CSI Index Monthly Report. October 2015 Issue

Transcription

1 CSI Index Monthly Report October 2015 Issue

2 CSI Express Mainland stock market ended its 4-month-decline in October. CSI 300 Index was up by 10.34% to points. Shanghai Composite Index rose 10.80% to points. Small cap indices led the size indices group. Information technology again led the sector and thematic group. Average daily turnover of A-share market bounced about 40% to CNY billion. CSI Universal Bond Index increased by 1.00% to points. Index Launch in November Multi-currency indices for CSI 300 Index, CSI 500 Index, CSI Private -owned Enterprises 200 Index and CSI Environmental Protection Industry Index. Those indices include the price and total return version of CSI 300 USD, CSI 500 USD and CSI 500 HKD Index, among others. In October, no index fund product was incepted in China mainland market. In October, Deutsche Bank launched the Deutsche X-trackers CSI 300 China A-Shares Hedged Equity ETF in US. CSOP launched the CSOP China CSI 300 A-H Dynamic ETF in US and the CSOP China CSI 300 Smart ETF in Hong Kong.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Dividend P/E P/B Volatility Yield CSI 300 3, % -7.40% 40.89% 0.01% 39.21% % CSI 100 3, % -6.97% 41.54% -6.87% 39.74% % CSI 200 4, % -8.10% 40.12% 14.17% 43.45% % CSI 500 7, % -8.31% 42.09% 33.11% 43.52% % CSI 800 4, % -7.67% 41.46% 8.25% 38.98% % CSI , % -0.38% 47.99% 52.44% 45.13% % CSI Dividend 4, % -7.60% 49.22% 16.46% 41.24% % SSE Composite 3, % -7.67% 39.76% 4.57% 38.60% % SSE 50 2, % -6.02% 39.56% % 41.28% % SSE 180 7, % -7.21% 40.29% -4.46% 39.80% % SSE 380 6, % -4.69% 45.65% 29.01% 46.77% % SSE MidCap 3, % -8.99% 40.68% 5.86% 42.87% % SSE SmallCap 5, % -5.58% 47.29% 29.79% 46.52% % SSE Dividend 2, % -9.53% 42.82% 5.60% 41.71% % [*] Source: WIND CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (34.8%, 11.3%)* CSI 200 (14.7%, 16.0%) CSI 500 (15.9%, 23.4%) CSI 300 (49.6%, 27.3%) CSI 1000 (18.8%, 36.4%) CSI 800 (65.5%, 50.7%) Shanghai + Shenzhen A-Share Mkt Cap 47.4 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 (43.6%, 14.5%)** SSE MidCap (20.0%, 21.0%) SSE SmallCap (18.9%, 34.2%) SSE 180 (63.7%, 35.4%) SSE 380 (19.4%, 34.0%) Shanghai A-Share Mkt Cap 27.8 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 Summary 1M 3M 6M 12M YTD Performance 10.34% -7.40% % 40.89% 0.01% Volatility 24.26% 42.51% 47.24% 39.15% 40.85% P/E P/B EPS ROE ROA CSI % 15.26% Energy % 12.07% Materials % 6.50% Industrials % 11.90% Consumer Dis % 20.53% Consumer Sta % 19.30% Health Care % 16.58% Financials % 17.32% IT % 11.30% Telecom Serv % 11.93% Utilities % 18.08% Close Change 10.34% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % 12.16% Advanced 273 Volume Mil Lots CMB % 0.90% Average Daily CMBC % 1.78% 10 Turnover Bil CNY Declined SPD BANK % -1.44% Low Turnover Rate 12.67% Unchanged 17 INDUSTRIAL BANK % 4.88% Sector Analysis Close (right) 10/8 10/13 10/16 10/21 10/26 10/ 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 % 4.73% 4.85 Top 5 Performers Materials % 10.77% CBG % % Industrials % 11.12% NF SPACE NAVIGAT % % Consumer Dis % 10.33% EASTMONEY % % Consumer Sta % 9.67% HUNDSUN % % Health Care % 12.88% SEARAINBOW % % Financials % 8.63% Bottom 5 Performers IT % 21.71% JEREH GROUP % % Telecom Serv % 14.76% 6.24 ELION % % Utilities % 5.65% 7.44 ENLIGHT MEDIA % % HBMC % % Sector Performance GEMDALE % % Top 5 Contributors 1M 12M 80% PING AN OF CHINA % % EASTMONEY % % 60% SUNING COMMERC % % 40% CITIC SECURITIES C % % HAITONG SECURITI % % 20% Bottom 5 Contributors 0% GEMDALE % % HBMC % % SPD BANK % % ELION % % JEREH GROUP % %

5 CSI Sector & Thematic Indices: Top & Bottom Performers CSI All Share Software 32.2% CSI 300 Retailing 32.0% CSI500 Software & Services 31.0% CSI 800 Software & Services 30.8% CSI All Share Road & Rail 30.7% CSI 300 Media 3.3% CSI All Share Construction Materials 2.8% CSI Logistics Industry Stimulus 0.2% CSI All Share Capital Markets -1.0% CSI500 Commercial Services & Supplies -3.9% SSE Sector & Thematic Indices: Top & Bottom Performers SSE TMT Industry SSE Information Security SSE 380 Information Technology SSE High and New Technology Enterprisess SSE Urbanization Intelligent Transport SSE 180 Infrastructure SSE 180 Dividend SSE 180 Transportation SSE Banks SSE 180 Utilities 6.6% 6.3% 6.0% 3.1% 2.4% 27.6% 26.3% 24.1% 23.9% 23.5% CSI&SSE Style Indices CSI&SSE Fundamental Indices CSI 500 Value SSE 380 Growth CSI 500 Growth SSE 380 Value CSI 800 Growth CSI 300 Growth SSE LMS Cap Growth SSE 180 Growth CSI 800 Value SSE LMS Cap Value CSI 300 Value SSE 180 Value 15.9% 13.8% 13.7% 11.9% 11.1% 10.0% 9.9% 9.2% 8.8% 7.2% 6.8% 6.0% SSEF 300 CSI RAFI 400 CSI RAFI 600 SSEF 500 CSI RAFI 200 SSEF 200 CSI RAFI % 7.6% 6.9% 6.6% 5.3% 15.8% 14.5%

6 CSI Strategy Indices: Top & Bottom Performers CSI 500 High Beta CSI 1000 USD Hedged CSI-Axioma 300 Optimized High Predicted CSI 200 Dynamic CSI 500 Dynamic CSI 500 Volatility Control 15% CSI Dividend Volatility Control 10% CSI 300 Volatility Control 10% CSI Equity and Bond Risk Parity CSI Equity and Bond Synthetic Option Strategy 4.2% 2.5% 2.5% 1.5% 1.4% 19.2% 18.6% 17.4% 16.5% 16.4% SSE Strategy Indices: Top & Bottom Performers SSE Telecommunication Services Sector SSE Information Technology Sector Equal SSE 380 High Beta SSE Wealth Mid-Small SSE 380 Equal Weight SSE Dividend Volatility Control 10% SSE 180 Volatility Control 10% SSE 50 Volatility Control 10% SSE Equity and Bond Risk Parity SSE SH-HK AH Premium -3.0% 2.3% 2.2% 1.9% 0.8% 24.8% 23.1% 19.0% 15.7% 15.6% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Leisure CSI Hong Kong Securities Investment Thematic CSI HK 100 Consumer Discretionary CSI HK 100 Energy CSI HK 100 Information Technology CSI HK 100 Materials CSI HK 300 Utilities CSI HK 300 Infrastructure CSI HK 300 Telecommunication Services CSI HK 100 Telecommunication Services 3.9% 3.9% 3.4% 1.5% 1.3% 17.9% 16.7% 14.6% 13.0% 12.6%

7 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas China Internet 30 CSI Overseas China Internet 50 CSI Overseas Mainland Consumer CSI Overseas Mainland Information CSI Overseas enterprises ex Taiwan CSI China Mainland Enterprises 400 CSI Great China ex Taiwan CSI SH-SZ-HK 1100 Logistics CSI Overseas Mainland Telecommunication CSI Overseas enterprises ex Taiwan 3.0% 3.0% 2.1% 0.7% 0.7% 27.0% 26.7% 26.2% 26.0% 25.3% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 6.46% CSI Aggregate Bond % 7.04% CSI 1 Bond % 3.43% CSI Aggregate Bond (1-3) % 5.21% CSI Aggregate Bond (3-7) % 7.13% CSI Aggregate Bond (7-10) % 8.14% CSI Aggregate Bond (10+) % 10.48% CSI Treasury Bond % 6.22% CSI Financial Bond % 6.30% CSI Corporate Bond % 8.64% CSI Central Bank Note % 3.39% CSI Short Term Note % 4.31% CSI 50 Bond % 6.05% CSI Medium Term Note % 7.39% CSI Short Term Note % 3.45% SSE Corporate Bond % 6.14% 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: