CSI Index Monthly Report. September 2015 Issue

Transcription

1 CSI Index Monthly Report September 2015 Issue

2 CSI Express Mainland stock market went sideways in September. CSI 300 Index was down by 4.86% to points. Shanghai Composite Index dropped 4.78% to points. Mid cap indices lagged behind in size indices group. Financials, information technology and health care led the sector and thematic group. Average daily turnover of A-share market shrank for the third consecutive month to CNY billion. CSI Universal Bond Index increased by 0.50% to points. CSI and CME Group signed an index development and product licensing agreement. Under this agreement, CME Group will grant CSI a license to use certain CME Group market data for the purposes of developing, calculating and disseminating commodity indexes. The first product to be jointly developed will be the CSI CME Group China Commodity Consumption Index. CSI has developed indexes based on multiple types of asset classes in different markets for over ten years. Index Launch in October SSE 180 Carbon Efficient Index. The Index consists of those constituent companies of SSE 180 Index whose carbon footprints (provided by Trucost) are below certain level. In each sector, each constituent s weight is inversely proportional to its carbon footprint. The Index is the first in China which focuses on carbon efficiency. The market cap of the Index is CNY 15 trillion. CSI AEF Ecology 100 Index. The Index consists of the largest 100 stocks in ecological restoration, air pollution control, sewage treatment and environmental governance industries. This Index is customized by Alashan Ecological Foundation (AEF) and is the first index customized by an NPO in China. CSI and the index licensee will donate part of the license fee and fund management fee to AEF. SSE China Manufacture 2025 Index. The Index consists of 20 stocks from each of the 10 segments such as new generation information technology, high-end CNC machine tools and robotics, aerospace equipment, marine engineering equipment and high-tech ships, etc. The Index is equally weighted. The market cap of the Index is CNY 2.75 trillion. SSE Internet Plus Index. The Index consists of 20 stocks from each of the following categories: Internet education, Internet finance, Internet travel, Internet agriculture, Internet healthcare, internet manufacture and other high-internet-penetration industry. The Index is equally weighted. The market cap of the Index is CNY 1.64 trillion. SSE Internet of Things Index. The Index consists of up to 50 stocks which provide the basis for networking hardware, software, network services, contents or operation and maintenance services. The weight cap on individual constituent is 5%. The market cap of the Index is CNY 487 billion. CSI Integration of Military and Civilian Index. The Index consists of up to 80 companies engaging in military business whose major shareholder or actual controller are not among Top 10 Chinese military group corporations. The weight cap on individual constituent is 7%. The market cap of the Index is CNY 605 billion. In September, 1 index fund products was incepted in China mainland market which track CSI-licensed indices. Zhongrong launched 1 structured fund tracking CSI Liquor Index, which raised CNY 203 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Dividend P/E P/B Volatility Yield CSI 300 3, % % 30.68% -9.36% 38.75% % CSI 100 2, % % 34.84% % 39.56% % CSI 200 4, % % 24.33% -0.04% 42.36% % CSI 500 6, % % 24.56% 15.05% 42.34% % CSI 800 3, % % 29.07% -3.24% 38.31% % CSI , % % 26.12% 28.20% 49.84%* % CSI Dividend 3, % % 36.61% 4.14% 40.47% % SSE Composite 3, % % 29.14% -5.62% 38.12% % SSE 50 2, % % 32.50% % 41.13% % SSE 180 7, % % 31.62% % 39.50% % SSE 380 5, % % 30.56% 12.40% 45.73% % SSE MidCap 3, % % 29.55% -5.32% 42.09% % SSE SmallCap 4, % % 31.29% 12.81% 45.48% % SSE Dividend 2, % % 32.92% -4.38% 41.33% % [*] Source: WIND CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (36.9%, 15.2%)* CSI 200 (14.7%, 14.9%) CSI 500 (15.5%, 20.1%) CSI 300 (51.6%, 30.2%) CSI 1000 (17.9%, 29.6%) CSI 800 (67.1%, 50.3%) Shanghai + Shenzhen A-Share Mkt Cap 41.8 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 (45.2%, 21.1%)** SSE MidCap (20.0%, 20.1%) SSE 180 (65.3%, 41.2%) SSE SmallCap (18.2%, 30.5%) Shanghai A-Share Mkt Cap 25.0 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 Risk-Return Analysis 1M 3M 6M 12M YTD Performance -4.86% % % 30.68% -9.36% Volatility 32.92% 53.45% 46.67% 38.67% 41.98% P/E P/B EPS ROE ROA CSI % 15.23% Energy % 12.07% Materials % 6.52% Industrials % 11.87% Consumer Dis % 20.35% Consumer Sta % 19.30% Health Care % 16.58% Financials % 17.32% IT % 11.31% Telecom Serv % 11.93% Utilities % 18.08% Top 5 Weighted Stocks Close Change -4.86% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % -1.42% Advanced 46 Volume Mil Lots CMB % 4.22% Average Daily CMBC % -1.40% 235 Turnover Bil CNY Declined SPD BANK % 11.16% Low Turnover Rate 13.33% Unchanged 19 INDUSTRIAL BANK % -0.14% Sector Analysis Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -7.52% Top 5 Performers Materials % % LETV % % Industrials % -7.04% BYD % % Consumer Dis % -5.93% WANGSU % % Consumer Sta % -4.12% CNS % % Health Care % -3.95% AISINO CORPORATI % % Financials % -1.83% Bottom 5 Performers IT % -2.09% YCC % % Telecom Serv % -9.37% XINXING PIPES % % Utilities % % HUAWEN MEDIA % % XINWEI GROUP % % Sector Performance GLODON % % Top 5 Contributors 100% 80% 60% 40% 20% 0% -20% Bil CNY Daily Turnover Close (right) 9/1 9/8 9/11 9/16 9/21 9/24 9/29 1M 12M SPD BANK % % CMB % % LETV % % HAITONG SECURITI % % BYD % % Bottom 5 Contributors CITIC SECURITIES C % % HUAWEN MEDIA % % XINXING PIPES % % SDIC POWER % % CSICL % %

5 CSI Sector & Thematic Indices: Top & Bottom Performers CSI All Share Road & Rail CSI All Share Internet Software & Services CSI All Share Health Care Equipment & CSI All Share Health Care Equipment & CSI Internet Platform CSI500 Food & Beverage CSI Defense CSI All Share Aerospace & Defense CSI All Share Capital Markets CSI Iron & Steel Industry Stimulus -16.4% -16.7% -17.2% -17.2% -20.2% 10.7% 10.6% 8.3% 7.2% 5.3% SSE Sector & Thematic Indices: Top & Bottom Performers SSE Shanghai's Development 1.6% SSE Banks 0.0% SSE Culture Industries 0.0% SSE Culture & Sport Leisure 0.0% SSE Shanghai enterprises -0.7% SSE 180 Utilities -10.8% SSE Grand Agriculture -10.8% SSE Small Medium SOE's Reform -11.2% SSE 180 Telecommunication Services -11.4% SSE National Defense Industry -12.7% CSI&SSE Style Indices CSI&SSE Fundamental Indices SSE 180 Value SSE 180 Growth SSE LMS Cap Growth SSE LMS Cap Value CSI 300 Growth CSI 800 Growth CSI 300 Value CSI 500 Growth SSE 380 Growth CSI 800 Value CSI 500 Value SSE 380 Value -2.7% -2.8% -3.0% -3.5% -3.6% -3.8% -4.2% -4.5% -4.7% -4.8% -7.2% -7.2% CSI RAFI 50 SSEF 200 CSI RAFI 200 SSEF 500 CSI RAFI 600 CSI RAFI 400 SSEF % -3.4% -4.4% -3.7% -5.0% -7.3% -6.0%

6 CSI Strategy Indices: Top & Bottom Performers CSI Equity and Bond Risk Parity CSI Dividend Volatility Control 10% CSI 300 Volatility Control 10% CSI Equity and Bond Synthetic Option Strategy CSI 500 Volatility Control 15% CSI 500 Dynamic CSI 500 USD Hedged CSI 800 Momentum CSI 300 Sector Equal Risk Contribution CSI 500 Low Beta -7.5% -7.5% -7.6% -7.8% -8.1% -0.5% -0.6% -1.1% -1.3% 0.3% SSE Strategy Indices: Top & Bottom Performers SSE SH-HK AH Premium SSE Equity and Bond Risk Parity SSE 50 Volatility Control 10% SSE 180 Volatility Control 10% SSE Dividend Volatility Control 10% SSE 380 Low Beta SSE Energy Sector Equal Weight SSE Consumer Staples Sector Equal Weight SSE Materials Sector Equal Weight SSE Telecommunication Services Sector -11.6% -7.2% -7.4% -7.9% -8.7% -0.3% -0.5% -0.7% 0.2% 1.8% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Utilities CSI HK 300 Midstream Industry CSI HK 300 Utilities CSI Hong Kong Listed Tradable Mainland CSI HK 200 Momentum CSI HK 300 Leisure CSI HK 300 Upstream Industry CSI HK 300 Energy CSI HK 300 Nature Resource CSI HK 100 Energy -10.9% -11.6% -12.3% -12.7% -13.8% 2.8% 2.3% 2.0% 1.3% 1.3%

7 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas enterprises ex Taiwan Utilities CSI Overseas Mainland Materials CSI SH-SZ-HK Mainland Insurance CSI Overseas China Urbanization CSI Overseas China Brand 80 CSI SH-SZ-HK 400 Energy CSI SH-SZ-HK 700 Consumer Staples CSI SH-SZ-HK Gaming Entertainment CSI Overseas enterprises ex Taiwan Energy CSI Overseas Mainland Energy -11.4% -11.9% -12.4% -14.1% -14.1% -0.1% 2.5% 1.8% 0.1% 0.1% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 5.41% CSI Aggregate Bond % 5.82% CSI 1 Bond % 3.15% CSI Aggregate Bond (1-3) % 4.58% CSI Aggregate Bond (3-7) % 5.93% CSI Aggregate Bond (7-10) % 6.36% CSI Aggregate Bond (10+) % 8.18% CSI Treasury Bond % 4.91% CSI Financial Bond % 4.95% CSI Corporate Bond % 7.65% CSI Central Bank Note % 3.47% CSI Short Term Note % 3.94% CSI 50 Bond % 4.73% CSI Medium Term Note % 6.15% CSI Short Term Note % 3.16% SSE Corporate Bond % 5.72% 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: