CSI Index Monthly Report. April 2018 Issue

Transcription

1 CSI Index Monthly Report April 2018 Issue

2 CSI Express In April, the mainland stock market (CSI All Share Index) went southeast in general. CSI 300 Index was down by 3.63% to 3757 points. CSI 500 Index was down by 4.15% to 5861 points. Shanghai Composite Index dropped 2.73% to 3082 points. Large caps outperformed small caps. Health Care and Consumer Staples led the sector group. Average daily turnover of A-share market retreated slightly to CNY billion. CSI Universal Bond Index gained 1.17% to points. Index release announcement CSI HK Index Series reflect the long-term performance based on the times daily return of CSI HK 50 Index. CSI Global Electronic Games Index consists of electronic games related securities traded on global exchanges, weighted by free float market capitalization with layered cap. 7 index product which track CSI-licensed indices were incepted in China mainland market. Pingan-UOB launched 1 feeder fund to its CSI 300 ETF, which raised CNY 629 million. Galaxy AMC lauched 1 index fund (LOF) tracking CSI SH-HK-SZ High Dividend Yield Index, which raised CNY 206 million. ICBCCS transformed 1 structured index fund to 1 index fund (LOF) tracking CSI Beijing-Tianjin-Hebei's Coordinated Development Index with AUM of around CNY 50 million. GF launched 1 ETF tracking CSI Beijing-Tianjin-Hebei's Coordinated Development Index, which raised CNY 288 million. It also launched 1 feeder fund to the ETF, which raised CNY 25 million. Hwabao WP launched 1 enhanced index fund tracking CSI 500 Index, which raised CNY 55 million. TruValue launched 1 index fund tracking CSI Dividend Low Volatility Index, which raised CNY 10 million. 1 index product which tracks CSI-licensed indices was listed in ex-china mainland market. CICC launched 1 ETF tracking CSI Overseas China Internet Index on HKEX.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % % 9.22% -6.80% 13.56% % CSI 100 3, % % 15.88% -6.66% 14.75% % CSI 200 4, % -7.61% -2.59% -7.08% 15.09% % CSI 500 5, % -5.31% -5.65% -6.24% 17.74% % CSI 800 4, % % 4.89% -6.65% 13.49% % CSI , % -4.03% % -7.13% 18.56% % CSI Dividend 4, % % 3.21% -6.52% 12.34% % SSE Composite 3, % % -2.30% -6.80% 11.95% % SSE 50 2, % % 13.06% -7.23% 15.06% % SSE 180 8, % % 8.56% -6.61% 13.06% % SSE 380 5, % -5.52% -5.96% -6.19% 17.47% % SSE MidCap 3, % -9.35% 1.40% -5.55% 12.67% % SSE SmallCap 4, % -5.50% -6.30% -6.56% 17.98% % SSE Dividend 2, % % 3.33% -6.33% 11.82% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (37.9%, 15.0%)* CSI 200 (14.0%, 13.2%) CSI 500 (14.2%, 18.5%) CSI 300 (51.9%, 28.2%) CSI 1000 (14.9%, 23.7%) CSI 800 (66.0%, 46.7%) Shanghai + Shenzhen A-Share Mkt Cap 54.0 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 (44.8%, 20.1%)** SSE MidCap (19.6%, 20.4%) SSE SmallCap (16.3%, 25.7%) SSE 180 (64.4%, 40.4%) SSE 380 (17.1%, 25.8%) Shanghai A-Share Mkt Cap 31.7 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 Summary 1M 3M 6M 12M YTD Performance -3.63% % -6.24% 9.22% -6.80% Volatility 17.12% 19.89% 16.78% 13.54% 18.11% P/E P/B EPS ROE ROA CSI % 13.10% Energy % 4.86% Materials % 3.38% Industrials % 10.73% Consumer Dis % 19.05% Consumer Sta % 18.37% Health Care % 16.96% Financials % 15.90% IT % 15.51% Telecom Serv % 12.19% Utilities % 11.56% Close Change -3.63% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % -6.77% Advanced 72 Volume Mil Lots KWEICHOW MOUTA % -3.09% Average Daily CMB % 0.83% 216 Turnover Bil CNY Declined MIDEA GROUP % -5.23% Low Turnover Rate 6.05% Unchanged 12 GREE % -6.01% 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 % -0.97% Top 5 Performers Materials % -3.44% ZHIFEI-BIOL % % Industrials % -2.17% GYBYS % % Consumer Dis % -5.93% AIER EYE HOSPITAL % % Consumer Sta % -2.28% PIEN TZE HUANG % % Health Care % -0.20% SANY % % Financials % -3.15% Bottom 5 Performers IT % -9.65% WTECL % % Telecom Serv % -3.35% ZHONGDA CO % % Utilities % -3.28% SANQI HUYU % % GXHT % % Sector Performance ZTT % % Top 5 Contributors 50% 40% 30% 20% 10% 0% -10% Bil CNY Daily Turnover Close (right) 4/2 4/9 4/12 4/17 4/20 4/25 1M 12M BAOSTEEL % % SINOPEC CORP % % SANY % % ACC % % AIER EYE HOSPITAL % % Bottom 5 Contributors PING AN OF CHINA % % VANKE-A % % BOE % % GREE % % YILI % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 4/2 4/9 4/12 4/17 4/20 4/25 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -4.15% -5.31% % -5.65% -6.24% Volatility 18.08% 25.07% 20.22% 17.70% 22.20% P/E P/B EPS ROE ROA CSI % 7.92% Energy % 0.64% Materials % 2.48% Industrials % 9.19% Consumer Dis % 8.26% Consumer Sta % 7.03% Health Care % 12.13% Financials % 12.52% IT % 8.02% Telecom Serv % 5.37% Utilities % 13.33% Top 5 Weighted Stocks Close Change -4.15% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily KELUN PHARMA % 4.09% 102 Volume Mil Lots Advanced FANGDA CARBON % -2.38% Average Daily CCHN % 9.87% 375 Turnover Bil CNY Declined NAVINFO % 2.67% Low Turnover Rate 10.99% Unchanged 23 CJS % -9.91% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -2.49% Top 5 Performers Materials % -5.11% CHINASOFT % % Industrials % -5.15% NETWORK HO % % Consumer Dis % -4.98% LANXUM % % Consumer Sta % 1.11% 2.05 SUPOR % % Health Care % -0.84% SHUNXIN AGRICUL % % Financials % -5.44% Bottom 5 Performers IT % -2.71% J&R FIRE PROTECT % % Telecom Serv % -5.66% FACS % % Utilities % -6.14% SYTECH % % HEXING ELECTRICA % % Sector Performance HYPC % % Top 5 Contributors 1M 12M 20% 2345 NETWORK HO % % CHINASOFT % % 10% CCHN % % 0% SHUNXIN AGRICUL % % -10% LANXUM % % -20% Bottom 5 Contributors -30% HYPC % % YUYUE MEDICAL % % JINYU % % SYTECH % % J&R FIRE PROTECT % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 4/2 4/9 4/12 4/17 4/20 4/25 Summary 1M 3M 6M 12M YTD Performance -4.14% -4.03% % % -7.13% Volatility 18.93% 25.76% 20.60% 18.53% 22.86% P/E P/B EPS ROE ROA CSI % 5.15% Energy % -7.52% Materials % 2.59% Industrials % 6.48% Consumer Dis % 6.18% Consumer Sta % 4.72% Health Care % 8.57% Financials % 5.79% IT % 6.23% Telecom Serv % 4.34% Utilities % 8.93% Close Change -4.14% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 1.53% Advanced 228 Volume Mil Lots TIGERMED % 12.14% Average Daily WONDERS INFORM % -0.78% Declined 698 Turnover Bil CNY SCSF % -6.05% Low Turnover Rate 12.99% Unchanged 74 SHANYING PAPER % -9.69% 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 % -4.96% Top 5 Performers Materials % -6.17% SINOSUN % % Industrials % -5.49% SUNLINE % % Consumer Dis % -5.86% LIUSTEELCO % % Consumer Sta % -3.80% SONOSCAPE % % Health Care % 2.34% MEDICALSYSTEM % % Financials % -3.55% Bottom 5 Performers IT % -2.93% UNIFULL % % Telecom Serv % 0.70% MACRO % % Utilities % -2.11% LONGLIVE BIO % % QUNXING TOYS % % Sector Performance LAWTON DEVELOPM % % Top 5 Contributors 1M 12M 10% TIGERMED % % CS % % 0% NHWA % % -10% FULING ZHACAI % % -20% NATIONZ % % -30% Bottom 5 Contributors -40% KUNLUN % % MACRO % % LEAD INTELLIGENT % % HHWW % % UNIFULL % %

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 -3.9% -2.7% -4.8% -4.1% -5.9% -3.2% -5.5% -4.4% -4.8% -1.6% 0.1% 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 -5.7% -4.8% -5.4% -4.4% -2.7% -1.5% -2.3% -1.8% -1.7% -1.3% -2.2% CSI Thematic Indices: Top & Bottom Performers CSI Medical Service CSI Internet Health Care CSI Liquor CSI Precision Medicine CSI Biotechnology Thematic CSI Industry 4.0 CSI Rare Metals Industry CSI New Energy Vehicles Industry CSI All Share Capital Markets CSI New Energy Vehicles -8.8% -9.1% -9.6% -9.9% -10.1% 4.2% 3.6% 2.2% 1.8% 1.7%

8 SSE Thematic Indices: Top & Bottom Performers SSE Energy Dividend SSE Information Security SSE Health Care theme SSE Urbanization Intelligent Transport SSE 180 Transportation SSE Environmental Protection Industry SSE Automobiles China Strategic Emerging Industries SSE Telecommunication Services Dividend -11.4% SSE Information Technology Dividend -11.4% -6.8% -7.2% -7.6% -0.7% 2.3% 1.1% 0.9% 0.8% CSI&SSE Style Indices SSE 180 Value SSE LMS Cap Value CSI 300 Value SSE 180 Growth CSI 800 Value SSE 380 Value SSE LMS Cap Growth SSE 380 Growth CSI 500 Value CSI 300 Growth CSI 800 Growth CSI 500 Growth -5.4% -5.4% -4.2% -4.3% -2.8% -3.2% -3.3% -3.4% -3.6% -3.6% -3.6% -2.2% CSI&SSE Fundamental Indices SSEF 200 CSI RAFI 50 SSEF 500 CSI RAFI 200 CSI RAFI % -2.4% -2.6% -2.8% -3.1% SSEF 300 CSI RAFI % -4.5%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 DownSide Risk Control CSI 300 Volatility Control 10% CSI 300 Volatility Weighted CSI 300 Sector Neutral Low volatility CSI 300 Stability CSI 300 Low Beta CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 High Beta CSI 300 Sector Equal Risk Contribution CSI 300 Volatility Control 20% CSI 300 Equal Weight CSI 300 Momentum CSI 300 Dynamic -3.6% -1.7% -2.0% -2.6% -2.9% -2.9% -3.3% -3.4% -3.4% -3.4% -3.4% -3.6% -4.1% -4.7% 0.3% [*] 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 0.2% CSI 500 Volatility Control 15% CSI 500 Low Beta -2.3% -2.6% CSI 500 Stability CSI 500 Sector Equal Risk Contribution CSI 500 Equal Risk Contribution Weighted CSI 500 Volatility Control 25% CSI 500 Volatility Weighted CSI 500 Equal Weight CSI 500 High Beta CSI 500 Sector Neutral Low volatility CSI 500 Dynamic -3.7% -3.7% -3.9% -3.9% -4.1% -4.1% -4.2% -4.5% -4.7% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X -7.7% CSI 300 Inversed 3.6% CSI 300 Inversed 2X 6.8% CSI 300 Futures -3.1% CSI 300 Futures Leveraged 2X -6.4% CSI 300 Futures Inversed 3.0% CSI 300 Futures Inversed 2X 5.8% CSI % CSI100 Leveraged 2X -7.2% CSI100 Inversed 3.3% CSI100 Inversed 2X 6.1% CSI % CSI500 Leveraged 2X -8.7% CSI500 Inversed 4.2% CSI500 Inversed 2X 8.0% SSE % SSE50 Leveraged 2X -5.5% SSE50 Inversed 2.4% SSE50 Inversed 2X 4.3% SSE % SSE 180 Leveraged 2X -6.0% SSE 180 Inversed 2.7% SSE 180 Inversed 2X 5.0%

11 CSI Strategy Indices: Top & Bottom Performers CSI Equity and Bond Risk Parity CSI 300 DownSide Risk Control CSI 500 DownSide Risk Control CSI Equity and Bond Synthetic Option Strategy CSI Financial Health Low Volatility CSI 300 Dynamic CSI 1000 Currency Dynamic Hedged CSI 500 Currency Dynamic Hedged CSI Quality and Growth CSI Private Placement -4.7% -4.7% -4.7% -5.5% -6.2% -1.6% -0.9% 0.3% 0.2% 0.9% SSE Strategy Indices: Top & Bottom Performers SSE Equity and Bond Risk Parity SSE Health Care Sector Equal Weight SSE Consumer Staples Sector Equal Weight SSE 50 Volatility Control 10% SSE 180 Volatility Control 10% SSE 380 Dynamic SSE 180 Low Beta SSE Telecommunication Services Sector SSE Consumer Discretionary Sector Equal SSE SH-HK AH Premium -4.7% -4.8% -5.1% -6.1% -6.2% -0.8% -1.1% -1.3% 0.5% 1.1% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Energy CSI HK 300 Energy CSI HK 100 Telecommunication Services CSI HK Connect Energy Composite CSI HK 300 Telecommunication Services CSI HKT Mainland Consumption CSI HK 300 Information Technology CSI HK 100 Information Technology CSI HK 300 Materials CSI HK Connect Information Technology -4.0% -5.1% -5.6% -6.3% -7.3% 9.7% 8.9% 6.4% 5.5% 5.1%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Energy CSI Overseas enterprises ex Taiwan Energy CSI Overseas enterprises ex Taiwan CSI Overseas Mainland Telecommunication CSI SH-SZ-HK 400 Energy CSI China Mainland Enterprises 400 CSI SH-SZ-HK 1100 Information Technology CSI SH-SZ-HK 400 Information Technology CSI Great China ex Taiwan Materials CSI SH-SZ-HK 400 Materials -5.2% -5.4% -6.0% -6.9% -7.0% 10.7% 10.7% 7.4% 6.9% 6.5% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 3.22% CSI Aggregate Bond % 3.49% CSI 1 Bond % 1.82% CSI Aggregate Bond (1-3) % 2.73% CSI Aggregate Bond (3-7) % 3.40% CSI Aggregate Bond (7-10) % 4.09% CSI Aggregate Bond (10+) % 5.88% CSI Treasury Bond % 3.61% CSI Financial Bond % 3.53% CSI Corporate Bond % 3.33% CSI Short Term Note % 2.00% CSI 50 Bond % 3.34% CSI Medium Term Note % 2.93% CSI Short Term Note % 1.52% SSE Corporate Bond % 2.76% SSE Convertible Bond % 3.17%

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