CSI Index Monthly Report. July 2016 Issue

Transcription

1 CSI Index Monthly Report July 2016 Issue

2 CSI Express In July, mainland stock market followed an inverted U curve. CSI 300 Index was up by 1.59% to points. Shanghai Composite Index climbed 1.70% to points. Mid cap indices led the size group. Health care and consumer staples led the sector and thematic group. Average daily turnover of A-share market grew mildly to CNY 602 billion. CSI Universal Bond Index rose 0.87% 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. Almost three quarters of ETFs listed in China are based on CSI's indices and twelve new ones were launched during the award period. Index Launch in August CSI Target Date Indices. According to how much human capital and financial capital people own in their life cycle, CSI Target Date Indices make asset allocation at corresponding risk tolerance level. In this way, the Index Series provide one-stop nest egg underlyings for people with different retirement years. The target retirement years of the first three indices are 2025, 2035 and 2045, respectively. CSI Policy Bank Bond Index Series. The CSI Policy Bank Bond Index Series include 5 indexes, which can be subdivided into 1 aggregate index and 4 maturity indices. The maturity indices are CSI Policy Bank Band Index 1-3Y, CSI Policy Bank Band Index 3-5Y, CSI Policy Bank Band Index 5-8Y, CSI Policy Bank Band Index 8-10Y. CSI Aerospace Defense Index. CSI Aerospace Defense Index is composed of A-Share stocks pertaining to aerospace defense strategy and related fields, including but not limited to dynamical and control systems, early warning systems, weapons and equipment systems, C4ISR systems, military industrial digitization, military aviation & aerospace materials and other technologies. CSI HK Gaming Entertainment Thematic Investment Index. The Index is composed of Gaming Entertainment related securities from the eligible securities of HK Stock Connect Southbound Trading, weighted by free float market capitalization. CSI Zhujiang Delta Coastal Area Development Index. The Index is composed of the top 100 stocks which are registered in Guangdong, Fujian or Guangxi province by market capitalization, net profit growth rate and gross revenue. The Index aims to reflect the Zhujiang Delta Coastal Area s price performance. CSI Quality and Growth Index and CSI China Earnings Quality Index. The former selects 100 global listed Chinese stocks which are characterized by good liquidity, high profitability, persistent earnings, abundant cash flow and growth as constituents. Its market cap is CNY 4.81 trillion. The latter selects 100 global listed Chinese stocks which are characterized by good liquidity and high earnings quality as constituents. Its market cap is CNY 2.66 trillion. CSI Coal Futures Index. The Index is composed of eligible futures listed at futures exchanges in mainland China. It reflects the performance of the coal commodity. CSI 300 Downside Risk Control Index and CSI 500 Downside Risk Control Index. Both Indices are comprised of equity and Cash assets. The Index portfolios are dynamically allocated between the two assets, in order to control downside risk. SSE Cycle Industry Bond Index. The Index s constituents include Energy, Raw material, Industry, Utility, IT and

3 Consumption sector bonds listed on SSE. It is a market-value-weighted index. In July, 5 index products which track CSI-licensed indices were incepted in China mainland market. CICC Fund launched 1 enhanced index fund tracking CSI 300 Index, which raised CNY 10 million. It also launched 1 enhanced fund tracking CSI 500 Index, which raised CNY 10 million. Guotai launched 1 ETF tracking CSI National Defense Industry Index, which raised CNY 589 million. It also launched 1 ETF tracking CSI All Share Investment Banking & Brokerage Index, which raised CNY 429 million. China Universal launched 1 ETF tracking CSI Shanghai SOEs Index, which raised CNY 15.2 billion. By mid-2016, there are 355 index funds and ETFs benchmarked to CSI-managed indices in China mainland market, of which the total AUM is CNY 387 billion. There are 94 index funds and ETFs tracking CSI-managed indices in overseas market, of which the total AUM is CNY 44.2 billion (USD 6.7 billion).

4 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 1.49% % % 31.27% % CSI 100 2, % 0.49% % % 28.74% % CSI 200 4, % 3.24% % % 38.07% % CSI 500 6, % 3.63% % % 40.90% % CSI 800 3, % 2.13% % % 33.26% % CSI , % 2.53% -7.83% % 44.08% % CSI Dividend 3, % 2.38% % % 33.36% % SSE Composite 2, % 1.40% % % 31.76% % SSE 50 2, % 0.92% % % 29.48% % SSE 180 6, % 1.67% % % 30.66% % SSE 380 5, % 3.84% % % 41.26% % SSE MidCap 3, % 2.85% % % 35.28% % SSE SmallCap 4, % 3.80% % % 41.06% % SSE Dividend 2, % 1.51% % % 31.58% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (34.0%, 8.9%)* CSI 200 (13.9%, 12.8%) CSI 500 (15.7%, 20.4%) CSI 300 (47.9%, 21.7%) CSI 1000 (18.8%, 33.0%) CSI 800 (63.7%, 42.1%) Shanghai + Shenzhen A-Share Mkt Cap 46.5 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 (43.7%, 11.0%)** SSE MidCap (20.1%, 22.2%) SSE SmallCap (19.1%, 31.7%) SSE 180 (63.8%, 33.3%) SSE 380 (20.7%, 32.3%) Shanghai A-Share Mkt Cap 25.6 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

5 CSI 300 Index Analysis Bil CNY Overview Daily Turnover 7/1 7/6 7/11 7/14 7/19 7/22 7/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.59% 1.49% 8.75% % % Volatility 12.47% 15.28% 20.28% 31.20% 26.81% P/E P/B EPS ROE ROA CSI % 13.16% Energy % 4.89% Materials % 2.37% Industrials % 10.56% Consumer Dis % 18.26% Consumer Sta % 16.69% Health Care % 16.71% Financials % 15.91% IT % 13.42% Telecom Serv % 13.16% Utilities % 16.94% Top 5 Weighted Stocks Close Change 1.59% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 1.03% Advanced 198 Volume Mil Lots CMBC % 2.58% Average Daily INDUSTRIAL BANK % 1.44% Turnover Bil CNY Declined CMB % -1.94% Low Turnover Rate 9.20% Unchanged 8 KWEICHOW MOU % 7.27% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.85% 3.13 Top 5 Performers Materials % 5.10% DONGXU OPTOEL % % Industrials % 3.05% GREAT WALL MO % % Consumer Dis % 4.60% ZHONGJIN GOLD % % Consumer Sta % 7.66% HAIER % % Health Care % 7.62% 6.67 SAIC MOTOR % % Financials % -1.59% Bottom 5 Performers IT % -0.75% 9.36 VANKE-A % % Telecom Serv % 3.06% 1.95 DHCC % % Utilities % 3.27% 1.64 HUNDSUN % % SZKINGDOM % % Sector Performance JF % % Top 5 Contributors 1M 12M 10% MIDEA GROUP % % DONGXU OPTOEL % % 0% KWEICHOW MOU % % -10% CITIC GUOAN INF % % -20% CMBC % % -30% Bottom 5 Contributors -40% ICBC % % AGRICULTURAL B % % CMB % % GREE % % VANKE-A % %

6 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 7/1 7/6 7/11 7/14 7/19 7/22 7/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.30% 3.63% 13.42% % % Volatility 17.71% 23.77% 30.16% 40.82% 37.24% P/E P/B EPS ROE ROA CSI % 7.82% Energy % 0.11% Materials % 4.18% Industrials % 8.42% 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 1.30% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily TIANQI LITHIUM % -8.69% Advanced 261 Volume Mil Lots ZTT % 17.45% Average Daily NAVINFO % -1.63% Turnover Bil CNY Declined SJEP % 23.99% Low Turnover Rate 35.60% Unchanged 14 JCET % % Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 6.56% Top 5 Performers Materials % 3.95% ZJOHCO % % Industrials % 2.18% TIC % % Consumer Dis % -0.10% ZHONGNANCONS % % Consumer Sta % -0.07% IMXM % % Health Care % 4.81% BTBP % % Financials % 2.05% Bottom 5 Performers IT % -5.43% ZEUS % % Telecom Serv % 6.51% ZQCOT % % Utilities % 2.30% 7.08 VENUSTECH % % SHRC % % Sector Performance GREATSTAR % % Top 5 Contributors 1M 12M 10% ZJOHCO % % ZTT % % 0% LONGI % % -10% NNCC % % SJEP % % -20% Bottom 5 Contributors -30% ZEUS % % TWH % % WANFENG AUTO % % NJXB % % JCET % %

7 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 7/1 7/6 7/11 7/14 7/19 7/22 7/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -2.75% 2.53% 15.10% -7.83% % Volatility 19.43% 26.18% 32.90% 44.05% 40.37% P/E P/B EPS ROE ROA CSI % 6.11% Energy % 0.21% Materials % 2.81% Industrials % 7.02% Consumer Dis % 7.42% Consumer Sta % 6.20% Health Care % 8.27% Financials % 6.39% IT % 6.62% Telecom Serv % 3.81% Utilities % 9.92% Top 5 Weighted Stocks Close Change -2.75% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily DFD % -9.04% Advanced 350 Volume Mil Lots GANFENGLITHIUM % 0.81% Average Daily TIANLI % 13.61% Turnover Bil CNY Declined JIANGTE MOTOR % % Low Turnover Rate 50.27% Unchanged 56 GHXW % -0.98% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -0.96% 4.48 Top 5 Performers Materials % -1.52% CITIC WINE % % Industrials % -2.81% HRYY % % Consumer Dis % -3.39% SUNSEA % % Consumer Sta % 2.30% HUAMEI HOLDING % % Health Care % 3.37% JYPC % % Financials % 0.16% Bottom 5 Performers IT % -7.13% 2.86 LHEC % % Telecom Serv % -1.98% SUNLINE % % Utilities % 1.59% 6.51 ZHONGHE % % GIT % % Sector Performance BOOMSENSE % % Top 5 Contributors 1M 12M 10% ZHEJIANG ZHONG % % NSU % % 0% S.T.H % % HRYY % % -10% JINGUI SILVER % % Bottom 5 Contributors -20% DANBOND % % XCEC % % ZTBH % % ZHONGHE % % DFD % %

8 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 -4.4% -1.5% 0.0% 1.4% 0.3% 1.0% 0.8% 2.7% 2.6% 4.6% 4.9% 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 -2.7% 0.0% 1.7% 3.5% 5.6% 3.8% 4.7% 6.7% 7.0% 2.7% 8.3% CSI Thematic Indices: Top & Bottom Performers CSI Gold Miners CSI Traditional Chinese Medicine CSI China Mainland Transportation CSI Health Care Sub-industry CSI Coal & Consumable Fuels Equal Weight CSI Intelligent Wearable -5.7% CSI Integration of Military and Civilian -5.9% CSI Computer -6.1% CSI All Share Capital Markets -6.3% CSI New Energy Vehicles -7.1% 7.2% 6.9% 6.6% 6.4% 10.4%

9 SSE Thematic Indices: Top & Bottom Performers SSE Telecommunication Services Dividend SSE Consume Commodity SSE Private-owned Enterprises Dividend SSE Health Care Dividend SSE Health Care theme SSE Internet Finance SSE Urbanization Intelligent Transport SSE High and New Technology Enterprisess SSE Electronics SSE Information Security -0.8% -0.8% -2.7% -3.2% -3.3% 7.7% 7.6% 7.6% 7.6% 12.0% CSI&SSE Style Indices SSE 380 Value CSI 500 Value SSE LMS Cap Value CSI 800 Value SSE 380 Growth SSE 180 Value SSE LMS Cap Growth CSI 300 Growth SSE 180 Growth CSI 300 Value CSI 800 Growth CSI 500 Growth 0.1% 0.5% 2.4% 2.3% 2.3% 2.3% 2.1% 2.0% 1.9% 3.2% 4.4% 5.6% CSI&SSE Fundamental Indices SSEF 300 SSEF 500 SSEF 200 CSI RAFI 400 CSI RAFI 600 CSI RAFI % 3.1% 3.1% 2.8% 2.6% 2.5% CSI RAFI %

10 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Minimum Variance CSI 300 Volatility Weighted CSI 300 Low Beta CSI 300 Stability CSI 300 Sector Equal Risk Contribution CSI 300 Sector Equal Weight CSI 300 Equal Risk Contribution Weighted CSI RAFI 300 CSI 300 Equal Weight CSI 300 High Beta CSI 300 Volatility Control 20% CSI 300 Momentum CSI 300 Volatility Control 10% CSI 300 Dynamic -2.1% 1.6% 6.0% 5.3% 3.9% 3.9% 3.8% 3.4% 3.2% 2.8% 2.7% 1.9% 1.3% 1.1% 0.8% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Volatility Weighted CSI 500 Low Beta CSI 500 Stability 3.9% 3.5% 3.3% CSI 500 Sector Neutral Low volatility CSI 500 Sector Equal Risk Contribution 2.5% 2.4% CSI 500 Equal Risk Contribution Weighted CSI 500 Equal Weight CSI 500 Volatility Control 25% CSI 500 Volatility Control 15% CSI RAFI % 1.4% 1.0% 0.7% 0.3% CSI 500 High Beta CSI 500 Dynamic -0.5% -0.6% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

11 CSI & SSE Leveraged/Inversed Indices CSI 300 CSI 300 Leveraged 2X 1.6% 2.7% CSI 300 Inversed -1.6% CSI 300 Inversed 2X -3.6% CSI 300 Futures 3.4% CSI 300 Futures Leveraged 2X 6.7% CSI 300 Futures Inversed -3.5% CSI 300 Futures Inversed 2X -7.0% CSI 100 CSI100 Leveraged 2X 0.8% 1.1% CSI100 Inversed CSI100 Inversed 2X -2.0% -0.8% CSI 500 CSI500 Leveraged 2X 1.3% 2.0% CSI500 Inversed -1.4% CSI500 Inversed 2X -3.5% SSE 50 SSE50 Leveraged 2X 1.5% 2.6% SSE50 Inversed -1.5% SSE50 Inversed 2X -3.5% SSE % SSE 180 Leveraged 2X 4.8% SSE 180 Inversed -2.6% SSE 180 Inversed 2X -5.6%

12 CSI Strategy Indices: Top & Bottom Performers CSI 300 Minimum Variance CSI 200 Stability CSI 300 Volatility Weighted CSI 300 Low Beta CSI 300 Stability CSI 500 Dynamic CSI Holding-Increase & Buy-Back CSI 300 Dynamic CSI 1000 USD Hedged CSI 100 Dynamic -0.6% -0.8% -2.1% -2.9% -3.6% 6.0% 5.4% 5.3% 3.9% 3.9% SSE Strategy Indices: Top & Bottom Performers SSE Health Care Sector Equal Weight SSE Telecommunication Services Sector SSE 180 Volatility Weighted SSE Materials Sector Equal Weight SSE Dividend Low Volatility SSE Equity and Bond Risk Parity SSE 380 High Beta SSE Financials Sector Equal Weight SSE SH-HK AH Premium SSE Information Technology Sector Equal -3.1% -0.2% -0.9% 0.8% 0.7% 7.9% 6.4% 5.1% 5.0% 5.0% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI Hong Kong Listed Tradable Hong Kong CSI HK 300 Real Estate CSI HK 300 Transportation CSI HK 100 Telecommunication Services CSI HK 300 Telecommunication Services CSI HK 100 Health Care CSI HK 300 Energy CSI HK 100 Energy CSI HK 300 Consumer Staples CSI HK 100 Consumer Staples -1.3% -1.5% -1.8% -2.2% -3.8% 9.5% 8.6% 7.7% 7.6% 12.7%

13 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Health Care CSI SH-SZ-HK 1100 Transportation CSI Overseas Mainland Telecommunication CSI Overseas enterprises ex Taiwan CSI SH-SZ-HK 400 Telecommunication Services CSI Overseas China Consumer Staples CSI Overseas enterprises ex Taiwan CSI Overseas Mainland Consumer Staples CSI SH-SZ-HK 700 Information Technology -3.4% -4.0% -4.5% -4.8% CSI SH-SZ-HK Internet -5.1% 8.8% 7.6% 7.5% 7.5% 7.1% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 2.46% CSI Aggregate Bond % 2.62% CSI 1 Bond % 1.59% CSI Aggregate Bond (1-3) % 1.94% CSI Aggregate Bond (3-7) % 2.51% CSI Aggregate Bond (7-10) % 2.22% CSI Aggregate Bond (10+) % 5.51% CSI Treasury Bond % 2.90% CSI Financial Bond % 2.00% CSI Corporate Bond % 2.93% CSI Central Bank Note % 1.33% CSI Short Term Note % 1.93% CSI 50 Bond % 1.90% CSI Medium Term Note % 2.25% CSI Short Term Note % 1.54% SSE Corporate Bond % 2.36% SSE Convertible Bond % %

14 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: