CSI Index Monthly Report. January 2016 Issue

Transcription

1 CSI Index Monthly Report January 2016 Issue

2 CSI Express Mainland stock market suffered one more plunge in the beginning of Although the Circuit Breaker was dismantled in 4 days, the market continued falling to the end 2014 level. CSI 300 Index was down by 21.04% to points. Shanghai Composite Index dropped 22.65% to points. Large cap indices led the size indices group. Consumption, energy and financials led the sector and thematic group. Average daily turnover of A-share market further dropped to CNY 539 billion. CSI Universal Bond Index increased by 0.21% to points. Index Launch in February CSI CIB Medium-High Grade Credit Bond Index. The Index consists of RMB-denominated short term commercial papers, medium term notes, enterprise and corporate bonds listed on Exchange and Inter-bank market with credit rating AA or above. Each type of the 4 securities accounts for 5%, 5%, 80% and 10% of the total amount. CSI 500 Sector Neutral Low Volatility Index. The Index consists of 150 low volatility stocks from all the constituents of CSI 500 Index. Individual sector weights are set equal to those of CSI 500. However, each constituent s weight in each sector is inversely proportional to its volatility. The market cap of the Index is CNY 1.92 trillion. CSI Film & Television Index. The Index consists of the largest 50 stocks from film & TV content providers (including film and television production, network drama production and animation production, etc.), publishers, distributors, and other companies benefiting from the film & TV industry. The weight cap on individual constituent is 10%. The market cap of the Index is CNY 574 billion. CSI Yingda Energy Internet Equal Weight Index. The Index consists of up to 80 equal-weighted securities relating to the following segments: distributed PV, wind power equipment, energy storage, local grid, power automation system, information system, UHV, charging infrastructure, intelligent instrument and derivative financial platforms based on new energy. The market cap of the Index is CNY 876 billion. CSI Hong Kong Dividend Equal Weight Investment Index. The Index selects 30 equal-weighted securities with high dividend yield, stable dividend payment and good liquidity from the eligible HKEx-listed securities under the Shanghai-Hong Kong Stock Connect. The market cap of the Index is HKD 4.45 trillion. In January, 2 index fund product were incepted in China mainland market which tracks CSI index. China Universal launched 1 index fund tracking CSI Precision Medicine Index, which raised CNY 1.85 billion. Changxin launched 1 index fund tracking CSI Energy Internet Index, which raised CNY 243 million. By the end of 2015, there are 357 index funds and ETFs benchmarked to CSI-managed indices in China mainland market, of which the total AUM is CNY 444 billion. There are 95 index funds and ETFs tracking CSI-managed indices in overseas market, of which the total AUM is CNY 46.6 billion (USD 7.2 billion).

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 2, % % % % 40.03% % CSI 100 2, % % % % 38.78% % CSI 200 3, % % % % 46.46% % CSI 500 5, % % -2.90% % 47.24% % CSI 800 3, % % % % 40.96% % CSI , % % 12.82% % 49.61% % CSI Dividend 3, % % -0.64% % 42.70% % SSE Composite 2, % % % % 39.50% % SSE 50 1, % % % % 39.55% % SSE 180 6, % % % % 39.80% % SSE 380 4, % % -4.75% % 49.84% % SSE MidCap 2, % % % % 44.90% % SSE SmallCap 4, % % -6.13% % 49.54% % SSE Dividend 2, % % % % 41.88% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (36.0%, 10.9%)* CSI 200 (14.6%, 13.6%) CSI 500 (15.2%, 18.9%) CSI 300 (50.6%, 24.6%) CSI 1000 (18.6%, 31.6%) CSI 800 (65.8%, 43.5%) Shanghai + Shenzhen A-Share Mkt Cap 40.2 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 (46.4%, 16.0%)** SSE MidCap (19.1%, 21.4%) SSE SmallCap (18.0%, 28.4%) SSE 180 (65.5%, 37.4%) SSE 380 (19.1%, 29.5%) Shanghai A-Share Mkt Cap 22.8 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 1/4 1/7 1/12 1/15 1/20 1/25 1/28 Summary 1M 3M 6M 12M YTD Performance ###### % % % % Volatility 48.98% 36.08% 39.28% 39.97% 48.98% 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 % 17.54% Health Care % 17.10% Financials % 16.04% IT % 11.89% Telecom Serv % 13.16% Utilities % 16.98% Close Change % # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % % Volume Mil Lots Advanced 3 CMBC % % Average Daily INDUSTRIAL BANK % % Turnover Bil CNY Declined VANKE-A % 0.00% Low Turnover Rate 9.59% Unchanged 11 SPD BANK % -7.50% 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 % % Top 5 Performers Materials % % XSCE % % Industrials % % GEMDALE % % Consumer Dis % % LU'AN EED % % Consumer Sta % % HUALAN BIO % % Health Care % % YANZHOUCOAL % % Financials % % Bottom 5 Performers IT % % SHIJI INFORMATIO % % Telecom Serv % % HUAWEN MEDIA % % Utilities % % SMI HOLDING % % WASU % % Sector Performance YONYOU % % Top 5 Contributors 1M 12M 10% GEMDALE % % XSCE % % 0% LU'AN EED % % -10% HUALAN BIO % % YANZHOUCOAL % % -20% Bottom 5 Contributors -30% CMB % % CMBC % % INDUSTRIAL BANK % % CITIC SECURITIES % % PING AN OF CHIN % %

5 CSI Sector & Thematic Indices: Top & Bottom Performers CSI Coal & Consumable Fuels CSI 300 Food & Beverage CSI 300 Banks CSI 800 Banks CSI Banks CSI 800 Media CSI500 Media CSI Shipbuilding Industry Stimulus CSI All Share Capital Markets CSI All Share Marine -34.0% -34.1% -34.5% -36.0% -37.3% -13.0% -13.5% -13.9% -13.9% -13.9% SSE Sector & Thematic Indices: Top & Bottom Performers SSE 380 Energy SSE Banks SSE Energy Dividend SSE Energy SSE 180 Consumer Staples SSE Telecom Svc SSE Information Security SSE Telecommunication Services Dividend SSE TMT Industry SSE 180 Telecommunication Services -32.7% -33.2% -33.2% -33.2% -33.4% -11.8% -13.6% -13.9% -16.6% -17.1% CSI&SSE Style Indices CSI&SSE Fundamental Indices SSE 180 Value CSI 300 Value SSE LMS Cap Value CSI 800 Value SSE 180 Growth SSE LMS Cap Growth CSI 300 Growth CSI 800 Growth SSE 380 Value CSI 500 Growth CSI 500 Value SSE 380 Growth -16.7% -17.3% -18.6% -19.5% -19.6% -20.7% -21.0% -21.4% -26.5% -26.9% -27.7% -28.6% CSI RAFI 50 CSI RAFI 200 SSEF 200 CSI RAFI 600 SSEF 500 CSI RAFI 400 SSEF % -17.0% -17.9% -19.1% -19.4% -27.2% -29.3%

6 CSI Strategy Indices: Top & Bottom Performers CSI Equity and Bond Risk Parity CSI Dividend Volatility Control 10% CSI 300 Volatility Control 10% CSI 500 Volatility Control 15% CSI Equity and Bond Synthetic Option Strategy CSI 500 Stability CSI 500 USD Hedged CSI 500 Equal Risk Contribution Weighted CSI 500 High Beta CSI 1000 USD Hedged -28.3% -28.5% -28.5% -29.4% -30.7% -0.8% -5.1% -5.3% -9.1% -10.4% SSE Strategy Indices: Top & Bottom Performers SSE Equity and Bond Risk Parity SSE 50 Volatility Control 10% SSE Dividend Volatility Control 10% SSE SH-HK AH Premium SSE 180 Volatility Control 10% SSE Consumer Discretionary Sector Equal -28.8% SSE 380 Momentum -29.1% SSE 380 High Beta -30.0% SSE Information Technology Sector Equal -30.6% SSE Telecommunication Services Sector -33.2% -0.2% -4.7% -4.9% -5.2% -5.4% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Telecommunication Services CSI HK 300 Telecommunication Services CSI HK 300 TMT CSI HK 300 Information Industry CSI HK 100 Information Technology CSI HK 300 High Beta CSI Hong Kong Listed Tradable Mainland CSI HK 300 Mainland High Beta CSI HK 100 Materials CSI HK 100 Health Care -17.6% -17.8% -18.4% -21.0% -21.9% -2.7% -2.9% -5.2% -5.2% -5.3%

7 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI ASEAN 80 CSI Overseas enterprises ex Taiwan CSI Overseas Mainland Telecommunication CSI Overseas Mainland Health Care CSI Overseas enterprises ex Taiwan Energy CSI SH-SZ-HK 1100 Midstream Industry CSI SH-SZ-HK 700 Information Technology CSI SH-SZ-HK 700 Health Care CSI China Mainland Enterprises Global CSI China Mainland Enterprises Global -25.7% -26.2% -26.3% -26.7% -26.8% -1.1% -1.9% -1.9% -3.3% -4.9% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.22% CSI Aggregate Bond % 0.22% CSI 1 Bond % 0.13% CSI Aggregate Bond (1-3) % 0.13% CSI Aggregate Bond (3-7) % 0.13% CSI Aggregate Bond (7-10) % 0.06% CSI Aggregate Bond (10+) % 1.10% CSI Treasury Bond % 0.34% CSI Financial Bond % 0.01% CSI Corporate Bond % 0.32% CSI Central Bank Note % 0.04% CSI Short Term Note % 0.26% CSI 50 Bond % 0.00% CSI Medium Term Note % 0.40% CSI Short Term Note % 0.17% SSE Corporate Bond % 0.36% 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: