CSI Index Monthly Report. May 2016 Issue

Transcription

1 CSI Index Monthly Report May 2016 Issue

2 CSI Express In May, mainland stock market followed a U-shape curve. CSI 300 Index was up by 0.41% to points. Shanghai Composite Index dropped 0.74% to points. Large cap indices led the size indices group. Consumer staples, information technology and rare earth led the sector and thematic group. Average daily turnover of A-share market dropped 30% to CNY 429 billion. CSI Universal Bond Index recovered 0.37% to points. CSI announced the periodical review results of CSI-managed indices, including CSI series, Shanghai Stock Exchange series and several Shenzhen Stock Exchange indices on May 30, The results are available on CSI s website ( The adjustments will be effective on June 13, Index Launch in May CSI Medium Term Note Index Series. The Series includes 1 aggregate index, 4 quality-segmented indices, 5 term-segmented indices and 2 urban-construction/non-urban-construction indices. By April, CSI Medium Term Note Index has an YTM at 4.34% and modified duration at 3.2. Index Launch in June CSI SH-HK-SZ High Dividend Yield Select Index, CSI High Dividend Yield Select Index and CSI Hong Kong High Dividend Yield Select Index. The Indices select stocks showing high dividend paid out and sustainable growth potential in relevant markets as constituents. The constituents are weighted by yield ratio. The market caps of the Indices are between CNY 1.6~3 trillion. CSI Supply-Side Structural Reform Index and SSE Supply-Side Structural Reform Index. Each Index is composed of 100 stocks from construction materials, chemicals, steel, coal, oil & gas, nonferrous metals industries. The constituents are weighted by PPI. The market caps of the Indices are CNY 4 trillion and 3.5 trillion respectively. Sector Neutral Low Volatility Indices. Following the launch of CSI 500 Sector Neutral Low Volatility Index, the SNLV version of CSI 300, CSI 800, CSI 1000, SSE 180, SSE 380 indices are upcoming. Each SNLV Index is composed of constituents of its benchmark index, which aims to provide better risk-adjusted return while targeting the same sector exposure. In May, 1 index fund product was incepted in China mainland market which tracks CSI index. Bosera launched 1 index fund tracking CSI UnionpaySmart Big Data 100 Index, which raised CNY 219 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 10.15% % % 38.75% % CSI 100 2, % 9.91% % % 36.70% % CSI 200 3, % 10.58% % % 46.14% % CSI 500 5, % 11.16% % % 47.83% % CSI 800 3, % 10.44% % % 40.30% % CSI , % 14.11% % % 50.42% % CSI Dividend 3, % 9.58% % % 41.20% % SSE Composite 2, % 8.51% % % 38.42% % SSE 50 2, % 10.85% % % 37.34% % SSE 180 6, % 9.97% % % 38.31% % SSE 380 5, % 8.88% % % 49.98% % SSE MidCap 3, % 8.50% % % 44.33% % SSE SmallCap 4, % 8.71% % % 49.64% % SSE Dividend 2, % 8.65% % % 39.76% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (34.5%, 7.3%)* CSI 200 (14.1%, 11.8%) CSI 500 (15.1%, 20.0%) CSI 300 (48.6%, 19.1%) CSI 1000 (19.0%, 33.0%) CSI 800 (63.7%, 39.1%) Shanghai + Shenzhen A-Share Mkt Cap 44.7 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 (45.7%, 11.7%)** SSE MidCap (18.8%, 21.6%) SSE SmallCap (18.1%, 29.8%) SSE 180 (64.5%, 33.3%) SSE 380 (19.2%, 30.7%) Shanghai A-Share Mkt Cap 24.8 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

4 CSI 300 Index Analysis Overview Summary 1M 3M 6M 12M YTD Performance 0.41% 10.15% % % % Volatility 17.96% 19.38% 29.37% 38.67% 30.57% P/E P/B EPS ROE ROA CSI % 13.15% Energy % 4.84% Materials % 1.48% Industrials % 10.77% Consumer Dis % 18.06% Consumer Sta % 17.45% Health Care % 17.11% Financials % 16.04% IT % 13.73% Telecom Serv % 13.16% Utilities % 16.86% Close Change 0.41% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % 2.12% Advanced 128 Volume Mil Lots CMBC % -2.26% Average Daily INDUSTRIAL BANK % 0.50% 160 Turnover Bil CNY Declined VANKE-A % 0.00% Low Turnover Rate 6.08% Unchanged 12 CMB % 1.41% Sector Analysis 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 % -5.04% Top 5 Performers Materials % -2.63% SEARAINBOW % % Industrials % -1.39% CHANGHONG % % Consumer Dis % -0.58% THTF % % Consumer Sta % 2.66% 5.78 SHANXI SECURITIE % % Health Care % 0.56% 0.74 DBN % % Financials % 1.36% Bottom 5 Performers IT % 3.40% 8.11 MEIHUA BIO % % Telecom Serv % -2.05% PGVT % % Utilities % -0.56% JZEG % % LU'AN EED % % Sector Performance XSCE % % Top 5 Contributors 10% 0% -10% -20% -30% -40% -50% -60% Bil CNY Daily Turnover Close (right) 5/3 5/6 5/11 5/16 5/19 5/24 5/27 1M 12M SEARAINBOW % % PING AN OF CHINA % % KWEICHOW MOUTA % % HAITONG SECURITI % % THTF % % Bottom 5 Contributors PGVT % % PRE % % CHANGAN AUTOMO % % MEIHUA BIO % % CMBC % %

5 CSI 500 Index Analysis Overview Summary 1M 3M 6M 12M YTD Performance -0.64% 11.16% % % % Volatility 28.73% 31.59% 38.97% 47.74% 42.08% P/E P/B EPS ROE ROA CSI % 8.00% Energy % -1.18% Materials % 3.73% Industrials % 7.63% Consumer Dis % 9.85% Consumer Sta % 8.88% Health Care % 11.28% Financials % 11.91% IT % 8.70% Telecom Serv % 7.86% Utilities % 15.04% Close Change -0.64% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily TIANQI LITHIUM % % Advanced 169 Volume Mil Lots NAVINFO % 20.99% Average Daily HITEKER % -0.21% 305 Turnover Bil CNY Declined ZTT % 5.78% Low Turnover Rate 17.04% Unchanged 26 SUC % -0.76% Sector Analysis 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 % -6.49% SHRC % % Industrials % -4.75% PUDONG JINQIAO % % Consumer Dis % -3.78% HDGF % % Consumer Sta % -4.05% 8.37 TAT FOOK TECHNO % % Health Care % -6.05% 1.62 ZHONG KE SAN HU % % Financials % -2.13% Bottom 5 Performers IT % 0.67% JSZY % % Telecom Serv % 3.70% 4.01 PJRC % % Utilities % -4.95% SCIE % % CSF % % Sector Performance SPC % % Top 5 Contributors 10% 0% -10% -20% -30% -40% -50% Bil CNY Daily Turnover Close (right) 5/3 5/6 5/11 5/16 5/19 5/24 5/27 1M 12M ZHONG KE SAN HU % % GEM % % NAVINFO % % SHRC % % YUNSHENG % % Bottom 5 Contributors PJRC % % JCET % % SPC % % CSF % % JSZY % %

6 CSI 1000 Index Analysis Overview Summary 1M 3M 6M 12M YTD Performance -1.14% 14.11% % % % Volatility 31.35% 34.94% 42.19% 50.35% 45.52% P/E P/B EPS ROE ROA CSI % 5.96% Energy % -4.10% Materials % 2.56% Industrials % 7.15% Consumer Dis % 7.07% Consumer Sta % 6.32% Health Care % 8.87% Financials % 6.39% IT % 6.79% Telecom Serv % 3.03% Utilities % 9.74% Close Change -1.14% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily DFD % % Advanced 330 Volume Mil Lots SW-TECH % % Average Daily GANFENGLITHIUM % 2.84% 606 Turnover Bil CNY Declined SFY % 5.33% Low Turnover Rate 21.64% Unchanged 64 VICTORY PRECISIO % -0.26% Sector Analysis 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 % -4.23% Top 5 Performers Materials % -5.06% ZHONGHE % % Industrials % -5.78% HUAYOU COBALT % % Consumer Dis % -3.40% GALAXY MAGNETS % % Consumer Sta % -2.58% INGENIC % % Health Care % -8.96% YANGJIE TECHNOL % % Financials % -5.08% Bottom 5 Performers IT % -3.27% SYIH % % Telecom Serv % -4.57% YNALCO % % Utilities % -4.52% XINSTEEL % % LNYL % % Sector Performance CITIC WINE % % Top 5 Contributors 10% 0% -10% -20% -30% -40% -50% Bil CNY Daily Turnover Close (right) 5/3 5/6 5/11 5/16 5/19 5/24 5/27 1M 12M ZHONGHE % % JIANGTE MOTOR % % SHAGANGGUFEN % % JPMF % % CANGZHOU MINGZH % % Bottom 5 Contributors LEO % % JIESAI % % XSSYIM % % YNALCO % % GTKG % %

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 -6.4% -0.7% -2.0% -2.1% -1.5% -0.2% % 1.3% 0.9% 3.1% 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 -6.4% -2.9% -0.7% -1.0% -1.7% -1.6% 1.5% 0.7% 1.3% 0.8% CSI Thematic Indices: Top & Bottom Performers CSI Rare Earth Industry 10.8% CSI Rare Metals Industry 6.8% CSI Animal Agriculture 6.4% CSI Information Technology Dividend 6.1% CSI Liquor 4.9% CSI Energy Sub-industry -6.2% CSI Gold Miners -6.4% CSI Energy Dividend -7.8% CSI All Share Capital Markets -7.9% CSI Coal & Consumable Fuels Equal Weight -8.3%

8 SSE Thematic Indices: Top & Bottom Performers SSE Information Technology Dividend SSE Internet of things SSE Smart Home SSE High and New Technology Enterprisess SSE Electronics SSE Private-owned Enterprises Dividend SSE Ocean Economy SSE Grand Agriculture SSE Materials Dividend SSE Energy Dividend -3.8% -3.9% -4.6% -5.9% -7.4% 3.2% 2.6% 2.3% 2.1% 8.8% CSI&SSE Style Indices SSE 180 Growth SSE LMS Cap Growth CSI 800 Growth CSI 300 Growth SSE 180 Value CSI 300 Value SSE LMS Cap Value CSI 500 Growth CSI 800 Value SSE 380 Growth CSI 500 Value SSE 380 Value -2.3% -1.9% -1.2% 1.2% 0.9% 0.7% 0.6% 0.5% 0.4% 0.2% CSI&SSE Fundamental Indices CSI RAFI % SSEF 200 CSI RAFI SSEF 500 CSI RAFI % -0.4% CSI RAFI % SSEF %

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Stability CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 Dynamic CSI 300 Volatility Weighted CSI 300 Momentum CSI 300 Low Beta CSI 300 Equal Risk Contribution Weighted CSI RAFI 300 CSI 300 Minimum Variance CSI 300 Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 High Beta CSI 300 Sector Equal Weight 0.0% % -0.3% -0.4% -0.5% -0.8% -0.9% 0.4% 0.6% 0.3% 0.3% 0.0% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Volatility Weighted 0.7% CSI 500 High Beta 0.4% CSI 500 Volatility Control 15% CSI 500 Stability CSI 500 Sector Neutral Low volatility CSI 500 Volatility Control 25% CSI 500 Equal Risk Contribution Weighted CSI 500 Low Beta CSI 500 Equal Weight CSI RAFI 500 CSI 500 Sector Equal Risk Contribution CSI 500 Dynamic % -0.3% -0.3% -0.4% -0.4% -0.7% -1.0% -1.2% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI 300 CSI 300 Leveraged 2X 0.4% CSI 300 Inversed -0.6% CSI 300 Inversed 2X -1.8% CSI 300 Futures 1.7% CSI 300 Futures Leveraged 2X 3.2% CSI 300 Futures Inversed -2.0% CSI 300 Futures Inversed 2X -4.2% CSI 100 CSI100 Leveraged 2X 0.6% 0.6% CSI100 Inversed -0.7% CSI100 Inversed 2X -1.9% CSI % CSI500 Leveraged 2X -2.4% CSI500 Inversed 0.0% CSI500 Inversed 2X -1.0% SSE 50 SSE50 Leveraged 2X 0.9% 1.3% SSE50 Inversed -1.0% SSE50 Inversed 2X -2.6% SSE 180 SSE 180 Leveraged 2X 0.4% SSE 180 Inversed -0.5% SSE 180 Inversed 2X -1.6%

11 CSI Strategy Indices: Top & Bottom Performers CSI Dividend Low Volatility CSI 100 Stability CSI 500 Volatility Weighted CSI 200 Dynamic CSI 300 Stability CSI 500 Sector Equal Risk Contribution CSI 500 Dynamic CSI 1000 USD Hedged CSI Private Placement CSI Holding-Increase & Buy-Back -3.5% -2.5% -1.0% -1.2% -1.3% 0.9% 0.8% 0.7% 0.6% 0.6% SSE Strategy Indices: Top & Bottom Performers SSE Consumer Staples Sector Equal Weight SSE SH-HK AH Premium SSE Financials Sector Equal Weight SSE Health Care Sector Equal Weight SSE Information Technology Sector Equal SSE380 Fundamental Weighted SSE Materials Sector Equal Weight SSE Private Placement SSE Holding-Increase & Buy-Back SSE Energy Sector Equal Weight -9.5% -2.8% -3.0% -3.3% -4.8% 3.2% 2.6% 1.2% 1.1% 0.9% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Information Technology CSI HK 300 Information Technology CSI HK 300 Information Industry CSI HK 300 TMT CSI HK 100 Utilities CSI HK 300 Upstream Industry CSI HK 300 Nature Resource CSI HK 300 Mainland High Beta CSI HK 100 Consumer Staples CSI HK 300 Materials -5.2% -5.3% -5.3% -5.8% -7.4% 1.3% 3.2% 3.2% 6.8% 7.9%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK 400 Information Technology CSI SH-SZ-HK 1100 Information Technology CSI Overseas enterprises ex Taiwan CSI China Mainland Enterprises 400 CSI Great China ex Taiwan Information CSI Overseas enterprises ex Taiwan -4.3% CSI Overseas Mainland Consumer Staples -4.3% CSI SH-SZ-HK 1100 Energy -4.6% CSI China Mainland Enterprises Global -4.9% CSI SH-SZ-HK 700 Energy -7.1% 6.8% 5.8% 5.3% 4.9% 4.8% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.94% CSI Aggregate Bond % 0.90% CSI 1 Bond % 1.02% CSI Aggregate Bond (1-3) % 0.96% CSI Aggregate Bond (3-7) % 0.82% CSI Aggregate Bond (7-10) % 0.10% CSI Aggregate Bond (10+) % 2.01% CSI Treasury Bond % 1.32% CSI Financial Bond % 0.28% CSI Corporate Bond % 1.09% CSI Central Bank Note % 0.93% CSI Short Term Note % 1.27% CSI 50 Bond % 0.39% CSI Medium Term Note % 0.87% CSI Short Term Note % 0.99% SSE Corporate Bond % 1.07% SSE Convertible Bond % %

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: