CSI Index Monthly Report. April 2016 Issue

Transcription

1 CSI Index Monthly Report April 2016 Issue

2 CSI Express In April, mainland stock market fluctuated mildly through out the whole month. CSI 300 Index was down by 1.91% to points. Shanghai Composite Index dropped 2.18% to points. Large cap indices led the size indices group while mid caps lagged behind. Energy, Materials and consumer staples led the sector and thematic group. Average daily turnover of A-share market stayed at CNY 579 billion. CSI Universal Bond Index decreased for the first time in the last twelve months by 0.59% to points. CSI is pleased to announce that it has been named the Best Index Provider, Onshore in AsianInvestor magazine s Asset Management Awards 2016 and the Most Innovative ETF Index provider, Asia-Pacific in exchangetradedfunds.com s 12th Annual Global ETF Awards. These Awards recognize CSI s commitment to deliver innovative index solutions in both China mainland and offshore markets. Among others, the year 2015 witnessed the debut of the groundbreaking A-Share currency hedged ETF and A/H discount/premium ETFs, of which the underlying indices are licensed by CSI. Index Launch in May CSI China Mainland Enterprises 1000 Index (China 1000) and sector indices series. The China 1000 Index consists of the constituents of CSI 800 Index and the largest 200 stocks listed in ex-mainland markets. The Index represents around 70% market cap of all the Chinese listed companies. CSI Virtual Reality Index. The Index is composed of up to 50 largest A-Share stocks of virtual reality hardware providers, software and systems providers, content producers and providers, distribution platform, and other companies benefitting from virtual reality theme. The weight cap on individual constituent is 3%. The market cap of the Index is CNY 1.4 trillion. CSI High-End Manufacturing Thematic Index. The Index is composed of 500 A-Share stocks of companies involved in aerospace&defense, automobiles&components, computer hardware, biotechnology and pharmaceuticals, etc. The weight cap on individual constituent is 10%. The market cap of the Index is CNY 8.55 trillion. CSI University & Institute-related Enterprises Index. The Index is composed of A-Share stocks related with domestic universities, research institutes and their capital operation subjects or holding enterprises. The weight cap on individual constituent is 5%. The market cap of the Index is CNY 520 billion. CSI Shanghai SOEs Index. CSI Shanghai SOEs Index is composed of up to 100 SSE listed A-Share stocks which are regulated by Shanghai SASAC. The index is weighted based upon market-cap, SASAC s share ratio, dividend payout ratio and SOE reform s progress, to reflect Shanghai SOEs price performance. The weight cap on individual constituent is 8%. The market cap of the Index is CNY 2.6 trillion. CSI Metasequoia Environmental Protection Patents 50 Index. The Index is composed of A-Share companies involved in resource conservation, pollution management, ecological restoration, clean technology, environmental governance industries and companies which dedicate to reducing pollution emissions and improving their efficiency of resource utilization. Metasequoia Investment provides patent data for the calculation of patent score. The Index selects the top 50 patent score stocks as constituents to reflect the high patent value and environment friendly enterprise s price performance. The Index is equally weighted. The market cap of the Index is CNY 1.05 trillion.

3 In April, 1 index fund product was incepted in China mainland market. SWS MU launched 1 enhanced index fund tracking CSI 500 Index, which raised CNY 547 million.

4 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 7.15% % % 39.96% % CSI 100 2, % 7.26% % % 38.00% % CSI 200 3, % 6.95% % % 47.29% % CSI 500 5, % 9.44% % % 48.73% % CSI 800 3, % 7.81% % % 41.40% % CSI , % 12.27% % % 51.25% % CSI Dividend 3, % 9.34% % % 42.58% % SSE Composite 2, % 7.33% % % 39.70% % SSE 50 2, % 8.24% % % 38.63% % SSE 180 6, % 7.79% % % 39.54% % SSE 380 5, % 8.87% % % 51.06% % SSE MidCap 3, % 7.05% % % 45.51% % SSE SmallCap 4, % 8.86% % % 50.77% % SSE Dividend 2, % 8.22% % % 41.38% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (34.5%, 7.9%)* CSI 200 (14.1%, 11.9%) CSI 500 (15.1%, 19.5%) CSI 300 (48.6%, 19.8%) CSI 1000 (19.1%, 34.0%) CSI 800 (63.7%, 39.3%) Shanghai + Shenzhen A-Share Mkt Cap 44.6 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 (45.3%, 12.7%)** SSE MidCap (18.9%, 21.1%) SSE SmallCap (18.0%, 29.9%) SSE 180 (64.2%, 33.8%) SSE 380 (19.2%, 31.9%) Shanghai A-Share Mkt Cap 24.9 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

5 CSI 300 Index Analysis Overview Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -1.91% 7.15% % % % Volatility 13.36% 24.40% 30.86% 39.88% 33.09% P/E P/B EPS ROE ROA CSI % 13.11% Energy % 4.84% Materials % 1.33% Industrials % 10.76% Consumer Dis % 17.92% Consumer Sta % 17.50% Health Care % 17.11% Financials % 16.04% IT % 12.55% Telecom Serv % 13.16% Utilities % 16.98% Top 5 Weighted Stocks Close Change -1.91% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % 0.72% Advanced 80 Volume Mil Lots CMBC % 2.09% Average Daily INDUSTRIAL BANK % 3.80% 208 Turnover Bil CNY Declined VANKE-A % 0.00% Low Turnover Rate 7.99% Unchanged 12 CMB % 10.32% Sector Analysis Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 3.67% 3.31 Top 5 Performers Materials % 0.42% 0.78 XTC % % Industrials % -5.50% SEARAINBOW % % Consumer Dis % -2.05% JZEG % % Consumer Sta % -0.77% SL PHARM % % Health Care % -1.82% SD-GOLD % % Financials % -0.93% Bottom 5 Performers IT % -2.72% GLGF % % Telecom Serv % -5.96% ALPHA GROUP % % Utilities % -3.96% YASHA % % BY-HEALTH % % Sector Performance YKPLC % % Top 5 Contributors 10% 0% -10% -20% -30% -40% -50% Bil CNY Daily Turnover Close (right) 4/1 4/7 4/12 4/15 4/20 4/25 4/28 1M 12M CMB % % INDUSTRIAL BANK % % HAITONG SECURITI % % CMBC % % CPIC % % Bottom 5 Contributors BESTV % % EASTMONEY % % CRRC % % CSICL % % CITIC SECURITIES C % %

6 CSI 500 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -2.77% 9.44% % % % Volatility 23.54% 35.62% 39.73% 48.63% 44.93% P/E P/B EPS ROE ROA CSI % 7.77% Energy % -1.78% Materials % 2.89% Industrials % 7.58% Consumer Dis % 9.66% Consumer Sta % 8.50% Health Care % 10.96% Financials % 11.87% IT % 8.61% Telecom Serv % 7.86% Utilities % 15.04% Top 5 Weighted Stocks Close Change -2.77% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily TIANQI LITHIUM % -5.62% Advanced 143 Volume Mil Lots HITEKER % 0.00% Average Daily CSF % % 331 Turnover Bil CNY Declined SUC % 0.00% Low Turnover Rate 22.11% Unchanged 26 JCET % 0.00% Sector Analysis Close (right) 4/1 4/7 4/12 4/15 4/20 4/25 4/ Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 4.89% 5.29 Top 5 Performers Materials % -2.13% SZHC % % Industrials % -3.16% RNM % % Consumer Dis % -1.66% SHRC % % Consumer Sta % -1.86% GREATTOWN % % Health Care % -3.84% TAT FOOK TECHNO % % Financials % -5.03% Bottom 5 Performers IT % -6.35% RUNTU % % Telecom Serv % 6.15% 7.16 CSF % % Utilities % -2.68% YUNNAN GERMANIU % % SINODATA % % Sector Performance SITI % % Top 5 Contributors 1M 12M 10% SZHC % % SJEP % % 0% ZTT % % -10% GREATTOWN % % -20% RNM % % -30% Bottom 5 Contributors -40% JINYUGROUP % % GDHEC % % HWHG % % GWI % % CSF % %

7 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 4/1 4/7 4/12 4/15 4/20 4/25 4/28 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -1.84% 12.27% -9.76% % % Volatility 25.78% 38.65% 43.21% 51.15% 48.57% P/E P/B EPS ROE ROA CSI % 5.79% Energy % -4.17% Materials % 2.15% Industrials % 7.16% Consumer Dis % 7.05% Consumer Sta % 5.97% Health Care % 8.40% Financials % 5.57% IT % 6.52% Telecom Serv % 4.41% Utilities % 9.94% Top 5 Weighted Stocks Close Change -1.84% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily DFD % 18.31% Advanced 353 Volume Mil Lots SW-TECH % 0.27% Average Daily GANFENGLITHIUM % 21.45% 580 Turnover Bil CNY Declined VICTORY PRECISIO % 5.43% Low Turnover Rate 28.82% Unchanged 67 SFY % 14.66% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.75% 2.66 Top 5 Performers Materials % 1.38% AKCOME % % Industrials % -2.47% VALIANT % % Consumer Dis % -2.52% EASPRING % % Consumer Sta % 3.05% 6.97 GSMG % % Health Care % -4.01% LFD % % Financials % 0.37% Bottom 5 Performers IT % -4.95% GEEYA % % Telecom Serv % -3.24% NCG % % Utilities % -4.99% XLDZ % % TGWC % % Sector Performance DER % % Top 5 Contributors 1M 12M 10% AKCOME % % DFD % % 0% GANFENGLITHIUM % % -10% VALIANT % % SFY % % -20% Bottom 5 Contributors -30% NATIONZ % % SUMAVISION % % NCG % % GEEYA % % YIFAN XINFU % %

8 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 -1.8% -0.5% -3.7% -1.7% -0.4% -2.5% -1.1% -4.3% -2.0% -3.6% 3.4% 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 -6.1% -5.8% -2.2% -2.9% -3.5% -3.6% -0.5% -0.7% 0.0% 2.0% 3.1% CSI Thematic Indices: Top & Bottom Performers CSI Gold Miners CSI Coal & Consumable Fuels Equal Weight CSI Energy Dividend CSI Rare Earth Industry CSI Energy Sub-industry CSI Security and protection CSI Animal Agriculture CSI Logistics Industry Stimulus CSI All Share Capital Markets CSI Shipbuilding Industry Stimulus -7.1% -7.2% -7.5% -7.9% -11.8% 8.1% 6.4% 4.8% 3.3% 3.3%

9 SSE Thematic Indices: Top & Bottom Performers SSE Energy Dividend SSE Select Resources Industries SSE Upstream Industry SSE Natural Resource SSE 180 Natural Resource SSE Culture & Sport Leisure SSE Select Manufacturing Industries SSE Urbanization Smart Cities SSE National Defense Industry SSE Ocean Economy -5.7% -5.7% -6.0% -6.1% -7.4% 2.7% 2.0% 1.9% 1.6% 4.6% CSI&SSE Style Indices SSE 180 Value CSI 300 Value SSE LMS Cap Value SSE 180 Growth CSI 800 Value SSE LMS Cap Growth CSI 500 Value CSI 300 Growth CSI 800 Growth CSI 500 Growth SSE 380 Value SSE 380 Growth -3.1% -2.6% -2.2% -0.5% -0.7% -1.0% -1.3% -1.4% -1.5% -1.6% -1.7% 0.0% CSI&SSE Fundamental Indices CSI RAFI % SSEF 200 CSI RAFI 200 SSEF 500 CSI RAFI % -0.5% -0.7% -0.8% CSI RAFI 400 SSEF % -2.4%

10 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Volatility Weighted CSI 300 Stability CSI 300 Volatility Control 10% CSI 300 Momentum CSI RAFI 300 CSI 300 Minimum Variance CSI 300 Volatility Control 20% CSI 300 Low Beta CSI 300 Sector Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 Equal Risk Contribution Weighted CSI 300 Equal Weight CSI 300 High Beta CSI 300 Dynamic -4.3% -3.3% -1.9% -0.2% -0.3% -0.4% -0.6% -0.6% -0.8% -0.9% -1.3% -1.7% -2.2% -2.5% -2.6% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Volatility Weighted CSI 500 Volatility Control 15% CSI 500 Sector Neutral Low volatility CSI 500 Low Beta CSI RAFI 500 CSI 500 Volatility Control 25% CSI 500 Sector Equal Risk Contribution -0.7% -0.8% -1.1% -1.2% -1.3% -1.4% -1.5% CSI 500 Equal Weight CSI 500 Equal Risk Contribution Weighted CSI 500 Stability CSI 500 High Beta -2.2% -2.2% -2.4% -2.7% CSI 500 Dynamic -3.2% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

11 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X -4.3% CSI 300 Inversed 1.9% CSI 300 Inversed 2X 3.3% CSI 300 Futures CSI 300 Futures Leveraged 2X -1.5% -0.6% CSI 300 Futures Inversed CSI 300 Futures Inversed 2X 0.4% 0.5% CSI % CSI100 Leveraged 2X -3.1% CSI100 Inversed CSI100 Inversed 2X 1.4% 2.3% CSI % CSI500 Leveraged 2X -6.2% CSI500 Inversed 2.5% CSI500 Inversed 2X 4.2% SSE 50 SSE50 Leveraged 2X -2.4% -1.0% SSE50 Inversed SSE50 Inversed 2X 1.0% 1.6% SSE % SSE 180 Leveraged 2X -4.0% SSE 180 Inversed 1.8% SSE 180 Inversed 2X 3.1%

12 CSI Strategy Indices: Top & Bottom Performers CSI 100 Stability CSI Holding-Increase & Buy-Back CSI Dividend Volatility Control 10% CSI 300 Volatility Weighted CSI 300 Stability CSI 300 High Beta CSI Private Placement CSI 100 Dynamic CSI 200 Dynamic CSI 300 Dynamic -3.3% -3.5% -3.7% -4.2% -4.3% -0.2% -0.2% -0.3% 0.3% 0.3% SSE Strategy Indices: Top & Bottom Performers SSE Energy Sector Equal Weight SSE 180 Stability SSE Dividend Volatility Control 10% SSE Dividend Volatility Control 20% SSE 180 Momentum SSE Telecommunication Services Sector -3.9% SSE 380 Momentum -3.9% SSE Information Technology Sector Equal -4.4% SSE 180 Dynamic -4.9% SSE Industrials Sector Equal Weight -5.4% -0.1% -0.1% 0.1% 0.0% 4.2% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Energy CSI HK 100 Energy CSI HK 300 Nature Resource CSI HK 300 Upstream Industry CSI HK 100 Consumer Staples CSI HK 300 Midstream Industry CSI HK 300 Mainland High Beta CSI HK 300 Health Care CSI HK 300 Utilities CSI HK 100 Consumer Discretionary -2.7% -3.4% -3.7% -3.9% -4.7% 7.6% 7.5% 7.4% 7.3% 6.6%

13 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas enterprises ex Taiwan Energy CSI Overseas Mainland Energy CSI Overseas enterprises ex Taiwan CSI Overseas Mainland Consumer Staples CSI Overseas China Consumer Staples CSI Great China ex Taiwan Industrials -4.8% CSI SH-SZ-HK 400 Industrials -4.9% CSI China Mainland Enterprises 400 Industrials -5.0% CSI SH-SZ-HK 700 Utilities -7.2% CSI SH-SZ-HK Gaming Entertainment -8.0% 7.9% 7.9% 7.1% 7.1% 6.5% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.57% CSI Aggregate Bond % 0.50% CSI 1 Bond % 0.74% CSI Aggregate Bond (1-3) % 0.56% CSI Aggregate Bond (3-7) % 0.28% CSI Aggregate Bond (7-10) % -0.63% CSI Aggregate Bond (10+) % 2.67% CSI Treasury Bond % 1.50% CSI Financial Bond % -0.36% CSI Corporate Bond % 0.40% CSI Central Bank Note % 0.72% CSI Short Term Note % 0.99% CSI 50 Bond % -0.01% CSI Medium Term Note % 0.22% CSI Short Term Note % 0.76% SSE Corporate Bond % 0.82% SSE Convertible Bond % %

14 Disclaimer The data and information contained in the Report are obtained from sources China Securities Index Co., Ltd. ( CSI ) believes to be reliable, but the accuracy and completeness of such data and information are not warranted. Neither the Report nor any data or information contained therein shall constitute any recommendation or suggestion in relation to any securities, financial products or other investment vehicles or investment strategies, and you should not rely on the Report or any data or information contained therein to make any investment decisions. CSI accepts no liability (whether in tort or contract or otherwise) for any loss or damage suffered by any person arising from any inaccuracies or omissions or for any direct or indirect use of the Report or any data or information contained therein. Contacts Sales & Marketing Department China Securities Index Co., Ltd. Tel: Fax: Address: 13F, Bldg 6, Lujiazui Century Financial Plaza, 308 Jinkang Road Pudong, Shanghai PR China csindex@sse.com.cn Website: