CSI Index Monthly Report. July 2017 Issue

Transcription

1 CSI Index Monthly Report July 2017 Issue

2 CSI Express In July, the mainland stock market followed a V-curve. CSI 300 Index was up by 1.94% to 3738 points and made an 18-month high. CSI 500 Index was up by 2.60% to 6298 points. Shanghai Composite Index climbed 2.52% to 3273 points. Materials, Energy and Financials led the sector group. Average daily turnover of A-share market increased 20% to CNY 463 billion. CSI Universal Bond Index gained 0.33% to points. In July, 4 index products which track CSI-licensed indices were incepted in China mainland market. GF launched 1 index fund tracking CSI All Share Automobiles Index, which raised CNY 25 million. E Fund launched 1 ETF tracking CSI All Share Investment Banking & Brokerage Index, which raised CNY 353 million. It also launched 1 ETF tracking CSI National Defense Industry Index, which raised CNY 316 million. Fortune SG launched 1 ETF tracking CSI Banks Index, which raised CNY 531 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 8.67% 16.67% 12.92% 10.18% % CSI 100 3, % 11.89% 23.33% 17.35% 10.38% % CSI 200 4, % 2.84% 5.45% 5.13% 12.15% % CSI 500 6, % 1.39% 1.53% 0.55% 14.23% % CSI 800 4, % 6.56% 12.06% 9.22% 10.54% % CSI , % -5.06% % % 16.44% % CSI Dividend 4, % 6.90% 19.77% 13.84% 10.36% % SSE Composite 3, % 3.75% 9.86% 5.46% 9.62% % SSE 50 2, % 12.40% 22.41% 15.36% 10.53% % SSE 180 8, % 9.73% 18.06% 12.97% 9.67% % SSE 380 5, % -0.66% 1.40% -0.35% 13.74% % SSE MidCap 3, % 5.41% 11.31% 9.11% 10.18% % SSE SmallCap 4, % 0.70% 2.08% 0.93% 14.18% % SSE Dividend 2, % 6.86% 18.70% 12.67% 9.70% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (36.7%, 15.0%)* CSI 200 (13.9%, 16.3%) CSI 500 (14.8%, 21.3%) CSI 300 (50.6%, 31.3%) CSI 1000 (15.4%, 22.7%) CSI 800 (65.4%, 52.6%) Shanghai + Shenzhen A-Share Mkt Cap 54.0 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%, 18.9%)** SSE MidCap (20.1%, 22.7%) SSE SmallCap (17.7%, 25.8%) SSE 180 (63.8%, 41.6%) SSE 380 (17.8%, 23.9%) Shanghai A-Share Mkt Cap 31.6 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 7/3 7/6 7/11 7/14 7/19 7/24 7/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.94% 8.67% 10.33% 16.67% 12.92% Volatility 9.97% 9.99% 9.20% 10.18% 8.97% P/E P/B EPS ROE ROA CSI % 13.37% Energy % 5.05% Materials % 3.58% Industrials % 10.74% Consumer Dis % 18.37% Consumer Sta % 17.50% Health Care % 16.95% Financials % 15.94% IT % 14.88% Telecom Serv % 12.20% Utilities % 18.44% Top 5 Weighted Stocks Close Change 1.94% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 4.86% Advanced 163 Volume Mil Lots CMB % 6.94% Average Daily KWEICHOW MOU % 1.99% Turnover Bil CNY Declined INDUSTRIAL BANK % 5.34% Low Turnover Rate 9.69% Unchanged 14 CMBC % 4.62% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 3.41% 2.98 Top 5 Performers Materials % 13.79% CNRE % % Industrials % 2.48% CMOC % % Consumer Dis % -3.16% XTC % % Consumer Sta % 0.22% 0.53 CHINACOSCO % % Health Care % -5.87% CHALCO % % Financials % 3.91% Bottom 5 Performers IT % -2.31% HUALAN BIO % % Telecom Serv % -1.15% FLUSH INFO % % Utilities % -0.85% UGC % % ZHONGDA CO % % Sector Performance SJEP % % Top 5 Contributors 1M 12M 40% PING AN OF CHIN % % CMB % % 30% CNRE % % 20% INDUSTRIAL BANK % % 10% PAB % % 0% Bottom 5 Contributors -10% VANKE-A % % GREE % % HIKVISION % % MIDEA GROUP % % KDX % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 7/3 7/6 7/11 7/14 7/19 7/24 7/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 2.60% 1.39% 1.19% 1.53% 0.55% Volatility 18.19% 16.65% 14.59% 14.21% 14.64% P/E P/B EPS ROE ROA CSI % 7.38% Energy % 0.22% Materials % 2.69% Industrials % 8.30% Consumer Dis % 8.58% Consumer Sta % 7.96% Health Care % 12.05% Financials % 10.46% IT % 7.15% Telecom Serv % 7.52% Utilities % 12.63% Top 5 Weighted Stocks Mkt Cap Adjusted Close Change 2.60% # of Stocks 500 Name Ticker Wgt Chg (Bil CNY) Mkt Cap Average Daily GANFENGLITHIUM % 45.10% Open Volume Mil Lots Advanced FANGDA CARBON % % Average Daily SUNWAY COMM % -4.80% High Turnover Bil CNY Declined LONGI % 30.64% Low Turnover Rate 20.83% Unchanged 19 XSSYIM % 66.00% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 13.56% Top 5 Performers Materials % 19.47% FANGDA CARBON % % Industrials % 1.62% XSSYIM % % Consumer Dis % -3.04% SHRC % % Consumer Sta % 1.76% 3.71 HYMD % % Health Care % -5.08% GANFENGLITHIUM % % Financials % 6.22% Bottom 5 Performers IT % -0.07% SW-TECH % % Telecom Serv % -3.11% TIANLI % % Utilities % -0.58% RZL % % DORON TECHNOL % % Sector Performance TALKWEB % % Top 5 Contributors 1M 12M 30% FANGDA CARBON % % XSSYIM % % 20% GANFENGLITHIUM % % 10% LONGI % % 0% ZHONGTAI CHEM % % -10% Bottom 5 Contributors -20% YUYUE MEDICAL % % BTBP % % SW-TECH % % JINKE % % TIANLI % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover Summary 1M 3M 6M 12M YTD Performance -0.28% -5.06% -9.27% % % Volatility 20.44% 18.80% 16.42% 16.42% 17.07% P/E P/B EPS ROE ROA CSI % 6.19% Energy % -2.21% Materials % 3.90% Industrials % 7.47% Consumer Dis % 7.43% Consumer Sta % 4.22% Health Care % 8.96% Financials % 5.83% IT % 6.26% Telecom Serv % 4.08% Utilities % 9.26% Close Change -0.28% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily CHINA-KINWA % 12.70% Advanced 351 Volume Mil Lots BAIYUNAIRPORT % % Average Daily TIANGUANG ZHON % 0.00% Declined 585 Turnover Bil CNY LEAD INTELLIGEN % 29.13% Low Turnover Rate 17.73% Unchanged 64 WALVAX % -0.65% Sector Analysis Close (right) 7/3 7/6 7/11 7/14 7/19 7/24 7/ 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 % 12.77% Top 5 Performers Materials % 8.18% QBCC % % Industrials % -1.22% YUNHAI METALS % % Consumer Dis % -2.22% UDC % % Consumer Sta % 4.89% MINHE % % Health Care % -3.33% TTC % % Financials % -0.14% 3.11 Bottom 5 Performers IT % -4.90% SHENGXUNDA % % Telecom Serv % -1.85% QLPIPESINDUSTR % % Utilities % -1.68% DIGITAL CHINA % % SAVINGS % % Sector Performance TLJT % % Top 5 Contributors 1M 12M 20% SCSF % % UDC % % 10% QBCC % % 0% LEAD INTELLIGEN % % -10% HUAJIN % % -20% Bottom 5 Contributors -30% KEBDT % % SHENGXUNDA % % QLPIPESINDUSTR % % DIGITAL CHINA % % Shenwu Energy Sa % %

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 -2.7% -4.9% -2.8% -2.3% -1.1% 1.1% 0.5% 0.6% 3.9% 6.8% 11.3% 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 -3.3% -4.9% -3.0% -0.6% -1.1% 2.5% 6.2% 3.2% 2.4% 4.5% 17.3% CSI Thematic Indices: Top & Bottom Performers CSI Rare Metals Industry 33.9% CSI 800 Nonferrous Metal 25.1% CSI 300 Nonferrous Metal 24.6% CSI Nonferrous Metal Industry Stimulus 22.3% CSI Rare Earth Industry 21.3% CSI Health Care Dividend -6.0% CSI M&A Prediction -6.3% CSI Biotechnology Thematic -6.5% CSI All Share Capital Markets -6.8% CSI Medical Service -7.1%

8 SSE Thematic Indices: Top & Bottom Performers SSE Select Resources Industries SSE 180 Natural Resource SSE Natural Resource SSE Supply-Side Structural Reform SSE Commodity Equity SSE Health Industry SSE Old-Age Industry SSE Information Security SSE Health Care theme SSE Health Care Dividend -3.9% -3.9% -4.3% -4.4% -7.6% 21.1% 18.5% 17.4% 17.2% 17.1% CSI&SSE Style Indices SSE 380 Value CSI 500 Value SSE 180 Value SSE LMS Cap Value SSE 180 Growth CSI 800 Value CSI 300 Value SSE LMS Cap Growth CSI 300 Growth CSI 800 Growth CSI 500 Growth SSE 380 Growth 0.3% 0.2% 0.7% 2.3% 2.3% 2.2% 1.6% 3.2% 3.0% 3.9% 4.9% CSI&SSE Fundamental Indices CSI RAFI 400 SSEF % 4.9% SSEF 500 SSEF % 4.1% CSI RAFI 600 CSI RAFI 200 CSI RAFI % 3.4% 3.7%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Dynamic CSI RAFI 300 CSI 300 Sector Neutral Low volatility CSI 300 High Beta CSI 300 Volatility Weighted CSI 300 Equal Risk Contribution Weighted CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 DownSide Risk Control CSI 300 Sector Equal Weight CSI 300 Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 Stability CSI 300 Low Beta CSI 300 Momentum 0.5% 1.0% 1.0% 2.4% 2.1% 1.8% 1.8% 1.7% 1.6% 1.6% 3.1% 3.0% 3.9% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Dynamic 4.5% CSI 500 Volatility Control 25% CSI 500 Volatility Control 15% CSI 500 Equal Weight CSI 500 High Beta CSI 500 Equal Risk Contribution Weighted CSI 500 Sector Neutral Low volatility CSI 500 Sector Equal Risk Contribution 2.5% 2.5% 2.4% 2.2% 2.0% 2.0% CSI 500 Stability CSI 500 Low Beta CSI 500 DownSide Risk Control CSI 500 Volatility Weighted 0.9% 0.7% 0.6% 0.4% [*] 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 3.4% CSI 300 Inversed - CSI 300 Inversed 2X -4.2% CSI 300 Futures 2.5% CSI 300 Futures Leveraged 2X 5.0% CSI 300 Futures Inversed -2.6% CSI 300 Futures Inversed 2X -5.3% CSI 100 CSI100 Leveraged 2X 3.4% CSI100 Inversed - CSI100 Inversed 2X -4.2% CSI % CSI500 Leveraged 2X 4.6% CSI500 Inversed -2.7% CSI500 Inversed 2X -6.0% SSE % SSE50 Leveraged 2X 6.5% SSE50 Inversed -3.3% SSE50 Inversed 2X -7.0% SSE % SSE 180 Leveraged 2X 6.3% SSE 180 Inversed -3.2% SSE 180 Inversed 2X -6.7%

11 CSI Strategy Indices: Top & Bottom Performers CSI 200 Dynamic CSI 500 Dynamic CSI 300 Dynamic CSI 500 Currency Dynamic Hedged CSI 300 Sector Neutral Low volatility CSI 500 Volatility Weighted CSI 1000 USD Hedged CSI 200 Stability CSI Holding-Increase & Buy-Back CSI Quality and Growth -3.8% -1.4% -0.5% -0.5% 0.4% 5.2% 4.5% 3.9% 3.3% 3.0% SSE Strategy Indices: Top & Bottom Performers SSE Materials Sector Equal Weight SSE Energy Sector Equal Weight SSE 180 Dynamic SSE Consumer Staples Sector Equal Weight SSE Financials Sector Equal Weight SSE Holding-Increase & Buy-Back SSE Telecommunication Services Sector SSE Information Technology Sector Equal SSE Consumer Discretionary Sector Equal SSE Health Care Sector Equal Weight -1.2% -2.0% -2.7% -3.2% -4.3% 5.3% 5.1% 4.2% 10.7% 16.8% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HKT Mainland Real Estate CSI Hong Kong Connect High Dividend Yield CSI HK 100 Information Technology CSI Hong Kong Private-owned Mainland CSI HK 300 Information Technology CSI HK 300 Consumer Staples CSI HK 100 Consumer Staples CSI HK 100 Materials CSI HK 300 Leisure -0.7% CSI HK 300 Health Care -1.2% 0.3% 0.3% 0.0% 13.3% 11.6% 10.9% 10.8% 20.2%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK 700 Materials CSI China Mainland Enterprises 1000 Materials CSI SH-SZ-HK 1100 Materials CSI Overseas Mainland Consumer CSI SH-SZ-HK 400 Materials CSI SH-SZ-HK 1100 Health Care CSI SH-SZ-HK 400 Health Care CSI Great China ex Taiwan Health Care CSI China Mainland Enterprises 400 Health CSI Overseas Mainland Health Care -4.7% -4.8% -4.9% -5.0% -8.4% 15.0% 14.8% 14.5% 13.9% 13.8% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.45% CSI Aggregate Bond % 0.11% CSI 1 Bond % 1.88% CSI Aggregate Bond (1-3) % 1.56% CSI Aggregate Bond (3-7) % 0.43% CSI Aggregate Bond (7-10) % -1.33% CSI Aggregate Bond (10+) % -3.61% CSI Treasury Bond % -1.62% CSI Financial Bond % 0.45% CSI Corporate Bond % 1.29% CSI Short Term Note % 2.45% CSI 50 Bond % -0.22% CSI Medium Term Note % 0.53% CSI Short Term Note % 2.07% SSE Corporate Bond % -0.51% SSE Convertible Bond % 8.75%

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: