CSI Index Monthly Report. January 2017 Issue

Transcription

1 CSI Index Monthly Report January 2017 Issue

2 CSI Express In January, mainland stock market followed an N-curve. CSI 300 Index was up by 2.35% to points. Shanghai Composite Index climbed 1.79% to points. Large cap led the size index group. Energy, financials and materials led the sector and thematic group. Average daily turnover of A-share market further contracted to CNY 372 billion. CSI Universal Bond Index dropped 0.12% to points. Index Launch in January China Strategic Emerging Industries Composite Index and China Strategic Emerging Industries Component Index. The Composite Index is composed of stocks which belongs to new generation of information technology industry, biological industry, space intelligence perception, energy storage and distributed, high-end materials, new energy vehicles, high-end equipment manufacturing and other related companies benefitting from Strategic Emerging Industries. The Component Index is composed of the top 100 stocks, among the constituents of the Composite Index, by the overall rank of daily average trading value, daily average total market capitalization, operating income growth rate and ROE. Index Launch in February CSI 300 Equal Weight Monthly Rebalance Index. This Index is composed of the same constituents of CSI 300 Index. CSI CICC 300 Equal Weight Volatility Control Index. This Index comprises equity, cash and treasury. The index is rebalanced monthly based on the relationship between the realized volatility of the underlying equity index and the target risk level, in order to limit the risk exposure of the index portfolio and to obtain better risk-adjusted return. SSE 3-5 Year Collateralizable Medium-High Grade Credit Bond Index. The Index is composed of enterprise bonds and corporate bonds trading on Shanghai Stock Exchange, with remaining term to final maturity between 3 and 5 years. This Index is weighted by amount outstanding. CSI Return-based Value Strategy Index. The Index seeks to find stocks with high return of capital and relatively low valuation. In January, 5 index products which track CSI-licensed indices were incepted in China mainland market. E Fund launched 1 ETF tracking CSI Overseas China Internet 50 Index, which raised CNY 301 million. SWS MU launched 1 enhanced index fund tracking CSI 500 Index, which raised CNY 216 million. HFT launched 1 index fund tracking SSE Cycle Industry Bond Index, which raised CNY 209 million. GF launched 1 ETF tracking CSI Environmental Protection Industry Index, which raised CNY 679 million. Pingan UOB launched 1 index fund tracking CSI SH-HK-SZ High Dividend Yield Select Index, which raised CNY 249 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 1.55% 15.00% 2.35% 16.05% % CSI 100 3, % 3.70% 17.13% 3.40% 14.61% % CSI 200 4, % -2.15% 11.30% 0.49% 20.36% % CSI 500 6, % -3.54% 13.80% -0.64% 23.24% % CSI 800 3, % 0.00% 14.62% 1.46% 17.63% % CSI , % -7.91% 11.10% -3.36% 25.79% % CSI Dividend 4, % 3.14% 21.19% 2.90% 16.11% % SSE Composite 3, % 1.89% 15.40% 1.79% 16.66% % SSE 50 2, % 5.05% 19.82% 3.37% 15.00% % SSE 180 7, % 4.04% 18.25% 3.25% 15.55% % SSE 380 5, % -1.82% 15.00% -0.03% 22.44% % SSE MidCap 3, % 2.48% 15.77% 3.06% 18.29% % SSE SmallCap 4, % -2.30% 14.36% 0.06% 22.55% % SSE Dividend 2, % 4.40% 20.05% 3.73% 15.43% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (33.7%, 11.3%)* CSI 200 (12.9%, 11.0%) CSI 500 (14.7%, 16.2%) CSI 300 (46.6%, 22.3%) CSI 1000 (17.0%, 27.1%) CSI 800 (61.3%, 38.5%) Shanghai + Shenzhen A-Share Mkt Cap 51.5 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 (42.5%, 14.6%)** SSE MidCap (18.9%, 17.4%) SSE SmallCap (17.9%, 22.7%) SSE 180 (61.4%, 31.9%) SSE 380 (18.5%, 23.2%) Shanghai A-Share Mkt Cap 29.3 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 1/3 1/6 1/11 1/16 1/19 1/24 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 2.35% 1.55% 5.74% 15.00% 2.35% Volatility 7.23% 10.51% 11.08% 16.33% 7.23% P/E P/B EPS ROE ROA CSI % 13.36% Energy % 5.05% Materials % 3.31% Industrials % 10.83% Consumer Dis % 17.63% Consumer Sta % 17.27% Health Care % 17.44% Financials % 15.96% IT % 13.65% Telecom Serv % 13.01% Utilities % 18.00% Top 5 Weighted Stocks Close Change 2.35% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 3.05% Advanced 177 Volume Mil Lots INDUSTRIAL BANK % 5.76% Average Daily CMBC % 1.87% Turnover Bil CNY Declined CMB % 7.95% Low Turnover Rate 5.61% Unchanged 9 KWEICHOW MOU % 3.07% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 6.39% 5.21 Top 5 Performers Materials % 6.42% JCCL % % Industrials % 2.05% CHALCO % % Consumer Dis % 1.64% 6.09 BOE % % Consumer Sta % 2.56% 5.02 ACC % % Health Care % 1.05% 1.61 HEBEI STEEL COR % % Financials % 2.67% Bottom 5 Performers IT % 0.49% 1.38 FIRST CAPITAL % % Telecom Serv % -5.49% SUC % % Utilities % 2.49% 2.25 SUNNER % % 2345 NETWORK H % % Sector Performance PEOPLE.CN % % Top 5 Contributors 1M 12M 40% CMB % % BOE % % 30% INDUSTRIAL BANK % % 20% PING AN OF CHIN % % 10% MIDEA GROUP % % 0% Bottom 5 Contributors -10% CHINA UNICOM % % BOW % % WESTERN SECUR % % KDX % % WANGSU % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 1/3 1/6 1/11 1/16 1/19 1/24 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -0.64% -3.54% 0.34% 13.80% -0.64% Volatility 15.20% 13.75% 13.86% 23.49% 15.20% P/E P/B EPS ROE ROA CSI % 7.37% Energy % 0.39% Materials % 2.54% Industrials % 8.22% Consumer Dis % 8.96% Consumer Sta % 8.42% Health Care % 11.68% Financials % 11.33% IT % 6.86% Telecom Serv % 7.56% Utilities % 13.57% Top 5 Weighted Stocks Close Change -0.64% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily ZTT % 6.55% Volume Mil Lots Advanced JINKE % 4.39% Average Daily AJ % 11.20% Turnover Bil CNY Declined JINYUGROUP % -0.51% Low Turnover Rate 12.16% Unchanged 26 NANSHAN ALUMIN % 12.30% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 4.04% 5.09 Top 5 Performers Materials % 3.40% YCC % % Industrials % 0.11% STSS % % Consumer Dis % -0.93% CH ZN&GE % % Consumer Sta % -0.81% CRT % % Health Care % -0.99% NISCO % % Financials % -0.77% Bottom 5 Performers IT % -3.20% CENTURY HUATO % % Telecom Serv % -0.86% GREATWALL COM % % Utilities % -2.61% SITI % % JLGF % % Sector Performance MEIJIN ENERGY % % Top 5 Contributors 1M 12M 40% YCC % % STSS % % 30% CH ZN&GE % % 20% NANSHAN ALUMIN % % 10% AJ % % 0% Bottom 5 Contributors -10% SUNWAY COMM % % SITI % % GALAXY BIOMEDI % % CENTURY HUATO % % GREATWALL COM % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover Summary 1M 3M 6M 12M YTD Performance -3.36% -7.91% -3.47% 11.10% -3.36% Volatility 21.04% 17.81% 16.45% 26.04% 21.04% P/E P/B EPS ROE ROA CSI % 6.27% Energy % 0.26% Materials % 3.61% Industrials % 7.63% Consumer Dis % 6.98% Consumer Sta % 4.96% Health Care % 8.80% Financials % 5.32% IT % 6.50% Telecom Serv % 3.95% Utilities % 10.56% Close Change -3.36% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily BICON % 1.55% Advanced 235 Volume Mil Lots IMIC % 0.00% Average Daily HUAJIN % 8.32% Declined 713 Turnover Bil CNY WALVAX % -0.18% Low Turnover Rate 12.61% Unchanged 52 HUAYOU COBALT % 9.50% Sector Analysis Close (right) 1/3 1/6 1/11 1/16 1/19 1/ 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 % 0.18% Top 5 Performers Materials % -1.68% LEEJUN % % Industrials % -2.45% TONGLI CEMENT % % Consumer Dis % -3.04% SUNYES % % Consumer Sta % -3.24% WEST CONSTRUC % % Health Care % -4.35% SNC % % Financials % -0.89% Bottom 5 Performers IT % -4.14% THUNDERSOFT % % Telecom Serv % -3.70% NEWCAPEC % % Utilities % -2.56% WLGF % % ALLWINNERTECH % % Sector Performance JSGF % % Top 5 Contributors 1M 12M 30% LEEJUN % % HUAYOU COBALT % % 20% EASPRING % % 10% HUAJIN % % AHTHGC % % 0% Bottom 5 Contributors -10% EAST % % ALLWINNERTECH % % ZZYL % % SUNWODA % % THUNDERSOFT % %

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 -4.0% -2.7% -0.3% -0.7% -0.6% -0.2% -1.5% 0.3% 0.9% 2.2% 4.0% 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 -2.3% -1.4% 1.8% 1.8% 1.2% 0.6% 1.2% 2.9% 3.6% 4.5% 5.6% CSI Thematic Indices: Top & Bottom Performers CSI Iron & Steel Industry Stimulus 9.6% CSI 300 Nonferrous Metal 8.6% CSI Shipbuilding Industry Stimulus 6.3% CSI Upstream resources Industry 6.3% CSI Nonferrous Metal Industry Stimulus 6.0% CSI Software & Services -4.7% CSI Big Data Industry -4.8% CSI Computer -5.2% CSI All Share Capital Markets -5.7% CSI Internet Platform -5.7%

8 SSE Thematic Indices: Top & Bottom Performers SSE Energy Dividend SSE 180 Natural Resource SSE National Defense Industry SSE Materials Dividend SSE Upstream Industry SSE Smart Home SSE Internet Finance SSE Information Technology Dividend SSE TMT Industry SSE Telecommunication Services Dividend -7.5% -2.2% -2.5% -2.8% -2.8% 9.2% 8.4% 6.6% 5.4% 5.1% CSI&SSE Style Indices SSE 180 Value CSI 300 Value SSE LMS Cap Value CSI 800 Value SSE 180 Growth SSE LMS Cap Growth CSI 500 Value CSI 300 Growth SSE 380 Value CSI 800 Growth SSE 380 Growth CSI 500 Growth -1.1% -0.4% 2.0% 1.7% 1.7% 1.2% 2.6% 2.9% 3.9% 3.8% 3.7% 3.5% CSI&SSE Fundamental Indices CSI RAFI 200 SSEF 200 CSI RAFI % 3.8% 3.7% SSEF 500 CSI RAFI % 3.2% CSI RAFI 400 SSEF % 0.5%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Sector Neutral Low volatility CSI 300 Stability CSI 300 Volatility Weighted CSI RAFI 300 CSI 300 Momentum CSI 300 Low Beta CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 Equal Weight CSI 300 DownSide Risk Control CSI 300 Dynamic CSI 300 High Beta -0.1% 2.4% 3.8% 3.6% 3.5% 3.2% 3.0% 2.6% 2.3% 1.9% 1.7% 1.6% 1.2% 1.1% 0.6% 0.1% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI 500 CSI 500 Volatility Weighted CSI 500 Sector Neutral Low volatility CSI 500 Sector Neutral Low volatility CSI 500 Low Beta CSI 500 Stability CSI 500 DownSide Risk Control CSI 500 Equal Risk Contribution Weighted CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Sector Equal Risk Contribution CSI 500 Equal Weight CSI 500 Dynamic CSI 500 High Beta -2.9% -2.2% -0.6% -0.5% -0.5% -0.6% -0.7% -1.0% 2.2% 1.5% 1.5% 1.1% 0.9% 0.4% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X 4.4% CSI 300 Inversed -2.2% CSI 300 Inversed 2X -4.8% CSI 300 Futures 3.2% CSI 300 Futures Leveraged 2X 6.5% CSI 300 Futures Inversed -3.2% CSI 300 Futures Inversed 2X -6.3% CSI % CSI100 Leveraged 2X 6.5% CSI100 Inversed -3.2% CSI100 Inversed 2X -6.7% CSI 500 CSI500 Leveraged 2X -1.8% -0.6% CSI500 Inversed CSI500 Inversed 2X 0.6% 0.6% SSE % SSE50 Leveraged 2X 6.5% SSE50 Inversed -3.2% SSE50 Inversed 2X -6.7% SSE % SSE 180 Leveraged 2X 6.2% SSE 180 Inversed -3.1% SSE 180 Inversed 2X -6.4%

11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Stability CSI 300 Sector Neutral Low volatility CSI 300 Stability CSI 300 Volatility Weighted CSI Dividend Low Volatility CSI 500 USD Hedged CSI 500 Dynamic CSI Holding-Increase & Buy-Back CSI 500 High Beta CSI 1000 USD Hedged -4.4% -1.6% -2.2% -2.7% -2.9% 4.4% 3.8% 3.6% 3.5% 3.2% SSE Strategy Indices: Top & Bottom Performers SSE 180 Stability SSE 180 Volatility Weighted SSE 180 Sector Neutral Low volatility SSE 180 Fundamental Weighted SSE Financials Sector Equal Weight SSE 380 Dynamic -1.2% SSE 380 High Beta -2.1% SSE Holding-Increase & Buy-Back -2.2% SSE Information Technology Sector Equal -3.5% SSE Telecommunication Services Sector -4.5% 4.4% 4.0% 4.0% 3.9% 3.9% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Materials CSI Hong Kong Listed Tradable Hong Kong CSI HK 100 Health Care CSI Hong Kong Private-owned Mainland CSI HK 300 Nature Resource CSI HK 300 Low Beta CSI Hong Kong Securities Investment Thematic CSI Hong Kong Listed Tradable Mainland CSI Hong Kong Listed Tradable Mainland CSI HK 100 Materials 2.1% 1.9% 1.8% 1.4% 0.0% 8.9% 8.6% 8.6% 8.6% 16.5%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Information CSI Overseas enterprises ex Taiwan CSI Overseas Mainland Enterprises ex HK CSI Overseas China Internet 30 CSI Overseas China Internet 50 CSI SH-SZ-HK 700 Telecommunication Services CSI China Mainland Enterprises Global CSI SH-SZ-HK Internet CSI SH-SZ-HK 700 Utilities CSI SH-SZ-HK 700 Information Technology -0.6% -0.8% -1.1% -1.6% -2.7% 10.0% 9.8% 9.7% 9.3% 9.2% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % -0.12% CSI Aggregate Bond % -0.22% CSI 1 Bond % 0.31% CSI Aggregate Bond (1-3) % 0.33% CSI Aggregate Bond (3-7) % -0.02% CSI Aggregate Bond (7-10) % -1.06% CSI Aggregate Bond (10+) % -1.62% CSI Treasury Bond % -0.86% CSI Financial Bond % -0.36% CSI Corporate Bond % 0.47% CSI Short Term Note % 0.43% CSI 50 Bond % -0.67% CSI Medium Term Note % 0.25% CSI Short Term Note % 0.36% SSE Corporate Bond % 0.02% SSE Convertible Bond % 0.79%

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: