CSI Index Monthly Report. June 2017 Issue

Transcription

1 CSI Index Monthly Report June 2017 Issue

2 CSI Express In June, the mainland stock market quickly bounced and recovered the loss in May. CSI 300 Index was up by 4.98% to 3667 points. CSI 500 Index was up by 5.39% to 6138 points. Shanghai Composite Index climbed 2.41% to 3192 points. Telecom, Consumers and Materials led the sector group. Average daily turnover of A-share market decreased 5% to CNY 384 billion. CSI Universal Bond Index gained 1.06% to points. Index Launch in June CSI MarketGrader China 200 Index. The Index selects 200 stocks which are characterized by sound fundamentals and potential growth as constituents. The Index is equally weighted at each of its semi-annual rebalances. The market cap of the Index is CNY 8.24 trillion. CSI MarketGrader China New Economy Index. The Index selects 120 stocks which are characterized by sound fundamentals and potential growth from Consumer Discretionary, Consumer Staples, Health Care and Information Technology sector as constituents. The index is equally weighted at each of its semi-annual rebalances. The market cap of the Index is CNY 3.98 trillion. CSI HK Connect China 100 Index. The Index selects the biggest 100 eligible Chinese common equity securities listed on SEHK under Hong Kong Stock Connect as the index constituents, weighted by free float market cap. The index is designed to reflect the market performance of large Chinese eligible HK equity securities under Hong Kong Stock Connect. CSI HK Connect Overseas 50 Index. The Index selects the biggest 50 eligible Non-Chinese common equity securities listed on SEHK under Hong Kong Stock Connect as the index constituents, weighted by free float market cap. The index is designed to reflect the market performance of large overseas eligible HK equity securities under Hong Kong Stock Connect. CSI HK Connect Sector Composite Index Series select the constituents based on the constituents of CSI HK Connect Composite Index and the industry classification. The constituents belongs to 10 sectors will be selected as the sector index constituents. CSI Hong Kong Connect Dividend Low Volatility Index. The Index selects 50 Hong Kong stocks which are characterized by good liquidity, continuous dividend-paying record, high dividend yield and low volatility as constituents. The Index is weighted by dividend yield. It aims to reflect the overall performance of high dividend yield and low volatility eligible securities of Hong Kong Connect. The market cap of the Index is HKD 9.46 trillion. CSI SH-HK-SZ Dividend Low Volatility Index. The Index selects 100 stocks which are characterized by good liquidity, continuous dividend-paying record, high dividend yield and low volatility as constituents. The Index is weighted by dividend yield. It aims to reflect the performance of high dividend yield and low volatility companies in Shanghai, Shenzhen and Hong Kong market. The market cap of the Index is CNY trillion. CSI CME China Commodity Consumption Index. The Index is designed to reflect the performance of most representative commodities listed on Chicago Mercantile Exchange Group, which are closely related to the developing Chinese market. The index contains natural gas, crude oil, corn, soybean, copper as well as gold and silver. It is weighted by the import volume of the former five commodities and consumption of gold and silver in China. The index can provide diversification for investment in commodity. CSI Ferrous Metals Futures Index, CSI Grains Futures Index and CSI Vegetable Oils Futures Index.

3 Index Launch in July CSI ICBC Equity & Hybrid Fund Index and CSI ICBC Dynamic Allocation Fund Index. CSI ICBC Fund Indices select the top ranked funds from equity, hybrid, bond, and money funds as index constitutes by evaluating fund companies, products and managers, so as to provide benchmarks and targets for fund investors. CSI New Energy Vehicles Industry Index. The Index is composed of A-Share stocks involved in new energy vehicles industry. The market cap of the Index is CNY 1.38 trillion. CSI Guangdong-Hong Kong-Macao Greater Bay Area Development Thematic Index Series. The Series includes CSI HK Connect Greater Bay Area Development Thematic Index, CSI SH-HK-SZ Greater Bay Area Development Thematic Index and CSI Greater Bay Area Development Thematic Index. These Indices select the biggest 50 eligible Greater Bay Area Development Thematic related common equity securities listed on SEHK under Hong Kong Stock Connect, biggest 100 Greater Bay Area Development Thematic related companies listed on SSE/SZSE/SEHK, and biggest 100 Greater Bay Area Development Thematic related A share stocks listed on SSE/SZSE respectively as the index constituents, weighted by free float market cap. CSI 5-Year Target Duration Policy Bank Bond Index. The Index is composed of Policy Bank Bonds listed on Inter-bank market, SSE or SZSE, with remaining term to final maturity between 1 and 10 years. The Index duration is set to 5 years through the optimization method. CSI Consumption Thematic Index Series. CSI Maternal and Child Consumption Thematic Index is composed of A-Share stocks involved in pregnancy, maternity, infant and child care, early childhood education and other companies benefiting from maternal and child consumption industry. The market cap of the Index is CNY 496 billion. CSI Female Consumption Thematic Index is composed of A-Share stocks involving women's clothing, health products, daily necessities, health care, leisure, fashion, and other companies benefiting from female consumption industry. The market cap of the Index is CNY 268 billion. CSI Aged Consumption Thematic Index is composed of A-Share stocks involving Aged Entertainment, Aged Financial, Aged Service and Aged education industry. The market cap of the Index is CNY 1.55 trillion. CSI New Generation Consumption Thematic Index is composed of A-Share stocks involving Tourism, Film & Cartoon, Electronic Games, Sports, Fashion, Luxury and other companies benefiting from new generation consumption industry. The Index is equal-weighted. The market cap of the Index is CNY 4.86 trillion. CSI Agriculture Supply-Side Reform Index. The Index is composed of the largest 50 stocks which belong to livestock and poultry breeding Ⅲ, feed Ⅲ, aquaculture, animal health Ⅲ, seed production, other farming, agricultural machinery and other related stocks. In June, 8 index products which track CSI-licensed indices were incepted in China mainland market. Yinhua launched 2 index funds tracking CSI 5-Year Local Government Bond Index and CSI 10-Year Local Government Bond Index. The 2 funds raised CNY 207 and 201 million, respectively. GF launched 1 ETF and 1 feeder fund tracking CSI All Share Industrials Index, which raised CNY 291 and 21 million, respectively. China Southern launched 1 ETF and 1 feeder fund tracking CSI Banks Index, which raised CNY 343 and 16 million, respectively. Penghua launched 1 index fund (LOF) tracking CSI Aerospace Defense Index, which raised CNY 272 million. Minsheng Royal launched 1 index fund tracking CSI Hong Kong Connect High Dividend Yield Select Index,

4 which raised CNY 644 million.

5 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 6.10% 16.26% 10.78% 10.42% % CSI 100 3, % 9.75% 21.92% 15.13% 10.47% % CSI 200 4, % -0.43% 6.51% 3.10% 12.28% % CSI 500 6, % -4.12% 0.24% -2.00% 14.17% % CSI 800 4, % 3.08% 11.38% 6.95% 10.79% % CSI , % % % % 16.33% % CSI Dividend 4, % 4.70% 22.24% 12.04% 10.78% % SSE Composite 3, % -0.93% 8.97% 2.86% 10.06% % SSE 50 2, % 8.06% 20.13% 11.50% 10.59% % SSE 180 7, % 5.45% 17.29% 9.35% 9.97% % SSE 380 5, % -4.97% 2.32% -1.95% 13.76% % SSE MidCap 3, % 1.26% 12.74% 5.86% 10.59% % SSE SmallCap 4, % -5.17% 2.09% -1.88% 14.12% % SSE Dividend 2, % 3.69% 22.17% 10.74% 10.31% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (36.4%, 16.0%)* CSI 200 (13.8%, 13.6%) CSI 500 (14.7%, 18.5%) CSI 300 (50.2%, 29.6%) CSI 1000 (15.7%, 23.2%) CSI 800 (64.9%, 48.0%) Shanghai + Shenzhen A-Share Mkt Cap 53.3 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 (43.5%, 19.3%)** SSE MidCap (20.0%, 20.1%) SSE SmallCap (17.8%, 24.5%) SSE 180 (63.5%, 39.4%) SSE 380 (18.2%, 24.0%) Shanghai A-Share Mkt Cap 30.7 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

6 CSI 300 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 4.98% 6.10% 10.78% 16.26% 10.78% Volatility 10.29% 9.57% 8.78% 10.39% 8.78% P/E P/B EPS ROE ROA CSI % 13.37% Energy % 5.05% Materials % 3.56% Industrials % 10.79% Consumer Dis % 18.38% Consumer Sta % 17.50% Health Care % 16.95% Financials % 15.94% IT % 14.85% Telecom Serv % 12.21% Utilities % 18.44% Top 5 Weighted Stocks Close Change 4.98% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 10.07% Advanced 234 Volume Mil Lots CMB % 6.65% Average Daily KWEICHOW MOU % 6.53% Turnover Bil CNY Declined INDUSTRIAL BANK % 1.87% Low Turnover Rate 8.03% Unchanged 16 GREE % 20.80% Sector Analysis Close (right) /1 6/6 6/9 6/14 6/19 6/22 6/27 6/30 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 0.83% 0.72 Top 5 Performers Materials % 7.49% IFLYTEK % % Industrials % 3.27% AXXT % % Consumer Dis % 8.69% HUNDSUN % % Consumer Sta % 8.00% WANHUA % % Health Care % 4.22% 7.38 DAHUA INC % % Financials % 3.34% Bottom 5 Performers IT % 9.02% SSC % % Telecom Serv % 7.07% 4.50 XINHU ZHONGBAO % % Utilities % 1.28% 1.32 AVIC CAPITAL % % WONDERS INFOR % % Sector Performance OURPALM % % Top 5 Contributors 1M 12M 50% PING AN OF CHIN % % GREE % % 40% MIDEA GROUP % % 30% VANKE-A % % 20% HIKVISION % % 10% Bottom 5 Contributors 0% HAITONG SECURI % % SINOPEC CORP % % CSF % % AVIC CAPITAL % % SPD BANK % %

7 CSI 500 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 5.39% -4.12% -2.00% 0.24% -2.00% Volatility 14.26% 15.79% 13.90% 14.14% 13.90% P/E P/B EPS ROE ROA CSI % 7.40% Energy % 0.22% Materials % 2.70% Industrials % 8.31% Consumer Dis % 8.61% Consumer Sta % 8.12% Health Care % 12.06% Financials % 10.47% IT % 7.15% Telecom Serv % 7.52% Utilities % 12.63% Top 5 Weighted Stocks Close Change 5.39% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SUNWAY COMM % 12.80% Volume Mil Lots Advanced HTGD % 16.83% Average Daily GANFENGLITHIUM % 11.15% Turnover Bil CNY Declined SFY % 8.75% Low Turnover Rate 21.87% Unchanged 19 JINYUGROUP % 7.66% Sector Analysis Close (right) /1 6/6 6/9 6/14 6/19 6/22 6/27 6/30 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 3.40% 3.78 Top 5 Performers Materials % 7.01% TELLUS % % Industrials % 1.65% FANGDA CARBON % % Consumer Dis % 4.15% TIANMA % % Consumer Sta % 6.93% SANHUA % % Health Care % 4.89% XINGYUAN ENVIR % % Financials % 0.91% Bottom 5 Performers IT % 3.66% HUAQIANG INDUS % % Telecom Serv % 8.29% JULI INC % % Utilities % -1.20% 3.90 XYGF % % SH RESOURCES S % % Sector Performance LSHEC % % Top 5 Contributors 1M 12M 20% FANGDA CARBON % % HTGD % % 10% SUNWAY COMM % % 0% TIANMA % % XINGYUAN ENVIR % % -10% Bottom 5 Contributors -20% JULI INC % % JIDONG CEMENT % % SH RESOURCES S % % HUAQIANG INDUS % % XYGF % %

8 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover Summary 1M 3M 6M 12M YTD Performance 3.51% % % % % Volatility 16.59% 17.94% 16.39% 16.30% 16.39% P/E P/B EPS ROE ROA CSI % 6.17% Energy % -2.21% Materials % 3.88% Industrials % 7.33% Consumer Dis % 7.46% Consumer Sta % 4.17% Health Care % 8.96% Financials % 5.95% IT % 6.35% Telecom Serv % 4.31% Utilities % 9.26% Close Change 3.51% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily CHINA-KINWA % 12.09% Advanced 708 Volume Mil Lots TIANGUANG ZHON % 1.43% Average Daily WALVAX % 0.57% Declined 222 Turnover Bil CNY HUATIAN TECH % % Low Turnover Rate 27.60% Unchanged 70 THST % 12.35% Sector Analysis Close (right) /1 6/6 6/9 6/14 6/19 6/22 6/27 6/30 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 % 2.15% 4.08 Top 5 Performers Materials % 2.30% EASPRING % % Industrials % 2.84% SAVINGS % % Consumer Dis % 0.97% WEST CONSTRUC % % Consumer Sta % 0.97% MAILYARD % % Health Care % 1.90% GUANGZHOU BAI % % Financials % -0.67% 9.74 Bottom 5 Performers IT % -1.68% HARSON % % Telecom Serv % -0.02% SUNMUN TECHNO % % Utilities % -1.25% 1.36 IESLAB % % SIMEI MEDIA % % Sector Performance QIYUAN EQUIPME % % Top 5 Contributors 1M 12M 10% LEAD INTELLIGEN % % EASPRING % % 0% MCST % % -10% WEST CONSTRUC % % CHINA-KINWA % % -20% Bottom 5 Contributors -30% WEST CONSTRUC % % LS BEARINGS % % S.T.H % % SAILHEROENVIRO % % IESLAB % %

9 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 0.7% 1.6% 3.5% 3.3% 4.4% 4.6% 6.3% 6.2% 6.7% 6.9% 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 0.7% 2.4% 2.3% 2.5% 3.1% 5.0% 4.8% 5.7% 7.1% 7.8% CSI Thematic Indices: Top & Bottom Performers CSI 300 Consumer Durables and Service 12.7% CSI New Materials 11.1% CSI Rare Metals Industry 10.9% CSI Dividend Potential 10.7% CSI Light Industry Stimulus 10.2% CSI China Mainland Transportation 0.6% CSI Utilities Dividend -0.2% CSI Film & Television -0.2% CSI All Share Capital Markets -1.8% CSI Beijing-Tianjin-Hebei's Coordinated -2.3%

10 SSE Thematic Indices: Top & Bottom Performers SSE Information Technology Dividend China Strategic Emerging Industries SSE Materials Dividend SSE Consumer Staples Dividend SSE Select Resources Industries SSE Central State-owned Enterprises Dividend SSE Financials Dividend SSE Utilities Dividend -0.4% SSE 180 Transportation -0.8% SSE Energy Dividend -1.7% 1.0% 1.0% 9.2% 8.9% 8.3% 8.2% 8.0% CSI&SSE Style Indices CSI 500 Growth CSI 800 Growth SSE 380 Growth SSE 380 Value CSI 500 Value CSI 300 Value CSI 300 Growth CSI 800 Value SSE 180 Growth SSE LMS Cap Growth SSE LMS Cap Value SSE 180 Value 3.4% 3.3% 4.1% 4.4% 6.2% 6.1% 6.0% 5.0% CSI&SSE Fundamental Indices CSI RAFI % SSEF % CSI RAFI 600 CSI RAFI % 4.3% CSI RAFI 50 SSEF 500 SSEF % 3.2% 3.6%

11 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Momentum CSI 300 Stability CSI 300 High Beta CSI 300 Volatility Control 20% CSI 300 Volatility Control 10% CSI 300 Equal Weight CSI 300 Sector Equal Risk Contribution CSI RAFI 300 CSI 300 Sector Equal Weight CSI 300 Sector Neutral Low volatility CSI 300 Equal Risk Contribution Weighted CSI 300 Volatility Weighted CSI 300 Dynamic CSI 300 Low Beta CSI 300 DownSide Risk Control 1.4% 5.0% 6.0% 5.8% 5.2% 4.7% 4.7% 4.6% 4.6% 4.5% 4.5% 4.3% 4.2% 4.1% 3.3% 3.3% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI 500 CSI 500 Stability CSI 500 Low Beta CSI 500 Volatility Weighted CSI 500 Volatility Control 25% CSI 500 Equal Risk Contribution Weighted CSI 500 Volatility Control 15% CSI 500 Sector Equal Risk Contribution CSI 500 Equal Weight CSI 500 Dynamic CSI 500 High Beta CSI 500 Sector Neutral Low volatility 5.9% 5.8% 5.3% 5.1% 5.0% 5.0% 5.0% 4.9% 4.8% 4.3% 4.3% CSI 500 DownSide Risk Control 0.7% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

12 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X 9.7% CSI 300 Inversed -4.7% CSI 300 Inversed 2X -9.7% CSI 300 Futures 5.6% CSI 300 Futures Leveraged 2X 11.5% CSI 300 Futures Inversed - CSI 300 Futures Inversed 2X -10.7% CSI % CSI100 Leveraged 2X 9.1% CSI100 Inversed -4.5% CSI100 Inversed 2X -9.3% CSI 500 CSI500 Leveraged 2X 10.5% CSI500 Inversed -5.2% CSI500 Inversed 2X -10.6% SSE 50 SSE50 Leveraged 2X 2.9% 5.3% SSE50 Inversed SSE50 Inversed 2X -6.0% -2.8% SSE % SSE 180 Leveraged 2X 6.3% SSE 180 Inversed -3.2% SSE 180 Inversed 2X -6.7%

13 CSI Strategy Indices: Top & Bottom Performers CSI 800 Momentum CSI 300 Momentum CSI 500 Stability CSI 200 Stability CSI 300 Stability CSI Equity and Bond Synthetic Option Strategy CSI Dividend Value CSI 1000 USD Hedged CSI 300 DownSide Risk Control CSI 500 DownSide Risk Control 0.7% 1.4% 3.1% 2.9% 2.8% 6.0% 6.0% 5.9% 5.8% 5.8% SSE Strategy Indices: Top & Bottom Performers SSE Materials Sector Equal Weight SSE 380 Momentum SSE Consumer Staples Sector Equal Weight SSE 380 Stability SSE Health Care Sector Equal Weight SSE50 Fundamental Weighted SSE 180 Dynamic SSE Financials Sector Equal Weight SSE 50 Equal Weight SSE Telecommunication Services Sector 2.0% 1.8% 1.6% 1.4% 0.9% 7.4% 7.1% 6.6% 6.4% 5.7% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Logistics CSI HK 300 Midstream Industry CSI China Mainland Enterprises 400 CSI Hong Kong Private-owned Mainland CSI HK 100 Information Technology CSI HK 100 Telecommunication Services CSI HK 300 Nature Resource CSI HK 300 Upstream Industry CSI HK 300 Energy CSI HK 100 Energy -3.2% -3.3% -3.3% -4.9% -5.6% 5.9% 5.2% 4.8% 4.8% 4.7%

14 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI China Mainland Enterprises 1000 Materials CSI Overseas Mainland Utilities CSI Great China ex Taiwan Materials CSI SH-SZ-HK 400 Materials CSI SH-SZ-HK 1100 Materials CSI Overseas Mainland Telecommunication CSI SH-SZ-HK 400 Energy CSI Overseas Mainland Industrials CSI Overseas enterprises ex Taiwan Energy CSI Overseas Mainland Energy -3.8% -4.0% -4.3% -6.2% -6.2% 7.6% 7.5% 7.5% 7.5% 7.2% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.12% CSI Aggregate Bond % -0.20% CSI 1 Bond % 1.48% CSI Aggregate Bond (1-3) % 1.06% CSI Aggregate Bond (3-7) % 0.06% CSI Aggregate Bond (7-10) % -1.64% CSI Aggregate Bond (10+) % -3.11% CSI Treasury Bond % -1.49% CSI Financial Bond % 0.02% CSI Corporate Bond % 0.71% CSI Short Term Note % 1.97% CSI 50 Bond % -0.61% CSI Medium Term Note % 0.28% CSI Short Term Note % 1.68% SSE Corporate Bond % -0.30% SSE Convertible Bond % 2.65%

15 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: