CSI Index Monthly Report. August 2017 Issue
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1 CSI Index Monthly Report August 2017 Issue
2 CSI Express In August, the mainland stock market followed a tick-curve. CSI 300 Index was up by 2.25% to 3822 points. CSI 500 Index was up by 2.74% to 6470 points. Shanghai Composite Index climbed 2.68% to 3361 points. Information Technology and Telecommunication Services led the sector group. Average daily turnover of A-share market increased 10% to CNY 507 billion. CSI Universal Bond Index lost 0.13% to points. CSI is pleased to announce that it has won the Best Index Provider for ETFs, China in The Asset Triple A ETF Awards The Awards highlight achievements of CSI as well as other market players, who are essential for the proper functioning of the ETF ecosystem. Around three quarters of ETFs listed in China are based on CSI's indices and 11 new ones have been listed in the first 8 months of the year. CSI has launched its new website in August. The URL remains the same: Index Launch in August CSI 1-3 Year CDB Bond Index. The Index is composed of CDB bonds, which are listed on both the inter-bank market and exchange market, with remaining term to maturity between 0.5 and 3 years. CSI Pharmaceutical Knowledge Innovation Index. The Index is composed of the 50 most innovative A-Share stocks from pharmaceutical industry. The innovation indicators include R&D intensity, patent s quantity and quality, among others. In August, 11 index products which track CSI-licensed indices were incepted in China mainland market. GF launched 1 index fund tracking CSI All Share Construction Materials Index, which raised CNY 21 million. China Southern launched 1 ETF tracking CSI SWS Non-ferrous Metal Index, which raised CNY 448 million. It also launched 1 ETF tracking CSI All Share Real Estate Index and a feeder fund, which raised CNY 270 million and 17 million, respectively. CCD Principal launched 4 index funds (LOF) tracking CSI Policy Bank Bond 1-3Y Index, 3-5Y Index, 5-8Y Index and 8-10Y Index, which raised CNY 245 million, 302 million, 231 million and 310 million, respectively. China Universal launched 1 index fund (LOF) tracking CSI 500 Index, which raised CNY 736 million. Guotai launched 1 ETF tracking SSE 10-Year China Treasury Note Index (Futures Deliverables), which raised CNY 219 million. Changxin launched 1 enhanced index fund tracking CSI 500 Index, which raised CNY 210 million.
3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 9.43% 14.85% 15.47% 9.98% % CSI 100 3, % 9.18% 21.17% 20.01% 10.22% % CSI 200 4, % 9.90% 4.15% 7.45% 12.05% % CSI 500 6, % 11.10% 0.56% 3.30% 14.22% % CSI 800 4, % 9.89% 10.51% 11.83% 10.39% % CSI , % 6.48% % -9.55% 16.29% % CSI Dividend 4, % 7.26% 16.73% 15.16% 10.15% % SSE Composite 3, % 7.82% 8.92% 8.29% 9.48% % SSE 50 2, % 9.50% 21.58% 18.70% 10.56% % SSE 180 8, % 9.34% 17.11% 15.71% 9.53% % SSE 380 5, % 8.84% 0.01% 1.53% 13.59% % SSE MidCap 3, % 9.09% 10.13% 10.89% 9.95% % SSE SmallCap 4, % 10.93% 1.02% 3.26% 14.17% % SSE Dividend 2, % 4.37% 14.59% 12.83% 9.41% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (36.2%, 12.7%)* CSI 200 (13.7%, 16.4%) CSI 500 (14.7%, 22.6%) CSI 300 (49.9%, 29.1%) CSI 1000 (15.5%, 23.4%) CSI 800 (64.6%, 51.7%) Shanghai + Shenzhen A-Share Mkt Cap 56.0 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 (43.5%, 16.8%)** SSE MidCap (19.8%, 23.2%) SSE SmallCap (17.5%, 27.5%) SSE 180 (63.2%, 40.0%) SSE 380 (17.6%, 24.5%) Shanghai A-Share Mkt Cap 32.6 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 8/14 8/17 8/22 8/25 8/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 2.25% 9.43% 10.70% 14.85% 15.47% Volatility 11.56% 10.67% 9.73% 9.97% 9.37% P/E P/B EPS ROE ROA CSI % 13.37% Energy % 5.05% Materials % 3.58% Industrials % 10.76% Consumer Dis % 18.37% Consumer Sta % 17.50% Health Care % 16.95% Financials % 15.94% IT % 14.79% Telecom Serv % 12.20% Utilities % 18.44% Top 5 Weighted Stocks Close Change 2.25% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 7.71% Advanced 175 Volume Mil Lots CMB % 4.61% Average Daily KWEICHOW MOU % 2.06% Turnover Bil CNY Declined INDUSTRIAL BANK % -0.62% Low Turnover Rate 10.58% Unchanged 16 CMBC % -2.33% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -0.87% Top 5 Performers Materials % 3.59% 9.10 MUYUAN % % Industrials % 0.24% 1.31 CHALCO % % Consumer Dis % -0.42% CHINA GALAXY % % Consumer Sta % 3.70% 8.89 EASTMONEY % % Health Care % 0.64% 1.11 FIRST CAPITAL % % Financials % 3.17% Bottom 5 Performers IT % 5.47% GXHT % % Telecom Serv % 4.25% 2.99 YOUZU % % Utilities % -1.58% HEBEI STEEL COR % % ZHONGTIAN % % Sector Performance DONGXU OPTOEL % % Top 5 Contributors 1M 12M 40% PING AN OF CHIN % % YILI % % 30% CHALCO % % 20% CPIC % % 10% CMB % % 0% Bottom 5 Contributors -10% SPD BANK % % CMBC % % CSCEC % % SDIC POWER % % DONGXU OPTOEL % %
5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 8/1 8/4 8/9 8/14 8/17 8/22 8/25 8/30 Summary 1M 3M 6M 12M YTD Performance 2.74% 11.10% 0.30% 0.56% 3.30% Volatility 14.26% 15.45% 14.98% 14.19% 14.52% P/E P/B EPS ROE ROA CSI % 7.38% Energy % 0.23% Materials % 2.69% Industrials % 8.30% Consumer Dis % 8.58% Consumer Sta % 7.96% Health Care % 12.06% Financials % 10.46% IT % 7.16% Telecom Serv % 7.63% Utilities % 12.63% Close Change 2.74% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily GANFENGLITHIUM % 13.77% Volume Mil Lots Advanced FANGDA CARBON % 4.89% Average Daily SUNWAY COMM % 9.13% Turnover Bil CNY Declined 172 HTGD % 4.67% Low Turnover Rate 24.48% Unchanged 22 LONGI % -4.25% 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 % 10.25% Top 5 Performers Materials % 2.84% OPENCUT COAL % % Industrials % 2.91% GUOSHENG FINA % % Consumer Dis % 1.69% CRT % % Consumer Sta % 2.33% 7.31 NAVINFO % % Health Care % 2.38% HUAYOU COBALT % % Financials % 0.45% Bottom 5 Performers IT % 7.07% TINCI % % Telecom Serv % 6.03% XSSYIM % % Utilities % 3.16% 5.00 G-BITS % % HPEC % % Sector Performance J&R FIRE PROTEC % % Top 5 Contributors 1M 12M 30% NAVINFO % % HUAYOU COBALT % % 20% GANFENGLITHIUM % % 10% CYG % % 0% OPENCUT COAL % % -10% Bottom 5 Contributors -20% HUALU-HENGSHE % % ZHONG KE SAN H % % CGT GROUP % % DFD % % XSSYIM % %
6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 8/1 8/4 8/9 8/14 8/17 8/22 8/25 8/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 3.16% 6.48% -9.73% % -9.55% Volatility 12.40% 16.66% 16.46% 16.26% 16.51% P/E P/B EPS ROE ROA CSI % 6.19% Energy % -2.26% Materials % 3.96% Industrials % 7.48% Consumer Dis % 7.46% Consumer Sta % 4.27% Health Care % 8.97% Financials % 5.83% IT % 6.27% Telecom Serv % 4.08% Utilities % 9.26% Top 5 Weighted Stocks Close Change 3.16% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily BAIYUNAIRPORT % -0.81% Advanced 655 Volume Mil Lots CHINA-KINWA % % Average Daily TIANGUANG ZHON % 0.00% Turnover Bil CNY Declined YNALCO % 40.04% Low Turnover Rate 21.27% Unchanged 63 WALVAX % 5.05% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 3.23% 5.02 Top 5 Performers Materials % 3.59% JPMF % % Industrials % 3.11% YSSTECH % % Consumer Dis % 1.44% QLPIPESINDUSTR % % Consumer Sta % -0.14% LYG % % Health Care % 3.50% TRS % % Financials % 4.12% Bottom 5 Performers IT % 8.06% SPEED % % Telecom Serv % 3.63% 7.71 MINHE % % Utilities % 1.67% 2.28 TANGEL PUBLISH % % YUNHAI METALS % % Sector Performance CXJG % % Top 5 Contributors 1M 12M 20% YNALCO % % JPMF % % 10% HXSS % % 0% PENGXIN MINING % % -10% XINSTEEL % % -20% Bottom 5 Contributors -30% HUAJIN % % TANGEL PUBLISH % % SPEED % % UDC % % 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 0.6% 0.3% 2.6% 2.6% 1.8% 3.2% 2.9% 4.0% 6.2% 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 -1.0% -0.3% -0.3% 1.0% 1.7% 2.7% 3.1% 3.3% 4.3% 4.4% 5.6% CSI Thematic Indices: Top & Bottom Performers CSI Big Data Industry CSI Intelligent Vehicle CSI High and New Technology Enterprises CSI Internet Platform CSI Intelligent Wearable CSI Chemicals Sub-industry -1.0% CSI Automobile Industry Stimulus -1.2% CSI Consumer Discretionary Dividend -1.2% CSI All Share Capital Markets - CSI Trust Thematic -3.9% 10.3% 8.8% 8.8% 8.7% 8.6%
8 SSE Thematic Indices: Top & Bottom Performers SSE Information Security SSE High and New Technology Enterprisess SSE Telecommunication Services Dividend SSE Smart Home SSE Urbanization Intelligent Transport SSE Private-owned Enterprises Dividend SSE 180 Infrastructure SSE Consumer Discretionary Dividend SSE Utilities Dividend SSE Industrials Dividend -1.0% -1.0% -1.8% -2.0% - 7.8% 7.7% 7.7% 6.1% 5.9% CSI&SSE Style Indices CSI 500 Growth SSE 380 Growth CSI 800 Growth CSI 300 Growth SSE LMS Cap Growth CSI 500 Value SSE LMS Cap Value CSI 800 Value SSE 180 Growth SSE 180 Value CSI 300 Value SSE 380 Value 0.3% 2.4% 1.9% 1.9% 1.7% 1.7% 1.5% 1.5% 1.3% 1.2% 2.9% CSI&SSE Fundamental Indices CSI RAFI % SSEF % SSEF 500 SSEF 200 CSI RAFI % 1.7% 1.6% CSI RAFI 50 CSI RAFI % 1.3%
9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 High Beta CSI 300 Dynamic CSI 300 Momentum CSI 300 Equal Weight CSI 300 DownSide Risk Control CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 Stability CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 Sector Neutral Low volatility CSI RAFI 300 CSI 300 Low Beta CSI 300 Volatility Weighted 0.4% 2.3% 2.7% 2.4% 2.0% 1.8% 1.8% 1.8% 1.5% 1.4% 1.0% 3.8% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Dynamic CSI 500 High Beta 4.1% 4.0% CSI 500 Sector Equal Risk Contribution CSI 500 Equal Weight CSI 500 Volatility Control 25% CSI 500 Volatility Control 15% CSI 500 Equal Risk Contribution Weighted 2.9% 2.7% 2.6% 2.4% 2.3% CSI 500 Stability CSI 500 Sector Neutral Low volatility CSI 500 Low Beta CSI 500 Volatility Weighted CSI 500 DownSide Risk Control 1.5% 1.2% 1.0% 0.9% 0.5% [*] The smart beta indices are not necessarily based on the CSI 500 universe.
10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X 4.0% CSI 300 Inversed - CSI 300 Inversed 2X -4.9% CSI 300 Futures 3.2% CSI 300 Futures Leveraged 2X 6.4% CSI 300 Futures Inversed -3.2% CSI 300 Futures Inversed 2X -6.5% CSI % CSI100 Leveraged 2X 4.1% CSI100 Inversed - CSI100 Inversed 2X -4.9% CSI % CSI500 Leveraged 2X 5.0% CSI500 Inversed -2.7% CSI500 Inversed 2X -5.9% SSE % SSE50 Leveraged 2X 5.3% SSE50 Inversed -2.9% SSE50 Inversed 2X -6.2% SSE % SSE 180 Leveraged 2X 4.4% SSE 180 Inversed -2.4% SSE 180 Inversed 2X -5.2%
11 CSI Strategy Indices: Top & Bottom Performers CSI 500 Dynamic CSI 1000 Currency Dynamic Hedged CSI 500 High Beta CSI 300 High Beta CSI 500 Currency Dynamic Hedged CSI 300 Volatility Weighted CSI Equity and Bond Risk Parity CSI Quality and Growth CSI Dividend Low Volatility CSI Dividend Value -0.4% -0.5% -0.7% 0.4% 0.1% 4.1% 4.1% 4.0% 3.8% 3.7% SSE Strategy Indices: Top & Bottom Performers SSE Information Technology Sector Equal SSE Telecommunication Services Sector SSE Financials Sector Equal Weight SSE 180 High Beta SSE Materials Sector Equal Weight SSE Equity and Bond Risk Parity SSE Dividend Volatility Control 10% SSE Dividend Volatility Control 20% SSE Dividend Low Volatility SSE Dividend Value -0.9% -1.3% 0.2% 0.1% 0.1% 3.6% 3.5% 3.3% 5.1% 4.9% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK IPO CSI HK 100 Consumer Staples CSI HK 300 Materials CSI HK 300 Consumer Staples CSI Hong Kong Private-owned Mainland CSI Hong Kong Overseas High Dividend Yield CSI HK 300 Leisure CSI HK 300 Infrastructure CSI HK 300 Utilities CSI HK 100 Utilities -0.1% -0.2% -0.8% -2.3% -2.4% 9.4% 8.6% 7.8% 7.5% 6.5%
12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK 700 Materials CSI China Mainland Enterprises 1000 Materials CSI SH-SZ-HK 1100 Materials CSI Overseas Mainland Consumer CSI SH-SZ-HK 400 Materials CSI SH-SZ-HK 1100 Health Care CSI SH-SZ-HK 400 Health Care CSI Great China ex Taiwan Health Care CSI China Mainland Enterprises 400 Health CSI Overseas Mainland Health Care -4.7% -4.8% -4.9% -5.0% -8.4% 15.0% 14.8% 14.5% 13.9% 13.8% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.32% CSI Aggregate Bond % -0.09% CSI 1 Bond % 2.12% CSI Aggregate Bond (1-3) % 1.56% CSI Aggregate Bond (3-7) % 0.28% CSI Aggregate Bond (7-10) % -1.67% CSI Aggregate Bond (10+) % -4.47% CSI Treasury Bond % -1.79% CSI Financial Bond % 0.15% CSI Corporate Bond % 1.16% CSI Short Term Note % 2.77% CSI 50 Bond % -0.47% CSI Medium Term Note % 0.24% CSI Short Term Note % 2.32% SSE Corporate Bond % -0.54% SSE Convertible Bond % 10.88%
13 Disclaimer All information contained herein is provided for reference only, and is not intended to provide professional advice and shall not be relied upon in that regard. China Securities Index Co., Ltd. ( CSI ) makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and accepts no liability (whether in tort or contract or otherwise) whatsoever to any person for any damages or loss of any nature arising from or as a result of reliance on any of the contents of this document, or any errors or omission in its contents. The copyright of this document belongs to CSI. 中证 中证指数 中证行业分类 CSI CSI 300 沪深 300 指数 and other trademarks in relation to CSI and its products and services are exclusively owned by the Shanghai Stock Exchange and/or CSI. Without written authorization from the Shanghai Stock Exchange and/or CSI, no institution or individual may use any such trademarks in any form. 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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