CSI Index Monthly Report. December 2017 Issue

Transcription

1 CSI Index Monthly Report December 2017 Issue

2 CSI Express In December, the mainland stock market went east in general. CSI 300 Index was up by 0.62% to 4031 points. CSI 500 Index was down by 0.20% to 6251 points. Shanghai Composite Index dropped 0.30% to 3307 points. Large caps outperformed small caps. Consumers and Health Care led the sector group. Average daily turnover of A-share market further dropped 25% to CNY 372 billion. CSI Universal Bond Index gained 0.25% to points. Through the whole year, CSI 300 was up by 21.78%, CSI 500 was down by 0.20%, CSI 1000 lost 17.35% and Shanghai Composite gained 6.56%. Index release announcement in December CSI 300 Green Leading Stock Index excludes the companies in high pollution, high energy consuming and overcapacity industries from CSI 300 members, and then selects the top 100 stocks as constituents by the Green Leading Scores calculated from green performance, green income, negative news and environmental sanctions. The free float market cap of the Index is CNY 4.98 trillion. CSI Competitive Advantage Index selects the top 50 stocks which have high market shares, high ROIC and strong competitive advantage as the constituents, based on four dimensions measurement including intangible assets, conversion cost, cost advantage and network effects. The free float market cap of the Index is CNY 2.05 trillion. CSI Equity Incentive Index is composed of A-Share stocks involving ongoing or coming capital event of equity incentive. The free float market cap of the Index is CNY 0.37 trillion. CSI Negotiable Certificate of Deposit AAA Index is composed of Interbank Negotiable Certificates listed on Inter-bank market, with issuer credit rating of AAA, issue term of 1 year or less, and listed over 7 days. CSI High Grade Negotiable Certificate of Deposit Index is composed of Interbank Negotiable Certificates listed on Inter-bank market, with issuer credit rating of AA+ or above, issue term of 1 year or less, and listed over 7 days. CSI CSAM Target Date Indices consists of 3 indices with target year 2025, According to how much human capital and financial capital people own in their life cycle, CSI CSAM Target Date Indices make asset allocation at corresponding risk tolerance level. In this way, the index series provide one-stop nest egg underlyings for people with different retirement years. The indices are customized for China Southern Asset Management (CSAM). CSI Quality and Growth Low Volatility Index selects 50 stocks which are characterized by high profitability, persistent earnings, abundant cash flow, growth and low volatility as constituents from A-share stocks. The Index is weighted by the inverse of volatility. CSI Founder-Run Companies Index selects the stocks of the largest 50 founder-run companies as the constituents. CSI Investment-Clock Allocation Index constructs multi-asset portfolio based on the Black-Litterman model. In this model, estimation of assets future performance is conducted according to the Investment-Clock theory. The index provides a benchmark for conservative asset allocation strategy. In December, 7 index products which track CSI-licensed indices were incepted in China mainland market. Huatai Securities AM launched 1 index fund tracking CSI Dividend Low Volatility Index, which raised CNY 614

3 million. China Universal launched 1 ETF tracking SSE Shanghai's Development Index, which raised CNY 4.76 billion. It also launched 1 index fund (LOF) tracking CSI All Share Investment Banking & Brokerage Index, which raised CNY 255 million. CCB Principal launched 1 ETF tracking SSE 50 Index, which raised CNY 211 million. Ping An-UOB launched 1 ETF tracking CSI 300 Index, which raised CNY 5.72 billion. It also launched 1 enhanced index fund tracking CSI 300 Index, which raised CNY 211 million. GF launched 1 ETF tracking CSI Media Index, which raised CNY 275 million. In December, 2 index products which track CSI-licensed indices were listed in ex-china mainland markets. Samsung launched 1 ETF tracking CSI 300 Index on KRX. Ping An launched 1 ETF tracking CSI PingAn 5-10y CGB Benchmark Index on HKEX. By end 2017, there are 502 mutual fund products tracking CSI-licensed indices globally with total AUM CNY 498 billion.

4 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 4, % 5.07% 21.78% 21.78% 16.05% % CSI 100 4, % 8.27% 30.21% 30.21% 14.61% % CSI 200 4, % -0.97% 7.15% 7.15% 20.36% % CSI 500 6, % -5.34% -0.20% -0.20% 23.24% % CSI 800 4, % 2.12% 15.16% 15.16% 17.63% % CSI , % % % % 25.79% % CSI Dividend 4, % 1.68% 17.57% 17.57% 16.11% % SSE Composite 3, % -1.25% 6.56% 6.56% 16.66% % SSE 50 2, % 7.04% 25.08% 25.08% 15.00% % SSE 180 8, % 4.21% 19.69% 19.69% 15.55% % SSE 380 5, % -3.04% 0.56% 0.56% 22.44% % SSE MidCap 3, % -0.41% 11.13% 11.13% 18.29% % SSE SmallCap 4, % -4.44% 0.50% 0.50% 22.55% % SSE Dividend 2, % 2.55% 16.31% 16.31% 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)

5 CSI 300 Index Analysis Overview 0 12/1 12/6 12/11 12/14 12/19 12/22 12/27 Summary 1M 3M 6M 12M YTD Performance 0.62% 5.07% 9.93% 21.78% 21.78% Volatility 13.90% 12.50% 10.91% 9.93% 9.93% P/E P/B EPS ROE ROA CSI % 13.10% Energy % 4.87% Materials % 3.39% Industrials % 10.81% Consumer Dis % 19.05% Consumer Sta % 18.38% Health Care % 16.96% Financials % 15.89% IT % 15.42% Telecom Serv % 12.19% Utilities % 11.74% Close Change 0.62% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % 0.09% Advanced 118 Volume Mil Lots KWEICHOW MOUTA % 10.54% Average Daily CMB % 0.10% 171 Turnover Bil CNY Declined MIDEA GROUP % 8.30% Low Turnover Rate 7.16% Unchanged 11 INDUSTRIAL BANK % -2.86% 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 % -0.01% 0.11 Top 5 Performers Materials % -1.11% SEARAINBOW % % Industrials % 0.30% 1.63 XCMG % % Consumer Dis % 3.90% WULIANGYE % % Consumer Sta % 11.89% FOSUN PHARMA % % Health Care % 4.90% 9.78 GOLDWIND % % Financials % -2.17% Bottom 5 Performers IT % 0.71% 2.97 DR.PENG % % Telecom Serv % -0.48% DHCC % % Utilities % -3.82% LJZ % % GOODIX % % Sector Performance CCSC % % Top 5 Contributors 90% 80% 70% 60% 50% 40% 30% 20% 10% -10% 0% Bil CNY Daily Turnover 1M 12M Close (right) KWEICHOW MOUTA % % WULIANGYE % % YILI % % MIDEA GROUP % % SEARAINBOW % % Bottom 5 Contributors CHINA UNICOM % % BOW % % WESTERN SECURIT % % KDX % % WANGSU % %

6 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 0 12/1 12/6 12/11 12/14 12/19 12/22 12/27 Summary 1M 3M 6M 12M YTD Performance -0.20% -5.34% 1.84% -0.20% -0.20% Volatility 14.21% 15.34% 15.01% 14.47% 14.47% P/E P/B EPS ROE ROA CSI % 7.93% Energy % 0.55% Materials % 2.50% Industrials % 9.21% Consumer Dis % 8.26% Consumer Sta % 7.03% Health Care % 12.12% Financials % 12.54% IT % 7.90% Telecom Serv % 5.35% Utilities % 13.33% Close Change -0.20% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily FANGDA CARBON % 15.11% 194 Volume Mil Lots Advanced JINYU % 16.22% Average Daily CJS % 17.70% Turnover Bil CNY Declined 286 NAVINFO % -0.86% Low Turnover Rate 11.34% Unchanged 20 CCHN % 7.51% 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 % -0.42% Top 5 Performers Materials % 1.16% 0.98 TSINGTAO BREWER % % Industrials % -0.11% HUAHAIPHARM % % Consumer Dis % -0.61% SILAN % % Consumer Sta % 5.20% CQGAS % % Health Care % 2.84% LITTLESWAN % % Financials % -1.51% Bottom 5 Performers IT % -0.83% BLUEFOCUS % % Telecom Serv % -0.52% SL PHARM % % Utilities % 0.19% G-BITS % % SLH % % Sector Performance BTBP % % Top 5 Contributors 1M 12M 30% CJS % % FANGDA CARBON % % 20% HUAHAIPHARM % % 10% JINYU % % 0% KELUN PHARMA % % -10% Bottom 5 Contributors -20% SUNWAY COMM % % SITI % % GALAXY BIOMEDICA % % CENTURY HUATON % % CGT GROUP % %

7 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 0 12/1 12/6 12/11 12/14 12/19 12/22 12/27 Summary 1M 3M 6M 12M YTD Performance -1.90% % -6.01% % % Volatility 14.71% 15.95% 15.56% 15.98% 15.98% P/E P/B EPS ROE ROA CSI % 5.17% Energy % -7.30% Materials % 2.54% Industrials % 6.46% Consumer Dis % 6.08% Consumer Sta % 5.05% Health Care % 8.56% Financials % 5.95% IT % 6.40% Telecom Serv % 4.34% Utilities % 8.93% Close Change -1.90% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % -9.56% Advanced 337 Volume Mil Lots SCSF % 12.31% Average Daily HUATIAN TECH % 3.27% Declined 631 Turnover Bil CNY MCST % -1.72% Low Turnover Rate 10.92% Unchanged 32 VATTI % 10.20% 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 % -0.39% Top 5 Performers Materials % -1.04% BIRD % % Industrials % -2.72% DONLINKS % % Consumer Dis % -0.12% GOLDCARD % % Consumer Sta % 1.28% 2.82 KINGEE CULTURE % % Health Care % 0.60% SUNSEA % % Financials % -1.91% Bottom 5 Performers IT % -1.89% DALIAN INSULATOR % % Telecom Serv % 0.59% YONGJI PRINTING % % Utilities % -1.94% TONZE % % NATIONZ % % Sector Performance LAWTON DEVELOPM % % Top 5 Contributors 1M 12M 10% ANKEBIO % % SCSF % % 0% BIRD % % -10% SUNSEA % % TIGERMED % % -20% Bottom 5 Contributors -30% EAST % % ALLWINNERTECH % % ZZYL % % SUNWODA % % THUNDERSOFT % %

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 -0.3% -0.4% -1.0% -1.2% -2.2% -1.1% -1.2% -2.2% 1.3% 2.3% 7.2% 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 -4.3% -0.3% 0.0% -0.3% -1.7% -2.5% 0.1% 2.3% 4.3% 8.0% CSI Thematic Indices: Top & Bottom Performers CSI Liquor CSI Food & Beverage Sub-industry CSI Alcoholic Drink CSI Food & Beverage CSI China Mainland Consumer CSI Trust Thematic CSI 800 Financials(ex Banks) CSI Securities and Insurance CSI All Share Capital Markets SSE Securities Sector -5.2% -5.3% -5.3% -7.2% -9.0% 10.9% 10.6% 10.2% 8.9% 7.1%

9 SSE Thematic Indices: Top & Bottom Performers SSE Select Consumption Industries SSE Consumer Staples Dividend SSE Consumer 80 SSE Consumer 50 SSE Urbanization Consumption SSE Supply-Side Structural Reform SSE Urbanization Intelligent Transport SSE 180 Infrastructure SSE Internet Finance SSE Telecommunication Services Dividend -3.4% -3.8% -4.4% -5.2% -7.7% 5.6% 5.5% 5.3% 4.8% 4.8% CSI&SSE Style Indices SSE 380 Value CSI 500 Value CSI 300 Growth CSI 800 Growth SSE 380 Growth SSE LMS Cap Growth SSE 180 Growth CSI 800 Value CSI 300 Value CSI 500 Growth SSE LMS Cap Value SSE 180 Value -0.8% 1.4% 1.3% 1.3% 1.2% 1.2% 0.9% 0.8% 0.6% 0.5% 0.2% 2.1% CSI&SSE Fundamental Indices CSI RAFI % CSI RAFI % CSI RAFI % CSI RAFI 400 SSEF 500 SSEF 300 SSEF % -0.7% -0.7% -0.7%

10 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Momentum CSI 300 Stability CSI 300 Low Beta CSI 300 Volatility Control 20% CSI 300 Sector Equal Weight CSI 300 Volatility Control 10% CSI 300 DownSide Risk Control CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Risk Contribution CSI 300 Equal Weight CSI 300 Dynamic CSI 300 Volatility Weighted CSI 300 High Beta CSI 300 Sector Neutral Low volatility -0.1% -0.3% -0.8% -1.3% 0.6% 1.5% 0.8% 0.6% 0.6% 0.5% 0.5% 0.2% 3.1% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Low Beta 1.1% CSI 500 Stability CSI 500 Sector Neutral Low volatility CSI 500 Sector Equal Risk Contribution CSI 500 DownSide Risk Control CSI 500 Volatility Weighted 0.8% 0.5% 0.4% 0.2% 0.2% CSI 500 Equal Risk Contribution Weighted CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 High Beta -0.1% -0.1% -0.2% -0.3% CSI 500 Equal Weight -0.7% CSI 500 Dynamic -1.2% [*] 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 0.6% 0.7% CSI 300 Inversed -0.7% CSI 300 Inversed 2X -1.8% CSI 300 Futures 1.3% CSI 300 Futures Leveraged 2X 2.5% CSI 300 Futures Inversed CSI 300 Futures Inversed 2X -3.1% CSI 100 CSI100 Leveraged 2X 0.7% 0.7% CSI100 Inversed -0.8% CSI100 Inversed 2X -2.1% CSI % CSI500 Leveraged 2X -0.9% CSI500 Inversed 0.1% CSI500 Inversed 2X SSE 50 SSE50 Leveraged 2X -0.8% -0.2% -0.1% SSE50 Inversed 0.0% SSE50 Inversed 2X SSE 180 SSE 180 Leveraged 2X -1.1% -0.5% -0.3% SSE 180 Inversed SSE 180 Inversed 2X 0.3% 0.0%

12 CSI Strategy Indices: Top & Bottom Performers CSI 300 Momentum CSI 800 Momentum CSI 300 Currency Dynamic Hedged CSI 100 Stability CSI 300 Stability CSI 300 Volatility Weighted CSI Holding-Increase & Buy-Back CSI 300 High Beta CSI 300 Sector Neutral Low volatility CSI 1000 USD Hedged -1.3% -2.1% 2.2% 2.1% 1.9% 1.5% 3.1% SSE Strategy Indices: Top & Bottom Performers SSE Consumer Staples Sector Equal Weight SSE Health Care Sector Equal Weight SSE 180 Momentum SSE 380 Momentum SSE 380 Stability SSE 180 Volatility Weighted SSE 180 Sector Neutral Low volatility SSE Holding-Increase & Buy-Back SSE 180 High Beta SSE Telecommunication Services Sector -1.8% -2.2% -2.3% -2.9% -4.7% 2.8% 2.7% 2.7% 2.6% 5.4% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Health Care CSI HK 100 Consumer Staples CSI HK 300 Consumer Staples CSI HK 300 Health Care CSI HK 300 Leisure CSI HK 300 Utilities CSI Hong Kong Securities Investment Thematic CSI HK 100 Utilities CSI HK 100 Telecommunication Services CSI HK 300 Telecommunication Services -0.8% -1.1% -1.1% -1.2% 14.8% 14.7% 13.0% 11.3% 9.6%

13 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Consumer Staples CSI Overseas China Consumer Staples CSI Overseas enterprises ex Taiwan CSI China Mainland Enterprises 400 CSI SH-SZ-HK 400 Consumer Staples CSI SH-SZ-HK 400 Utilities CSI Great China ex Taiwan Utilities CSI China Mainland Enterprises 1000 Utilities CSI China Mainland Enterprises 400 Utilities CSI Overseas Mainland Utilities -3.1% -3.2% -3.3% -4.4% -6.5% 14.3% 13.7% 12.8% 12.4% 12.1% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.28% CSI Aggregate Bond % -0.34% CSI 1 Bond % 3.22% CSI Aggregate Bond (1-3) % 2.22% CSI Aggregate Bond (3-7) % 0.24% CSI Aggregate Bond (7-10) % -3.45% CSI Aggregate Bond (10+) % -6.37% CSI Treasury Bond % -1.87% CSI Financial Bond % -0.64% CSI Corporate Bond % 1.30% CSI Short Term Note % 4.23% CSI 50 Bond % -1.42% CSI Medium Term Note % 0.49% CSI Short Term Note % 3.43% SSE Corporate Bond % 0.09% SSE Convertible Bond % 0.79%

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: