CSI Index Monthly Report. February 2016 Issue

Transcription

1 CSI Index Monthly Report February 2016 Issue

2 CSI Express In February, mainland stock market bounced to the January platform and plunged again at the month end. CSI 300 Index was down by 2.33% to points. Shanghai Composite Index dropped 1.81% to points. Large cap indices led the size indices group. Natural resources and materials led the sector and thematic group. Average daily turnover of A-share market further dropped 10% to CNY 486 billion. CSI Universal Bond Index increased by 0.33% to points. Index Launch in March CSI Commercial Paper Credit Grade Subdivision Index Series. The Series includes 3 indices, which are CSI Commercial Paper Index AAA, CSI Commercial Paper Index AA+ and CSI Commercial Paper Index AA. The Index consists of RMB-denominated commercial papers traded on the Inter-bank market with corresponding credit ratings. The current amount of constituents is around 500 to 600 each. CSI Entertainment Thematic Index. The Index consists of up to 200 stocks from the health care and drug retail industry. The weight cap on individual constituent is 10%. The market cap of the Index is CNY 2.44 trillion. CSI Entertainment Thematic Index. The Index consists of up to 200 stocks from the entertainment industries such as tourism, film & cartoon, electronic game, sports and books. The weight cap on individual constituent is 10%. The market cap of the Index is CNY 1.95 trillion. In February, 2 index fund product were incepted in China mainland market which tracks CSI index. Dacheng launched 1 index fund tracking CSI 360 Internet plus big data 100 Index, which raised CNY 327 million. Fullgoal launched 1 index fund tracking CSI Intelligent Vehicle Index, which raised CNY 220 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 2, % % % % 40.42% % CSI 100 2, % % % % 38.92% % CSI 200 3, % % % % 47.21% % CSI 500 5, % % % % 48.32% % CSI 800 3, % % % % 41.59% % CSI , % % 0.59% % 50.83% % CSI Dividend 3, % % -3.62% % 43.12% % SSE Composite 2, % % % % 40.06% % SSE 50 1, % % % % 39.64% % SSE 180 6, % % % % 40.13% % SSE 380 4, % % % % 50.79% % SSE MidCap 2, % % % % 45.56% % SSE SmallCap 4, % % % % 50.52% % SSE Dividend 2, % % % % 42.17% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (35.9%, 9.0%)* CSI 200 (14.4%, 12.6%) CSI 500 (15.2%, 19.0%) CSI 300 (50.3%, 21.6%) CSI 1000 (18.5%, 32.7%) CSI 800 (65.5%, 40.6%) Shanghai + Shenzhen A-Share Mkt Cap 39.5 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 (46.3%, 13.4%)** SSE MidCap (18.9%, 20.1%) SSE SmallCap (17.9%, 30.0%) SSE 180 (65.2%, 33.5%) SSE 380 (19.0%, 31.0%) Shanghai A-Share Mkt Cap 22.5 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 2/1 2/4 2/16 2/19 2/24 2/29 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -2.33% % % % % Volatility 35.03% 37.26% 33.87% 40.34% 43.14% P/E P/B EPS ROE ROA CSI % 13.09% Energy % 4.84% Materials % 1.33% Industrials % 10.75% Consumer Dis % 17.90% Consumer Sta % 17.56% Health Care % 17.10% Financials % 16.04% IT % 11.88% Telecom Serv % 13.16% Utilities % 16.98% Top 5 Weighted Stocks Close Change -2.33% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % -3.88% Advanced 83 Volume Mil Lots CMBC % -1.63% Average Daily VANKE-A % 0.00% Turnover Bil CNY Declined INDUSTRIAL BANK % -1.94% Low Turnover Rate 6.66% Unchanged 14 SPD BANK % 9.17% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.20% 1.83 Top 5 Performers Materials % 5.07% 7.97 SD-GOLD % % Industrials % -4.27% XTC % % Consumer Dis % -3.06% NONFEMET % % Consumer Sta % -0.83% ZHONGJIN GOLD % % Health Care % -2.44% PGVT % % Financials % -2.37% Bottom 5 Performers IT % -4.03% HAIGE COMMUNIC % % Telecom Serv % -9.50% NBP % % Utilities % -1.84% HAIER % % BJP % % Sector Performance WESTERN SECUR % % Top 5 Contributors 1M 12M 10% SPD BANK % % KWEICHOW MOU % % 0% SD-GOLD % % -10% CHALCO % % NONFEMET % % -20% Bottom 5 Contributors -30% EASTMONEY % % HAIER % % HAIGE COMMUNIC % % NBP % % PING AN OF CHIN % %

5 CSI Sector & Thematic Indices: Top & Bottom Performers CSI 300 Nonferrous Metal CSI non-ferrous metal Sub-industry CSI Nonferrous Metal Industry Stimulus CSI Nonferrous Metal CSI 800 Nonferrous Metal CSI Telecommunication Services CSI 300 Media CSI 800 Communications Equipment CSI All Share Capital Markets CSI500 Software & Services -8.3% -8.9% -9.2% -9.5% -9.7% 13.8% 10.3% 9.6% 8.7% 8.2% SSE Sector & Thematic Indices: Top & Bottom Performers SSE Select Resources Industries SSE 180 Materials SSE 180 Natural Resource SSE Natural Resource SSE Upstream Industry SSE Internet Finance SSE Urbanization Smart Cities SSE Health Care Dividend SSE 180 Information Technology SSE 180 Transportation -5.6% -5.8% -5.9% -6.0% -7.4% 6.6% 5.9% 5.6% 5.3% 4.9% CSI&SSE Style Indices CSI&SSE Fundamental Indices CSI 500 Value SSE 380 Value SSE 180 Value SSE 180 Growth SSE LMS Cap Value CSI 800 Value SSE LMS Cap Growth CSI 300 Value CSI 300 Growth CSI 800 Growth CSI 500 Growth SSE 380 Growth -0.3% -1.3% -1.6% -1.6% -1.7% -1.8% -1.9% -2.1% -2.4% -2.7% -2.7% -2.8% CSI RAFI 50 SSEF 200 CSI RAFI 200 CSI RAFI 600 SSEF 500 CSI RAFI 400 SSEF % -0.9% -0.9% -1.0% -1.0% -1.1% -1.3%

6 CSI Strategy Indices: Top & Bottom Performers CSI Equity and Bond Risk Parity CSI Dividend Volatility Control 10% CSI Dividend Volatility Control 20% CSI 300 Volatility Control 10% CSI Equity and Bond Synthetic Option Strategy CSI 500 High Beta CSI 300 Dynamic CSI 200 Stability CSI 100 Dynamic CSI 200 Dynamic -3.0% -3.1% -3.1% -3.2% -3.3% -0.1% -0.3% -0.4% -0.4% 0.7% SSE Strategy Indices: Top & Bottom Performers SSE Materials Sector Equal Weight SSE Energy Sector Equal Weight SSE SH-HK AH Premium SSE Telecommunication Services Sector SSE Equity and Bond Risk Parity SSE 380 Momentum SSE 180 Dynamic SSE 180 High Beta SSE Industrials Sector Equal Weight SSE Information Technology Sector Equal -5.0% -2.6% -2.7% -3.0% -3.3% 2.9% 2.3% 1.3% 0.7% 4.6% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Materials CSI HK 100 Utilities CSI Hong Kong Listed Tradable Hong Kong CSI HK 300 Low Beta CSI HK 300 Utilities CSI HK 300 Dynamic -4.8% CSI Hong Kong Listed Tradable Mainland -5.0% CSI Hong Kong Listed Tradable Mainland -5.9% CSI HK 300 Financial Service -5.9% CSI HK 300 Banks -6.1% 4.1% 3.2% 2.4% 2.4% 2.3%

7 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK 400 Upstream Industry CSI SH-SZ-HK 400 Materials CSI Great China ex Taiwan Materials CSI China Mainland Enterprises 400 Materials CSI SH-SZ-HK 1100 Nature Resource CSI SH-SZ-HK 400 Midstream Industry CSI SH-SZ-HK 1100 Logistics CSI Overseas Mainland Financials CSI Overseas enterprises ex Taiwan Financials CSI SH-SZ-HK Mainland Insurance -4.6% -4.7% -5.0% -5.2% -6.3% 4.6% 4.6% 4.6% 4.4% 3.9% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.55% CSI Aggregate Bond % 0.56% CSI 1 Bond % 0.42% CSI Aggregate Bond (1-3) % 0.49% CSI Aggregate Bond (3-7) % 0.49% CSI Aggregate Bond (7-10) % 0.21% CSI Aggregate Bond (10+) % 1.47% CSI Treasury Bond % 0.71% CSI Financial Bond % 0.15% CSI Corporate Bond % 0.81% CSI Central Bank Note % 0.36% CSI Short Term Note % 0.58% CSI 50 Bond % 0.19% CSI Medium Term Note % 0.90% CSI Short Term Note % 0.42% SSE Corporate Bond % 0.57% SSE Convertible Bond % %

8 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: