, % -1.30% 2.07% 6.88% 8.82% % SSE 50 2, % 5.48% 18.35% 25.21% 10.69% % SSE 180 8, % 3.76% 13.59% 20.06% 9.24% % SSE 380 5, % -1.98% -4.49% -0.48% 14.00% % SSE MidCap 3, % 0.88% 6.01% 11.87% 9.68% % SSE SmallCap 4, % -3.21% -4.43% -0.05% 14.62% % SSE Dividend 2, % 2.81% 10.55% 16.00% 8.85% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (37.8%, 21.9%)* CSI 200 (13.5%, 15.3%) CSI 500 (14.2%, 19.2%) CSI 300 (51.3%, 37.2%) CSI 1000 (14.5%, 18.6%) CSI 800 (65.6%, 56.4%) Shanghai + Shenzhen A-Share Mkt Cap 56.2 trillion CNY, Average Daily Turnover billion CNY [*] Index (% Mkt Cap of Shanghai+Shenzhen A-Share, % Turnover of Shanghai+Shenzhen A-Share) SSE Indices Large Cap Mid Cap Small Cap SSE 50 (44.3%, 26.1%)** SSE MidCap (19.7%, 20.9%) SSE SmallCap (16.9%, 23.5%) SSE 180 (64.0%, 47.0%) SSE 380 (17.2%, 23.4%) Shanghai A-Share Mkt Cap 32.9 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

4 CSI 300 Index Analysis Overview /1 11/6 11/9 11/14 11/17 11/22 11/27 11/30 Summary 1M 3M 6M 12M YTD Performance -0.02% 4.81% 14.69% 13.23% 21.03% Volatility 14.75% 10.05% 10.38% 10.00% 9.55% P/E P/B EPS ROE ROA CSI % 13.37% Energy % 5.05% Materials % 3.58% Industrials % 10.76% Consumer Dis % 18.37% Consumer Sta % 17.43% Health Care % 16.92% Financials % 15.93% IT % 14.79% Telecom Serv % 12.19% Utilities % 18.44% Close Change -0.02% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 8.64% Advanced 86 Volume Mil Lots KWEICHOW MOU % 2.10% Average Daily CMB % 6.97% Turnover Bil CNY Declined MIDEA GROUP % 0.35% Low Turnover Rate 10.85% Unchanged 15 INDUSTRIAL BANK % 0.29% Sector Analysis Risk-Return Analysis Top 5 Weighted Stocks Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 3.41% 3.02 Top 5 Performers Materials % 1.75% 4.53 UGC % % Industrials % -2.98% CHINA SOUTH AIR % % Consumer Dis % -3.03% IFLYTEK % % Consumer Sta % -1.40% BAOSTEEL % % Health Care % -4.33% FUTURE LAND % % Financials % 3.27% Bottom 5 Performers IT % -3.74% BUCHANG PHARM % % Telecom Serv % -2.10% SHANGHAI ELECT % % Utilities % -0.24% TIANQI LITHIUM % % SUNING COMMER % % Sector Performance SBGCL % % Top 5 Contributors 60% 50% 40% 30% 20% 10% 0% -10% Bil CNY Daily Turnover 1M 12M Close (right) PING AN OF CHIN % % CMB % % PAB % % VANKE-A % % BAOSTEEL % % Bottom 5 Contributors BOE % % SUNING COMMER % % TIANQI LITHIUM % % HIKVISION % % SHANGHAI ELECT % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover /1 11/6 11/9 11/14 11/17 11/22 11/27 11/30 Summary 1M 3M 6M 12M YTD Performance -4.52% -3.20% 7.54% -4.89% 0.00% Volatility 18.04% 14.51% 15.09% 14.70% 14.53% P/E P/B EPS ROE ROA CSI % 7.36% Energy % 0.23% Materials % 2.67% Industrials % 8.26% Consumer Dis % 8.54% Consumer Sta % 7.96% Health Care % 12.10% Financials % 10.44% IT % 7.10% Telecom Serv % 7.63% Utilities % 12.63% Close Change -4.52% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SUNWAY COMM % 6.00% Volume Mil Lots Advanced HTGD % 12.47% Average Daily GANFENGLITHIUM % % Turnover Bil CNY Declined 394 LONGI % -2.41% Low Turnover Rate 15.65% Unchanged 16 FANGDA CARBON % % Sector Analysis Close (right) Risk-Return Analysis Top 5 Weighted Stocks Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -0.16% Top 5 Performers Materials % -2.08% NHU % % Industrials % -6.92% ####### FENGHUA % % Consumer Dis % -5.55% LUXI CHEMICAL % % Consumer Sta % -5.10% TKGF % % Health Care % -0.72% ZMC % % Financials % -4.96% Bottom 5 Performers IT % -3.72% SLHC % % Telecom Serv % 5.59% ANJIE % % Utilities % -2.36% NH INTELLIGENT % % EWPT % % Sector Performance NanJi E-Commerce % % Top 5 Contributors 1M 12M 20% NHU % % LUXI CHEMICAL % % 10% HTGD % % 0% FENGHUA % % -10% SUNWAY COMM % % -20% Bottom 5 Contributors -30% SLHC % % ANJIE % % FANGDA CARBON % % EWPT % % GANFENGLITHIUM % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover /1 11/6 11/9 11/14 11/17 11/22 11/27 11/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -6.26% -6.85% -0.82% % % Volatility 16.96% 14.92% 15.93% 16.58% 16.10% P/E P/B EPS ROE ROA CSI % 5.99% Energy % -2.16% Materials % 3.95% Industrials % 7.48% Consumer Dis % 6.15% Consumer Sta % 4.28% Health Care % 8.97% Financials % 6.07% IT % 6.26% Telecom Serv % 3.94% Utilities % 9.22% Top 5 Weighted Stocks Close Change -6.26% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 12.55% Advanced 162 Volume Mil Lots GBIAC % 0.43% Average Daily TIANGUANG ZHON % -2.11% Turnover Bil CNY Declined SCSF % % Low Turnover Rate 14.79% Unchanged 32 HUATIAN TECH % 1.73% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -4.52% Top 5 Performers Materials % -3.62% WANNIANQING % % Industrials % -6.69% ####### LAO BAI GAN JIU % % Consumer Dis % -7.64% XINSTEEL % % Consumer Sta % -4.48% SANSTEEL MINGU % % Health Care % -3.43% GUANFU % % Financials % -3.65% Bottom 5 Performers IT % -4.51% DEA % % Telecom Serv % -4.16% KINGSUN SHARE % % Utilities % -9.81% ZWZX % % COSCO SHIP TEC % % Sector Performance SENIOR % % Top 5 Contributors 1M 12M 0% XINSTEEL % % WALVAX % % -10% GUANFU % % -20% LAO BAI GAN JIU % % FANGDA S.STEEL % % -30% Bottom 5 Contributors -40% DEA % % KINGSUN SHARE % % LEAD INTELLIGEN % % YNALCO % % THST % %

7 A Share Sector Performance CSI All Share CSI All Share Energy CSI All Share Materials CSI All Share Industrials CSI All Share Cons Disc CSI All Share Cons Staples CSI All Share Health Care CSI All Share Financials CSI All Share Info technology CSI All Share Telecom Svc CSI All Share Utilities -2.9% -2.5% -5.6% -5.3% -4.1% -3.7% -4.9% -3.7% -1.2% 0.2% 2.4% SSE Sector Performance SSE Composite SSE Energy SSE Materials SSE Industrials SSE Cons Disc SSE Cons Staples SSE Health Care SSE Financials SSE Info technology SSE Telecom Svc SSE Utilities -4.5% -4.4% -3.8% -2.2% -2.3% -2.6% -2.4% 2.1% 1.8% 1.5% 3.6% CSI Thematic Indices: Top & Bottom Performers CSI HK Gaming Entertainment Thematic CSI Iron & Steel Industry Stimulus CSI Pan Pearl River Industry Top CSI China Mainland Financials CSI Financials Sub-industry CSI Logistics Industry Stimulus CSI New Energy Vehicles CSI Rare Metals Industry CSI All Share Capital Markets CSI Sport Industry -9.0% -9.2% -9.5% -10.5% -10.7% 6.5% 4.9% 3.2% 3.1% 3.1%

8 SSE Thematic Indices: Top & Bottom Performers SSE Private-owned Enterprises Dividend SSE Materials Dividend SSE Pan Pearl River Industry Top SSE Cyclical Industry 50 SSE Energy Dividend SSE Modern Agriculture SSE Shanghai's Development SSE Health Industry SSE Health Care Dividend SSE Telecommunication Services Dividend -6.9% -7.0% -7.2% -8.1% -8.9% 4.9% 4.5% 4.3% 4.0% 3.7% CSI&SSE Style Indices SSE 180 Value CSI 300 Value SSE 180 Growth SSE LMS Cap Value SSE LMS Cap Growth CSI 300 Growth CSI 800 Value CSI 800 Growth CSI 500 Value SSE 380 Value SSE 380 Growth CSI 500 Growth-5.4% -3.1% -2.6% -2.2% 2.9% 2.5% 2.4% 1.9% 1.7% 1.5% 1.4% CSI&SSE Fundamental Indices CSI RAFI % SSEF 200 CSI RAFI % 1.3% SSEF 500 CSI RAFI % 0.4% CSI RAFI % SSEF %

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI RAFI 300 CSI 300 Momentum CSI 300 Stability CSI 300 DownSide Risk Control CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 Sector Neutral Low volatility CSI 300 Volatility Weighted CSI 300 Dynamic CSI 300 Low Beta CSI 300 Sector Equal Risk Contribution CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 Equal Weight CSI 300 High Beta -0.8% -0.9% -1.1% -1.1% -1.7% -2.0% -2.4% -2.5% -3.1% 0.5% 0.5% 1.7% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 DownSide Risk Control CSI 500 Low Beta CSI 500 Volatility Weighted CSI 500 Sector Equal Risk Contribution CSI 500 Stability CSI 500 Sector Neutral Low volatility CSI 500 High Beta CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Equal Weight CSI 500 Equal Risk Contribution Weighted CSI 500 Dynamic -3.0% -3.2% -3.6% -3.7% -4.0% -4.1% -4.2% -4.3% -4.3% -4.6% -4.7% -5.1% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI 300 CSI 300 Leveraged 2X CSI 300 Inversed CSI 300 Inversed 2X CSI 300 Futures CSI 300 Futures Leveraged 2X CSI 300 Futures Inversed CSI 300 Futures Inversed 2X -0.6% -0.1% -0.7% -0.3% -0.2% -0.5% CSI 100 CSI100 Leveraged 2X 1.4% 2.3% CSI100 Inversed -1.5% CSI100 Inversed 2X CSI % -4.5% CSI500 Leveraged 2X -9.5% CSI500 Inversed 4.5% CSI500 Inversed 2X 8.6% SSE % SSE50 Leveraged 2X 4.5% SSE50 Inversed -2.5% SSE50 Inversed 2X -5.5% SSE 180 SSE 180 Leveraged 2X 0.9% 1.4% SSE 180 Inversed SSE 180 Inversed 2X -2.4% -1.0%

11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Stability CSI 100 Dynamic CSI 300 Momentum CSI 300 Stability CSI Equity and Bond Synthetic Option Strategy CSI Holding-Increase & Buy-Back CSI 1000 Currency Dynamic Hedged CSI Quality and Growth CSI 1000 USD Hedged CSI 1000 Sector Neutral Low volatility -5.4% -6.3% -6.3% -6.5% -7.0% 1.7% 0.9% 0.5% 0.5% SSE Strategy Indices: Top & Bottom Performers SSE 50 Volatility Control 10% SSE 50 Volatility Control 20% SSE 50 USD Hedged SSE50 Fundamental Weighted SSE 180 Stability SSE 380 Equal Risk Contribution Weighted SSE Consumer Discretionary Sector Equal SSE Consumer Staples Sector Equal Weight SSE 380 High Beta SSE Holding-Increase & Buy-Back -5.1% -6.0% -6.1% -6.5% -6.6% 2.4% 2.4% 2.3% 2.2% 1.9% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Information Technology CSI HK 100 Health Care CSI HK 300 Information Technology CSI HK 300 Information Industry CSI HK 300 TMT CSI HK 300 Mainland Low Beta CSI HK 100 Industrials CSI SH-HK-SZ High Dividend Yield CSI HK 300 Low Volatility CSI Hong Kong Overseas High Dividend Yield -5.3% -5.6% -5.6% -5.9% -8.4% 13.2% 12.7% 11.7% 9.0% 9.0%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas enterprises ex Taiwan Health CSI Overseas Mainland Health Care CSI SH-SZ-HK 400 Information Technology CSI SH-SZ-HK 1100 Information Technology CSI SH-SZ-HK Mainland Insurance CSI SH-HK-SZ Earnings Quality -5.5% CSI Overseas Mainland Industrials -6.2% CSI SH-SZ-HK 700 Industrials -6.5% CSI SH-SZ-HK Sport Industry -6.7% CSI SH-SZ-HK 1100 Logistics -7.4% 11.9% 10.3% 6.8% 4.3% 3.8% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.03% CSI Aggregate Bond % -0.59% CSI 1 Bond % 2.97% CSI Aggregate Bond (1-3) % 1.92% CSI Aggregate Bond (3-7) % -0.09% CSI Aggregate Bond (7-10) % -3.70% CSI Aggregate Bond (10+) % -6.12% CSI Treasury Bond % -2.08% CSI Financial Bond % -0.81% CSI Corporate Bond % 0.94% CSI Short Term Note % 3.95% CSI 50 Bond % -1.73% CSI Medium Term Note % -0.10% CSI Short Term Note % 3.21% SSE Corporate Bond % -0.10% SSE Convertible Bond % 1.82%

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