CSI Index Monthly Report. November 2016 Issue
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1 CSI Index Monthly Report November 2016 Issue
2 CSI Express In November, mainland stock market continued its upward momentum and was about to recover the loss since the beginning of CSI 300 Index was up by 6.05% to points. Shanghai Composite Index climbed 4.82% to points. Mega cap leads the size index group. Industrial, financials and infrastructure led the sector and thematic group. Average daily turnover of A-share market grew to CNY 615 billion. CSI Universal Bond Index dropped 0.64% to points. CSI announced the result of periodical adjustment of CSI-managed indices, including CSI series, Shanghai Stock Exchange series and several Shenzhen Stock Exchange indices on November 28, The result is available on CSI s website ( The adjustment will be effective on December 12, The previously announced adjustment of CSI Industry Classification will be effective on the same day. Index Launch in November CSI Hong Kong Connect High Dividend Yield Investment Index. The Index selects 30 Hong Kong stocks which are characterized by good liquidity, continuous dividend-paying record, high dividend yield as constituents. The Index is weighted by dividend yield. It aims to reflect the overall performance of high dividend yield eligible securities of Hong Kong Connect. The market cap of the Index is HKD 6.61 trillion. SSE 50 ETF Volatility Index. Base on SSE 50 ETF Option, SSE 50 ETF Volatility Index is to reflect investor s expectation of the ETF s 30-days volatility. CSI GTJA International China Film & Television Culture Thematic Index. The Index selects Film & Television Culture related securities from the Chinese companies listed in Shanghai, Shenzhen or Hong Kong market. Index Launch in December CSI 10-Year Treasury Note Index. This Index consists of Treasury Notes listed on both SSE and Inter-bank market, with a remaining term to final maturity between 8.5 and 10 years. This is a non-cap-weighted index. In November, 5 index products which track CSI-licensed indices were incepted in China mainland market. Qianhai Alliance launched 1 index fund tracking CSI 300 Index, which raised CNY 200 million. China Southern launched 1 enhanced index fund racking CSI 500 Index, which raised CNY 83 million. Fullgoal launched 1 enhanced index fund tracking CSI Health Care Thematic Index, which raised CNY 320 million. Penghua launched 1 index fund (LOF) tracking CSI Hong Kong Bank Investment Index, which raised CNY 252 million. CIB launched 1 index fund tracking CSI CIB Medium-High Grade Credit Bond Index, which raised CNY 200 million. In November, Direxion launched 1 leveraged ETF (CWEB) in US which aims to deliver 2X performance of CSI Overseas China Internet Index.
3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 6.32% -0.80% -5.17% 22.54% % CSI 100 3, % 7.97% 3.85% -1.08% 20.71% % CSI 200 4, % 3.54% -8.19% % 27.28% % CSI 500 6, % 2.35% % % 29.91% % CSI 800 4, % 5.11% -3.99% -7.75% 24.18% % CSI , % 2.00% -9.86% % 32.38% % CSI Dividend 4, % 6.62% 0.42% -2.86% 22.71% % SSE Composite 3, % 5.33% -5.67% -8.17% 23.07% % SSE 50 2, % 8.36% 3.56% -0.06% 21.08% % SSE 180 7, % 6.97% -1.20% -4.50% 22.10% % SSE 380 5, % 2.63% % % 29.21% % SSE MidCap 3, % 4.80% -8.38% % 25.31% % SSE SmallCap 4, % 2.31% % % 29.28% % SSE Dividend 2, % 6.56% -0.77% -3.01% 21.87% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (33.1%, 12.5%)* CSI 200 (13.2%, 11.8%) CSI 500 (15.0%, 15.6%) CSI 300 (46.3%, 24.3%) CSI 1000 (17.8%, 26.3%) CSI 800 (61.2%, 40.0%) Shanghai + Shenzhen A-Share Mkt Cap 52.9 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 (42.3%, 16.9%)** SSE MidCap (19.0%, 19.2%) SSE SmallCap (17.7%, 23.9%) SSE 180 (61.3%, 36.1%) SSE 380 (19.2%, 24.3%) Shanghai A-Share Mkt Cap 29.4 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)
4 CSI 300 Index Analysis Bil CNY Overview Daily Turnover /1 11/4 11/9 11/14 11/17 11/22 11/25 11/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 6.05% 6.32% 11.62% -0.80% -5.17% Volatility 8.77% 9.99% 12.82% 22.50% 22.43% P/E P/B EPS ROE ROA CSI % 13.18% Energy % 4.89% Materials % 2.52% Industrials % 10.57% Consumer Dis % 18.27% Consumer Sta % 16.56% Health Care % 16.54% Financials % 15.96% IT % 13.44% Telecom Serv % 13.16% Utilities % 16.94% Top 5 Weighted Stocks Close Change 6.05% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 4.97% Advanced 228 Volume Mil Lots CMBC % 3.26% Average Daily INDUSTRIAL BANK % 3.25% Turnover Bil CNY Declined VANKE-A % 8.27% Low Turnover Rate 11.85% Unchanged 8 CMB % 3.86% Sector Analysis Close (right) Constituent Performance Mkt Cap Turnover Sector Names Wgt 1M Cont Name Ticker Close 1M Cont Rate (Bil CNY) Energy % 1.03% 0.86 Top 5 Performers Materials % 6.58% CSCEC % % Industrials % 12.28% JLAD % % Consumer Dis % 5.76% JCCL % % Consumer Sta % 2.82% 6.64 CHINA UNICOM % % Health Care % 3.05% 4.36 CRRC % % Financials % 5.48% Bottom 5 Performers IT % 2.88% 8.08 SHCI % % Telecom Serv % 13.20% 5.81 LETV % % Utilities % 4.61% 5.93 LXJM % % BRGF % % Sector Performance GOERTEK % % Top 5 Contributors 1M 12M 20% CSCEC % % GREE % % 10% CRRC % % 0% PING AN OF CHIN % % VANKE-A % % -10% Bottom 5 Contributors -20% LETV % % CITIC GUOAN INF % % HTSC % % GOERTEK % % SHCI % %
5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover /1 11/4 11/9 11/14 11/17 11/22 11/25 11/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 2.07% 2.35% 10.73% % % Volatility 8.88% 12.23% 16.85% 29.85% 30.69% P/E P/B EPS ROE ROA CSI % 7.79% Energy % 0.16% Materials % 4.14% Industrials % 8.33% Consumer Dis % 9.19% Consumer Sta % 7.89% Health Care % 11.48% Financials % 10.94% IT % 7.99% Telecom Serv % 7.82% Utilities % 14.74% Top 5 Weighted Stocks Close Change 2.07% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SJEP % 11.25% Volume Mil Lots Advanced TIANQI LITHIUM % -4.98% Average Daily JINYUGROUP % 15.68% Turnover Bil CNY Declined ZTT % 7.69% Low Turnover Rate 23.77% Unchanged 20 JCET % -6.83% Sector Analysis Close (right) Constituent Performance Mkt Cap Turnover Sector Names Wgt 1M Cont Name Ticker Close 1M Cont Rate (Bil CNY) Energy % 2.17% 3.45 Top 5 Performers Materials % 6.25% XUCC % % Industrials % 4.09% QIXIANG TENGDA % % Consumer Dis % 2.85% CH ZN&GE % % Consumer Sta % 0.12% CENTURY HUATO % % Health Care % 0.27% 0.25 WANJIANG LOGIS % % Financials % 2.19% 9.77 Bottom 5 Performers IT % -0.93% SUNNER % % Telecom Serv % 1.67% 2.54 DTCI % % Utilities % 4.33% 7.97 SYTECH % % TAIJI % % Sector Performance CINDA REAL ESTA % % Top 5 Contributors 1M 12M 10% CH ZN&GE % % QIXIANG TENGDA % % 0% JINYUGROUP % % SJEP % % -10% XUCC % % Bottom 5 Contributors -20% WANFENG AUTO % % TIANQI LITHIUM % % JCET % % VICTORY PRECIS % % SUNNER % %
6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover /1 11/4 11/9 11/14 11/17 11/22 11/25 11/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.17% 2.00% 9.97% -9.86% % Volatility 9.65% 13.17% 18.23% 32.33% 33.22% P/E P/B EPS ROE ROA CSI % 6.13% Energy % 0.28% Materials % 2.78% Industrials % 7.11% Consumer Dis % 7.20% Consumer Sta % 6.71% Health Care % 8.07% Financials % 6.63% IT % 6.68% Telecom Serv % 4.15% Utilities % 9.92% Top 5 Weighted Stocks Close Change 1.17% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SUNWAY COMM % 7.27% Advanced 542 Volume Mil Lots DFD % -9.76% Average Daily TIANLI % -3.32% Turnover Bil CNY Declined JIANGTE MOTOR % 6.93% Low Turnover Rate 23.65% Unchanged 42 GANFENGLITHIUM % -8.30% Sector Analysis Close (right) Constituent Performance Mkt Cap Turnover Sector Names Wgt 1M Cont Name Ticker Close 1M Cont Rate (Bil CNY) Energy % 2.05% 2.41 Top 5 Performers Materials % 0.27% NANYANG TECH % % Industrials % 2.35% CHALLENGE % % Consumer Dis % 1.91% ZQGAME % % Consumer Sta % 2.92% 9.88 QINGHAI SPRING % % Health Care % 1.48% 8.11 BANBAO % % Financials % 3.03% Bottom 5 Performers IT % 1.41% LIONCO % % Telecom Serv % 0.74% 1.03 CHINA-KINWA % % Utilities % 1.18% 2.25 SCC % % SDGM % % Sector Performance TINCI % % Top 5 Contributors 1M 12M 10% NANYANG TECH % % CHALLENGE % % 0% QSYJ % % ZQGAME % % -10% SHCF % % Bottom 5 Contributors -20% DEREN % % TINCI % % TDII % % DFD % % CHINA-KINWA % %
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 0.9% 1.9% 1.4% 0.9% 3.7% 3.2% 3.6% 4.3% 3.9% 5.1% 6.4% 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 0.5% 1.2% 0.7% 4.8% 6.2% 3.8% 3.0% 4.7% 6.4% 3.8% 14.6% CSI Thematic Indices: Top & Bottom Performers CSI 300 Infrastructure CSI China Mainland Infrastructure CSI Infrastructure CSI Urbanization infrastructure CSI One Belt & One Road CSI Information Technology Dividend CSI Film & Television CSI Coal & Consumable Fuels Equal Weight CSI All Share Capital Markets CSI Intelligent Vehicle -0.9% -1.4% -2.6% -2.8% -2.8% 14.6% 13.9% 12.7% 10.7% 10.6%
8 SSE Thematic Indices: Top & Bottom Performers SSE 180 Infrastructure SSE Telecommunication Services Dividend SSE Infrastructure SSE Urbanization infrastructure SSE One Belt & One Road SSE Smart Home SSE Information Security SSE Electronics SSE Information Technology Dividend SSE Health Care Dividend 0.0% -0.5% -1.2% 0.4% 0.0% 16.1% 15.6% 15.2% 14.3% 12.3% CSI&SSE Style Indices CSI 300 Value SSE 180 Value CSI 800 Value SSE 180 Growth SSE LMS Cap Value SSE LMS Cap Growth CSI 300 Growth CSI 800 Growth CSI 500 Value SSE 380 Value SSE 380 Growth CSI 500 Growth 1.0% 1.4% 3.4% 3.9% 5.0% 5.7% 5.4% 7.7% 7.3% 7.0% 7.0% 6.6% CSI&SSE Fundamental Indices CSI RAFI % CSI RAFI 200 SSEF % 8.6% SSEF 500 CSI RAFI % 7.7% CSI RAFI % SSEF %
9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI RAFI 300 CSI 300 Dynamic CSI 300 High Beta CSI 300 Sector Neutral Low volatility CSI 300 Volatility Control 20% CSI 300 Sector Equal Risk Contribution CSI 300 Momentum CSI 300 Volatility Weighted CSI 300 Stability CSI 300 Equal Weight CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 DownSide Risk Control CSI 300 Minimum Variance CSI 300 Volatility Control 10% CSI 300 Low Beta 6.0% 8.9% 7.7% 7.0% 5.8% 5.7% 5.7% 5.4% 5.3% 5.0% 5.0% 4.9% 4.0% 3.9% 3.6% 3.5% 2.9% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI 500 CSI 500 Equal Weight CSI 500 Dynamic CSI 500 Equal Risk Contribution Weighted CSI 500 Volatility Weighted CSI 500 Sector Equal Risk Contribution CSI 500 Volatility Control 25% CSI 500 Sector Neutral Low volatility CSI 500 Sector Neutral Low volatility CSI 500 Low Beta CSI 500 Stability CSI 500 DownSide Risk Control CSI 500 Volatility Control 15% CSI 500 High Beta 2.1% 2.4% 2.3% 2.3% 2.1% 2.0% 2.0% 1.8% 1.8% 1.8% 1.8% 1.8% 1.3% 1.2% [*] The smart beta indices are not necessarily based on the CSI 500 universe.
10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X CSI 300 Inversed -5.7% CSI 300 Inversed 2X CSI 300 Futures 7.3% CSI 300 Futures Leveraged 2X CSI 300 Futures Inversed -6.9% CSI 300 Futures Inversed 2X CSI % CSI100 Leveraged 2X CSI100 Inversed -6.7% CSI100 Inversed 2X CSI % CSI500 Leveraged 2X 3.7% CSI500 Inversed -2.0% CSI500 Inversed 2X -4.4% SSE % SSE50 Leveraged 2X SSE50 Inversed -7.0% SSE50 Inversed 2X SSE % SSE 180 Leveraged 2X SSE 180 Inversed -6.1% SSE 180 Inversed 2X
11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Dynamic CSI 300 Dynamic CSI Equal Weight 90 CSI 300 High Beta CSI Dividend Value CSI Quality and Growth CSI 500 Volatility Control 15% CSI 500 High Beta CSI 1000 USD Hedged CSI Equity and Bond Risk Parity -0.7% 1.6% 1.3% 1.2% 0.9% 7.7% 7.4% 7.0% 6.9% 10.6% SSE Strategy Indices: Top & Bottom Performers SSE50 Fundamental Weighted SSE Telecommunication Services Sector SSE Industrials Sector Equal Weight SSE 180 Dynamic SSE 50 Equal Weight SSE 380 Momentum SSE Information Technology Sector Equal SSE SH-HK AH Premium SSE Equity and Bond Risk Parity SSE Energy Sector Equal Weight -0.4% -1.1% 1.0% 0.9% 0.7% 9.8% 9.5% 9.4% 9.0% 9.0% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Consumer Discretionary CSI HK 300 Leisure CSI HK 300 Midstream Industry CSI HK 300 Materials CSI HK 300 Mainland High Beta CSI HK 300 Information Industry -4.4% CSI HK 300 TMT -4.4% CSI HK 300 Information Technology -5.1% CSI HK 100 Information Technology -5.8% CSI Hong Kong Listed Tradable Hong Kong -6.7% 8.4% 6.9% 5.9% 5.8% 4.8%
12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK Gaming Entertainment CSI China Mainland Enterprises 400 Industrials CSI SH-SZ-HK 400 Industrials CSI Great China ex Taiwan Industrials CSI SH-SZ-HK Mainland Insurance CSI Overseas China Internet % CSI Overseas China Internet % CSI Overseas Mainland Utilities -4.7% CSI Overseas enterprises ex Taiwan -5.3% CSI Overseas Mainland Information -5.4% 14.5% 11.2% 10.7% 10.7% 9.2% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 3.39% CSI Aggregate Bond % 3.57% CSI 1 Bond % 2.36% CSI Aggregate Bond (1-3) % 2.78% CSI Aggregate Bond (3-7) % 3.49% CSI Aggregate Bond (7-10) % 2.63% CSI Aggregate Bond (10+) % 7.34% CSI Treasury Bond % 3.88% CSI Financial Bond % 2.34% CSI Corporate Bond % 4.46% CSI Short Term Note % 2.97% CSI 50 Bond % 2.15% CSI Medium Term Note % 3.18% CSI Short Term Note % 2.44% SSE Corporate Bond % 2.62% SSE Convertible Bond % -6.95%
13 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:
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