CSI Index Monthly Report. August 2016 Issue

Transcription

1 CSI Index Monthly Report August 2016 Issue

2 CSI Express In August, mainland stock market rallied to a 7-month high and retreated slightly. CSI 300 Index was up by 3.87% to points. Shanghai Composite Index climbed 3.56% to points. Size indices grew at similar pace. Real estate, financials and TMT led the sector and thematic group. Average daily turnover of A-share market shrank to CNY 483 billion. CSI Universal Bond Index rose 0.61% to points. Index Launch in August CSI Mutual Fund Indices. 10 new indices will be launched and the methodologies of 6 existing indices will be amended. A total of 19 fund indices make up the new series. Index Launch in September CSI Supplementary Pension Investment Index. The Index tracks a tailored multi asset benchmark and gets double protection from short fall risk. The Index therefore obtains an optimized allocation result and provides one-stop underlying for supplementary pension investment. In August, 4 index products which track CSI-licensed indices were incepted in China mainland market. Fortune SG launched 1 ETF tracking CSI All Share Investment Banking & Brokerage Index, which raised CNY 642 million. It also launched 1 ETF tracking CSI National Defense Industry Index, which raised CNY 545 million. China Southern launched 1 feeder fund to its CSI 500 Information Technology ETF, which raised CNY 189 million. GF launched 1 ETF tracking CSI National Defense Industry Index, which raised CNY 889 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 4.99% -1.15% % 26.32% % CSI 100 3, % 3.98% 0.68% -8.38% 23.71% % CSI 200 4, % 6.77% -4.22% % 33.15% % CSI 500 6, % 8.19% -2.24% % 36.08% % CSI 800 3, % 5.92% -1.48% % 28.43% % CSI , % 7.82% 11.17% % 39.13% % CSI Dividend 3, % 7.16% 5.35% -8.88% 27.71% % SSE Composite 3, % 5.79% -3.76% % 26.65% % SSE 50 2, % 3.57% 1.01% -7.77% 23.98% % SSE 180 7, % 4.61% -2.67% % 25.35% % SSE 380 5, % 9.08% -3.14% % 35.53% % SSE MidCap 3, % 6.32% -8.32% % 30.08% % SSE SmallCap 4, % 9.23% -6.18% % 35.47% % SSE Dividend 2, % 6.39% -2.19% -8.99% 25.60% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (33.5%, 10.9%)* CSI 200 (13.7%, 14.0%) CSI 500 (15.6%, 19.0%) CSI 300 (47.2%, 24.9%) CSI 1000 (18.5%, 29.5%) CSI 800 (62.8%, 43.9%) Shanghai + Shenzhen A-Share Mkt Cap 49.0 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 (43.1%, 13.1%)** SSE MidCap (19.6%, 22.9%) SSE SmallCap (18.7%, 28.3%) SSE 180 (62.8%, 35.9%) SSE 380 (20.3%, 28.8%) Shanghai A-Share Mkt Cap 27.0 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 8/1 8/4 8/9 8/12 8/17 8/22 8/25 8/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 3.87% 4.99% 15.65% -1.15% % Volatility 13.29% 14.95% 16.71% 26.28% 25.38% P/E P/B EPS ROE ROA CSI % 13.16% Energy % 4.89% Materials % 2.47% Industrials % 10.56% Consumer Dis % 18.26% Consumer Sta % 16.56% Health Care % 16.70% Financials % 15.91% IT % 13.43% Telecom Serv % 13.16% Utilities % 16.94% Top 5 Weighted Stocks Close Change 3.87% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % 5.72% Advanced 217 Volume Mil Lots CMBC % 1.64% Average Daily INDUSTRIAL BANK % 3.95% 71 Turnover Bil CNY Declined VANKE-A % 45.45% Low Turnover Rate 8.98% Unchanged 12 CMB % 8.57% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.55% 2.01 Top 5 Performers Materials % 1.21% 2.16 VANKE-A % % Industrials % 4.12% CITIC GUOAN INFO % % Consumer Dis % 1.03% 3.69 GZBL % % Consumer Sta % -2.61% GEMDALE % % Health Care % 1.73% 2.43 HUAWEN MEDIA % % Financials % 6.97% Bottom 5 Performers IT % 2.62% 7.25 CHINA SOUTH AIR % % Telecom Serv % 1.96% 0.79 AURORA % % Utilities % 1.81% 2.33 AIR CHINA % % THTF % % Sector Performance YILI % % Top 5 Contributors 1M 12M 20% VANKE-A % % PING AN OF CHINA % % 10% CMB % % 0% CSCEC % % -10% INDUSTRIAL BANK % % -20% Bottom 5 Contributors -30% WANGSU % % SD-GOLD % % SAIC MOTOR % % CHINA SOUTH AIR % % YILI % %

5 CSI 500 Index Analysis Overview Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 3.73% 8.19% 20.26% -2.24% % Volatility 13.91% 20.09% 25.89% 36.21% 34.94% P/E P/B EPS ROE ROA CSI % 7.75% Energy % 0.11% Materials % 4.17% Industrials % 8.34% Consumer Dis % 9.15% Consumer Sta % 7.88% Health Care % 11.44% Financials % 10.74% IT % 7.93% Telecom Serv % 7.85% Utilities % 14.78% Top 5 Weighted Stocks Close Change 3.73% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SJEP % 25.12% 357 Volume Mil Lots Advanced TIANQI LITHIUM % -0.72% Average Daily ZTT % 6.17% 128 Turnover Bil CNY Declined NAVINFO % -3.60% Low Turnover Rate 24.58% Unchanged 15 HWHG % 7.18% Sector Analysis Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 5.87% Top 5 Performers Materials % 2.86% CENTURY HUATON % % Industrials % 2.91% HTGD % % Consumer Dis % 2.15% ICW % % Consumer Sta % 2.21% 7.41 XINGFA GROUP % % Health Care % 3.99% DFYL % % Financials % 8.91% Bottom 5 Performers IT % 3.92% ANJIE % % Telecom Serv % 8.55% INVENGO % % Utilities % 7.44% CHENGDELOLO % % RUNTU % % Sector Performance JSWZ % % Top 5 Contributors 40% 30% 20% 10% 0% -10% -20% Bil CNY Daily Turnover Close (right) 8/1 8/4 8/9 8/12 8/17 8/22 8/25 8/30 1M 12M SJEP % % HTGD % % DFYL % % ICW % % EWPT % % Bottom 5 Contributors SINOCHEM INTERN % % JSWZ % % ANJIE % % ROBAM APPLIANCE % % PIEN TZE HUANG % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 8/1 8/4 8/9 8/12 8/17 8/22 8/25 8/30 Summary 1M 3M 6M 12M YTD Performance 3.97% 7.82% 23.03% 11.17% % Volatility 14.35% 21.77% 28.56% 39.25% 37.83% P/E P/B EPS ROE ROA CSI % 6.12% Energy % 0.26% Materials % 2.82% Industrials % 6.98% Consumer Dis % 7.41% Consumer Sta % 6.20% Health Care % 8.26% Financials % 6.65% IT % 6.62% Telecom Serv % 3.83% Utilities % 9.92% Close Change 3.97% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily DFD % -2.09% Advanced 717 Volume Mil Lots TIANLI % 14.37% Average Daily GANFENGLITHIUM % -2.37% Declined 228 Turnover Bil CNY SUNWAY COMM % 6.40% Low Turnover Rate 23.92% Unchanged 55 JIANGTE MOTOR % -2.14% 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 % 4.48% Top 5 Performers Materials % 3.67% LFD % % Industrials % 4.65% CALXON GROUP % % Consumer Dis % 2.96% TJRD % % Consumer Sta % 3.86% EASA % % Health Care % 4.19% OIE % % Financials % 9.94% Bottom 5 Performers IT % 4.87% ELEFIRST % % Telecom Serv % 3.55% MPT % % Utilities % 4.47% 8.94 YLT % % RAPOO TECHNOLO % % Sector Performance CITIC WINE % % Top 5 Contributors 1M 12M 30% LFD % % CALXON GROUP % % 20% TIANLI % % 10% TJRD % % 0% LYCG % % -10% Bottom 5 Contributors -20% RAPOO TECHNOLO % % MPT % % CITIC WINE % % XYF % % XYGF % %

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 -0.2% 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% 4.0% 4.8% 3.5% 4.3% 3.0% 3.1% 4.0% 3.1% 7.1% 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 -0.8% 0.1% 1.4% 1.6% 2.3% 1.9% 3.6% 3.5% 4.0% 5.0% 7.1% CSI Thematic Indices: Top & Bottom Performers CSI China Mainland Real Estate CSI Real Estate Sub-industry CSI Urbanization infrastructure CSI Beijing-Tianjin-Hebei's Coordinated CSI Financials Dividend CSI Food & Beverage Sub-industry CSI Light Industry Stimulus CSI 300 Nonferrous Metal CSI All Share Capital Markets CSI Gold Miners -1.8% -2.0% -2.4% -2.9% -5.0% 13.4% 13.0% 11.2% 10.2% 8.4%

8 SSE Thematic Indices: Top & Bottom Performers SSE Information Technology Dividend SSE Urbanization infrastructure SSE Infrastructure SSE TMT Industry SSE Financials Dividend SSE Automobiles SSE Consumer 50 SSE Consumer Discretionary Dividend SSE Consumer Staples Dividend SSE 180 Transportation -0.6% -1.2% -1.6% -2.3% -2.5% 8.2% 8.2% 6.7% 6.4% 5.9% CSI&SSE Style Indices CSI 300 Value CSI 500 Value CSI 800 Growth CSI 800 Value SSE 180 Value SSE 180 Growth CSI 500 Growth CSI 300 Growth SSE LMS Cap Growth SSE LMS Cap Value SSE 380 Value SSE 380 Growth 2.5% 4.5% 4.4% 4.3% 4.2% 3.9% 3.8% 3.7% 3.6% 3.4% 3.4% 3.3% CSI&SSE Fundamental Indices SSEF 300 CSI RAFI 50 CSI RAFI % 4.6% 4.9% CSI RAFI 600 CSI RAFI 200 SSEF 500 SSEF % 3.9% 3.7% 3.5%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Dynamic CSI 300 High Beta CSI RAFI 300 CSI 300 Momentum CSI 300 Volatility Control 20% CSI 300 Equal Weight CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 Stability CSI 300 Low Beta CSI 300 Sector Equal Risk Contribution CSI 300 Volatility Control 10% CSI 300 Volatility Weighted CSI 300 Minimum Variance 3.9% 4.1% 3.8% 3.7% 3.4% 3.3% 3.0% 2.5% 2.3% 2.2% 2.1% 1.8% 1.7% 1.7% 6.6% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Sector Equal Risk Contribution CSI RAFI 500 CSI 500 Stability CSI 500 Sector Neutral Low volatility CSI 500 Equal Risk Contribution Weighted CSI 500 Equal Weight CSI 500 Volatility Weighted CSI 500 Low Beta CSI 500 Dynamic CSI 500 Volatility Control 25% CSI 500 High Beta 5.0% 4.5% 4.3% 4.2% 4.0% 3.9% 3.9% 3.5% 3.1% 3.0% 2.9% CSI 500 Volatility Control 15% 1.9% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X 7.3% CSI 300 Inversed -3.8% CSI 300 Inversed 2X -7.9% CSI 300 Futures 4.5% CSI 300 Futures Leveraged 2X 9.0% CSI 300 Futures Inversed -4.5% CSI 300 Futures Inversed 2X -9.0% CSI % CSI100 Leveraged 2X 7.7% CSI100 Inversed -4.0% CSI100 Inversed 2X -8.4% CSI % CSI500 Leveraged 2X 7.0% CSI500 Inversed -3.7% CSI500 Inversed 2X -7.7% SSE % SSE50 Leveraged 2X 6.7% SSE50 Inversed -3.5% SSE50 Inversed 2X -7.4% SSE % SSE 180 Leveraged 2X 6.0% SSE 180 Inversed -3.2% SSE 180 Inversed 2X -6.8%

11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Dynamic CSI 300 Dynamic CSI Holding-Increase & Buy-Back CSI 500 Sector Equal Risk Contribution CSI Private Placement CSI Dividend Volatility Control 10% CSI 300 Volatility Weighted CSI 300 Minimum Variance CSI Equity and Bond Synthetic Option Strategy CSI Equity and Bond Risk Parity 1.8% 1.7% 1.7% 1.3% 0.9% 7.3% 6.6% 5.6% 5.0% 4.8% SSE Strategy Indices: Top & Bottom Performers SSE Holding-Increase & Buy-Back SSE Telecommunication Services Sector SSE Energy Sector Equal Weight SSE Financials Sector Equal Weight SSE 180 Dynamic SSE 180 Volatility Control 10% SSE Consumer Staples Sector Equal Weight SSE Consumer Discretionary Sector Equal SSE Equity and Bond Risk Parity SSE SH-HK AH Premium -3.8% 1.6% 1.4% 1.2% 0.4% 7.9% 6.1% 5.4% 5.2% 4.6% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI Hong Kong Listed Tradable Mainland CSI HK 300 Banks CSI Hong Kong Listed Tradable Mainland CSI Hong Kong Listed Tradable Mainland CSI HK 300 Information Technology CSI Hong Kong Listed Tradable Hong Kong CSI HK 300 Energy CSI HK 100 Industrials CSI HK 300 Logistics CSI HK 300 Transportation 0.0% -0.1% -1.2% -2.2% 0.3% 11.0% 10.6% 9.5% 9.5% 9.1%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas China Internet CSI Overseas Mainland Information CSI Overseas enterprises ex Taiwan CSI Overseas China Internet 50 CSI Overseas China Internet 30 CSI SH-SZ-HK 400 Consumer Staples CSI China Mainland Enterprises 400 CSI China-U.S. TMT CSI SH-SZ-HK 1100 Transportation CSI Overseas Mainland Health Care -6.3% -0.7% -0.7% -1.6% -1.8% 12.4% 11.8% 11.7% 11.4% 11.3% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 3.09% CSI Aggregate Bond % 3.31% CSI 1 Bond % 1.89% CSI Aggregate Bond (1-3) % 2.34% CSI Aggregate Bond (3-7) % 3.17% CSI Aggregate Bond (7-10) % 2.81% CSI Aggregate Bond (10+) % 7.30% CSI Treasury Bond % 3.61% CSI Financial Bond % 2.33% CSI Corporate Bond % 3.97% CSI Central Bank Note % 1.53% CSI Short Term Note % 2.27% CSI 50 Bond % 2.16% CSI Medium Term Note % 3.08% CSI Short Term Note % 1.81% SSE Corporate Bond % 2.73% SSE Convertible Bond % -9.26%

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: