CSI Index Monthly Report. September 2017 Issue

Transcription

1 CSI Index Monthly Report September 2017 Issue

2 CSI Express In September, the mainland stock market climbed up and then adjusted in the last week. CSI 300 Index was up by 0.38% to 3837 points. CSI 500 Index was up by 2.05% to 6603 points. Shanghai Composite Index dropped 0.35% to 3349 points. Small caps outperformed large caps. Telecommunication Services and Consumer Staples led the sector group. Average daily turnover of A-share market further increased to CNY 545 billion. CSI Universal Bond Index gained 0.43% to points. Index release announcement in September CSI Gold Industry index. The Index is composed of A-Share stocks which are related to gold mining, gold smelt, gold sales and others stocks benefit from gold industry. The free float market cap of the Index is CNY 270 billion. CSI Prefabricated Building Index. The Index is composed of A-Share stocks which are related to prefabricated building business, including but not limited to steel structure, building material and architectural decoration. The free float market cap of the Index is CNY 84 billion. CSI Atmospheric Prevention & Control Index. The Index is composed of A-Share stocks which are relate to Atmospheric Prevention & Control business, including but not limited to atmospheric pollutant control equipment & catalyst manufacturer, Engineering Procurement Construction and Operation. The free float market cap of the Index is CNY 138 billion. CSI Home Decoration & Appliances Index. The Index is composed of A-Share stocks which are related to home decoration & appliances business, including but not limited to steel structure, building material and architectural decoration. The free float market cap of the Index is CNY 621 billion. CSI Cycle Low Volatility Index selects 100 stocks which are characterized by good liquidity and low volatility as constituents from cyclical industry. The Index is weighted by the inverse of volatility. The free float market cap of the Index is CNY 2.24 trillion. CSI Growth Low Volatility Index selects 100 stocks which are characterized by high growth and low volatility as constituent. The Index is weighted by the inverse of volatility. The free float market cap of the Index is CNY 2.62 trillion. CSI Consumption Low Volatility Index selects 60 stocks which are characterized by good liquidity and low volatility as constituents from Consumer Staples and Consumer Discretionary sector. The Index is weighted by the inverse of volatility. The free float market cap of the Index is CNY 0.92 trillion. CSI PingAn 5y CGB Benchmark Index. The Index is composed of Chinese government bonds of which the issue term is 5 year and the remaining term to maturity is among 4 to 5 year. CSI PingAn 10y CGB Benchmark Index. The Index is composed of Chinese government bonds of which the issue term is 10 year and the remaining term to maturity is among 8 to 10 year. CSI PingAn 5-10y CGB Benchmark Index. The Index is composed of Chinese government bonds of which the issue term is 5, 7 and 10 year. CSI Beijing 50 Index. The Index selects the 50 largest listed companies which are Beijing local state-owned enterprises or culture and technology industry enterprises headquartered in Beijing as the constituents. The free float market cap of the Index is CNY 0.8 trillion.

3 In September, 5 index products which track CSI-licensed indices were incepted in China mainland market. GF launched 1 feeder fund to its CSI All Share Household Appliances ETF, which raised CNY 35 million. China Southern launched 1 feeder fund to its CSI SWS Non-ferrous Metal ETF, which raised CNY 26 million. China Universal launched 1 index fund (LOF) tracking CSI 300 Index, which raised CNY 513 million. Bosera launched 1 enhanced index fund tracking CSI 500 Index, which raised CNY 383 million. Yinhua launched 1 enhanced index fund tracking CSI All Share Health Care Index, which raised CNY 80 million.

4 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 4.63% 17.93% 15.90% 9.51% % CSI 100 3, % 4.46% 23.90% 20.27% 9.87% % CSI 200 4, % 4.95% 7.73% 8.20% 11.60% % CSI 500 6, % 7.58% 4.35% 5.42% 13.89% % CSI 800 4, % 5.45% 13.79% 12.77% 9.90% % CSI , % 5.05% -9.45% -7.63% 15.89% % CSI Dividend 4, % 3.20% 19.03% 15.63% 9.58% % SSE Composite 3, % 4.90% 11.46% 7.90% 9.00% % SSE 50 2, % 4.80% 22.73% 16.85% 10.40% % SSE 180 8, % 5.03% 19.25% 14.85% 9.18% % SSE 380 5, % 5.77% 4.40% 3.71% 13.15% % SSE MidCap 3, % 5.41% 13.76% 11.59% 9.55% % SSE SmallCap 4, % 7.18% 5.65% 5.17% 13.81% % SSE Dividend 2, % 2.42% 17.84% 13.42% 8.97% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (35.8%, 12.2%)* CSI 200 (13.6%, 14.0%) CSI 500 (14.9%, 22.5%) CSI 300 (49.4%, 26.2%) CSI 1000 (15.6%, 24.7%) CSI 800 (64.2%, 48.7%) Shanghai + Shenzhen A-Share Mkt Cap 56.7 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 (42.9%, 15.6%)** SSE MidCap (19.8%, 21.1%) SSE SmallCap (17.8%, 28.4%) SSE 180 (62.7%, 36.8%) SSE 380 (17.9%, 25.7%) Shanghai A-Share Mkt Cap 32.7 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

5 CSI 300 Index Analysis Overview Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 0.38% 4.63% 11.01% 17.93% 15.90% Volatility 4.31% 9.21% 9.39% 9.50% 8.93% P/E P/B EPS ROE ROA CSI % 13.38% Energy % 5.05% Materials % 3.58% Industrials % 10.76% Consumer Dis % 18.37% Consumer Sta % 17.49% Health Care % 16.95% Financials % 15.94% IT % 14.79% Telecom Serv % 12.19% Utilities % 18.44% Top 5 Weighted Stocks Close Change 0.38% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % -3.34% Advanced 102 Volume Mil Lots CMB % -4.49% Average Daily KWEICHOW MOU % 5.39% Turnover Bil CNY Declined INDUSTRIAL BANK % -2.04% Low Turnover Rate 8.60% Unchanged 10 MIDEA GROUP % 7.78% Sector Analysis Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -0.26% 1.41 Top 5 Performers Materials % 0.01% 1.77 QHSLI % % Industrials % -1.62% BYD % % Consumer Dis % 3.86% 8.89 UGC % % Consumer Sta % 7.53% ENLIGHT MEDIA % % Health Care % 3.34% 6.33 FIBERHOME % % Financials % -1.89% Bottom 5 Performers IT % 2.65% HUACE FILM & TV % % Telecom Serv % 6.88% NETWORK H % % Utilities % -1.80% THTF % % RURAL COMMERC % % Sector Performance SUNNER % % Top 5 Contributors 60% 50% 40% 30% 20% 10% 0% -10% Bil CNY Daily Turnover Close (right) 9/1 9/6 9/11 9/14 9/19 9/22 9/27 1M 12M YILI % % BOE % % ZTE % % HR % % MIDEA GROUP % % Bottom 5 Contributors CSCEC % % CMB % % GREE % % CMBC % % HAITONG SECURI % %

6 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 9/1 9/6 9/11 9/14 9/19 9/22 9/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 2.05% 7.58% 3.15% 4.35% 5.42% Volatility 10.98% 14.57% 15.22% 13.86% 14.17% P/E P/B EPS ROE ROA CSI % 7.36% Energy % 0.23% Materials % 2.66% Industrials % 8.25% Consumer Dis % 8.58% Consumer Sta % 7.96% Health Care % 12.06% Financials % 10.44% IT % 7.11% Telecom Serv % 7.63% Utilities % 12.63% Top 5 Weighted Stocks Close Change 2.05% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily GANFENGLITHIUM % 14.34% Volume Mil Lots Advanced LONGI % 37.77% Average Daily SUNWAY COMM % 1.01% Turnover Bil CNY Declined HTGD % 20.79% Low Turnover Rate 22.18% Unchanged 17 FANGDA CARBON % -5.71% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -1.90% 1.36 Top 5 Performers Materials % 2.53% FINGU % % Industrials % 3.34% SILAN % % Consumer Dis % 1.92% LONGI % % Consumer Sta % 4.41% SUNGROW POWE % % Health Care % 1.77% WESTONE % % Financials % 0.33% Bottom 5 Performers IT % 2.17% JRCB % % Telecom Serv % 10.25% TAT FOOK TECHN % % Utilities % -1.09% ITG % % CRT % % Sector Performance SHRC % % Top 5 Contributors 1M 12M 30% LONGI % % GANFENGLITHIUM % % 20% HTGD % % 10% GEM % % 0% HUAYOU COBALT % % -10% Bottom 5 Contributors -20% TAT FOOK TECHN % % CRT % % SHRC % % ITG % % XSSYIM % %

7 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 9/1 9/6 9/11 9/14 9/19 9/22 9/27 Summary 1M 3M 6M 12M YTD Performance 2.12% 5.05% -5.95% -9.45% -7.63% Volatility 11.03% 15.09% 16.63% 15.87% 16.00% P/E P/B EPS ROE ROA CSI % 6.19% Energy % -2.22% Materials % 3.98% Industrials % 7.49% Consumer Dis % 7.47% Consumer Sta % 4.28% Health Care % 8.97% Financials % 5.83% IT % 6.28% Telecom Serv % 3.94% Utilities % 9.21% Close Change 2.12% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 30.62% Advanced 497 Volume Mil Lots TIANGUANG ZHON % 7.28% Average Daily BAIYUNAIRPORT % -2.31% Declined 459 Turnover Bil CNY CHINA-KINWA % -4.70% Low Turnover Rate 20.07% Unchanged 44 SHANYING PAPER % 10.26% 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 % 2.03% 6.88 Top 5 Performers Materials % 2.17% GUOCHUANG % % Industrials % 2.23% GYFZ % % Consumer Dis % 2.32% ZTBH % % Consumer Sta % 3.12% AXNMC % % Health Care % 2.11% EOPTOLINK % % Financials % 1.18% Bottom 5 Performers IT % 3.41% EAST STEEL TOW % % Telecom Serv % 7.02% QHT % % Utilities % -2.29% TIANZE INFO % % XPD % % Sector Performance WESTERN REGIO % % Top 5 Contributors 1M 12M 10% WALVAX % % QBCC % % 0% CTM % % HUATIAN TECH % % -10% PENGXIN MINING % % Bottom 5 Contributors -20% EAST STEEL TOW % % HUAJIN % % UDC % % YNALCO % % QHT % %

8 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 -1.7% -2.2% -0.7% 1.1% 1.0% 0.6% 2.8% 2.0% 2.9% 4.6% 8.6% 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 -0.4% -0.6% -0.4% -2.2% -2.3% -2.3% 3.1% 2.5% 4.9% 8.2% 11.6% CSI Thematic Indices: Top & Bottom Performers CSI New Energy Vehicles CSI Energy Internet CSI Telecommunication Services Dividend CSI Automobile Industry Stimulus CSI CN Mainland New Energy CSI Gold Miners CSI Insurance Thematic CSI Industrials Dividend CSI All Share Capital Markets CSI Iron & Steel Industry Stimulus -3.7% -4.0% -5.0% -5.1% -6.0% 10.5% 9.7% 9.5% 8.8% 8.1%

9 SSE Thematic Indices: Top & Bottom Performers SSE Information Security SSE Intelligent Manufacturing SSE High and New Technology Enterprisess SSE Urbanization Green Cities SSE Consumer Staples Dividend SSE Central State-owned Enterprises 50 SSE 180 Financial SSE 180 Infrastructure SSE Free Trade Zone SSE 180 Transportation -2.4% -2.4% -3.2% -3.9% -4.1% 7.8% 7.6% 7.4% 7.2% 11.6% CSI&SSE Style Indices CSI 500 Growth SSE 380 Growth CSI 800 Growth SSE 380 Value SSE LMS Cap Growth CSI 500 Value SSE 180 Growth CSI 300 Growth CSI 800 Value CSI 300 Value SSE LMS Cap Value SSE 180 Value -2.0% -1.0% -0.3% 1.2% 1.1% 0.9% 0.3% 0.3% 0.1% 1.9% 4.4% 4.1% CSI&SSE Fundamental Indices SSEF % CSI RAFI % CSI RAFI 600 CSI RAFI 200 SSEF 500 CSI RAFI 50 SSEF % -1.0% -1.3% -1.5% -1.8%

10 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Stability CSI 300 Sector Equal Risk Contribution CSI 300 Sector Neutral Low volatility CSI 300 Equal Risk Contribution Weighted CSI 300 Momentum CSI 300 Low Beta CSI 300 DownSide Risk Control CSI 300 Sector Equal Weight CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 Equal Weight CSI 300 Volatility Weighted CSI 300 High Beta CSI RAFI 300 CSI 300 Dynamic -1.5% -0.6% -0.1% 0.4% 1.3% 0.9% 0.7% 0.7% 0.6% 0.5% 0.4% 0.4% 0.4% 0.4% 0.3% 0.3% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 High Beta 3.5% CSI 500 Sector Equal Risk Contribution CSI 500 Sector Neutral Low volatility CSI 500 Dynamic CSI 500 DownSide Risk Control CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Equal Weight CSI 500 Equal Risk Contribution Weighted CSI 500 Stability 2.5% 2.3% 2.3% 2.0% 2.0% 2.0% 1.8% 1.8% 1.8% CSI 500 Low Beta 1.4% CSI 500 Volatility Weighted 0.1% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

11 CSI & SSE Leveraged/Inversed Indices CSI 300 CSI 300 Leveraged 2X 0.4% 0.4% CSI 300 Inversed CSI 300 Inversed 2X -0.9% -0.3% CSI 300 Futures CSI 300 Futures Leveraged 2X 0.7% 1.4% CSI 300 Futures Inversed CSI 300 Futures Inversed 2X -1.5% -0.7% CSI 100 CSI100 Leveraged 2X 0.2% 0.0% CSI100 Inversed CSI100 Inversed 2X -0.1% -0.6% CSI % CSI500 Leveraged 2X 3.7% CSI500 Inversed -2.0% CSI500 Inversed 2X -4.4% SSE % SSE50 Leveraged 2X -3.5% SSE50 Inversed 1.7% SSE50 Inversed 2X 2.9% SSE % SSE 180 Leveraged 2X -1.8% SSE 180 Inversed SSE 180 Inversed 2X 0.8% 1.3%

12 CSI Strategy Indices: Top & Bottom Performers CSI 500 High Beta CSI Holding-Increase & Buy-Back CSI 500 Sector Equal Risk Contribution CSI Earnings Quality CSI 500 Sector Neutral Low volatility CSI 100 Dynamic CSI Equal Weight 90 CSI 300 Currency Dynamic Hedged CSI 200 Dynamic CSI 300 Dynamic -0.3% -0.4% -0.5% -1.1% -1.5% 3.5% 2.9% 2.5% 2.4% 2.3% SSE Strategy Indices: Top & Bottom Performers SSE Telecommunication Services Sector SSE Consumer Staples Sector Equal Weight SSE Information Technology Sector Equal SSE 380 High Beta SSE Consumer Discretionary Sector Equal SSE50 Fundamental Weighted SSE 50 Equal Weight SSE Telecommunication Services Sector SSE 180 Dynamic SSE Financials Sector Equal Weight -2.1% -2.2% -2.5% -2.6% -2.7% 2.7% 2.5% 4.5% 5.2% 7.0% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Mainland Low Beta CSI HKT Mainland Real Estate CSI HK 100 Health Care CSI HKT Mainland Consumption CSI HK 100 Consumer Staples CSI Hong Kong State-owned Mainland -3.4% CSI HK 300 Transportation -3.4% CSI HK 100 Telecommunication Services -4.3% CSI HKT Mainland Banking -4.6% CSI HKT Mainland Financials -4.8% 9.5% 9.5% 8.9% 8.7% 13.6%

13 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Consumer Staples CSI SH-SZ-HK Gaming Entertainment CSI Overseas China Consumer Staples CSI Overseas enterprises ex Taiwan China Low Carbon CSI SH-SZ-HK 1100 Logistics -2.4% CSI SH-SZ-HK 1100 Transportation -3.1% CSI Overseas Mainland Telecommunication -3.2% CSI Overseas enterprises ex Taiwan -3.2% CSI SH-SZ-HK Mainland Insurance -5.1% 11.5% 11.3% 10.1% 10.0% 10.0% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.75% CSI Aggregate Bond % 0.36% CSI 1 Bond % 2.45% CSI Aggregate Bond (1-3) % 1.96% CSI Aggregate Bond (3-7) % 0.74% CSI Aggregate Bond (7-10) % -1.11% CSI Aggregate Bond (10+) % -4.06% CSI Treasury Bond % -1.49% CSI Financial Bond % 0.64% CSI Corporate Bond % 1.71% CSI Short Term Note % 3.19% CSI 50 Bond % -0.04% CSI Medium Term Note % 0.48% CSI Short Term Note % 2.64% SSE Corporate Bond % -0.19% SSE Convertible Bond % 7.60%

14 Disclaimer All information contained herein is provided for reference only, and is not intended to provide professional advice and shall not be relied upon in that regard. China Securities Index Co., Ltd. ( CSI ) makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and accepts no liability (whether in tort or contract or otherwise) whatsoever to any person for any damages or loss of any nature arising from or as a result of reliance on any of the contents of this document, or any errors or omission in its contents. The copyright of this document belongs to CSI. 中证, 中证指数, 中证行业分类, CSI, CSI 300, 沪深 300 指数 and other trademarks in relation to CSI and its products and services are exclusively owned by the Shanghai Stock Exchange and/or CSI. Without written authorization from the Shanghai Stock Exchange and/or CSI, no institution or individual may use any such trademarks in any form. 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: