CSI Index Monthly Report. October 2016 Issue

Transcription

1 CSI Index Monthly Report October 2016 Issue

2 CSI Express In October, mainland stock market went northeast in general. CSI 300 Index was up by 2.55% to points. Shanghai Composite Index climbed 3.19% to points. CSI 500 underperformed in the size index group. Energy, consumer staples and infrastructure led the sector and thematic group. Average daily turnover of A-share market bounced to CNY 479 billion. CSI Universal Bond Index rose 0.47% to points. Index Launch in November CSI Real Estate Bond Index. The Index is composed of Real Estate sector bonds listed on SSE. It is a market-value-weighted index. The market cap of the Index is CNY 381 billion. CSI Precious Metals Industry Index. The Index consists of no more than 50 stocks with main business in precious metals mining and smelting industry, precious metals processing and marketing industry. The market cap of the Index is CNY 391 billion. CSI Public-Private Partnership (PPP) Thematic Index. The Index selects 100 stocks which participate in the PPP projects as constituents. The market cap of the Index is CNY 1.91 trillion. CSI Soft Commodity Futures Index. CSI Soft Commodity Futures Index reflects the performance of the soft commodity, which provides investment tool for investors. The daily average open interest of the Index is CNY 74 billion. CSI Hong Kong Overseas High Dividend Yield Index. The Index selects 30 Hong Kong overseas stocks which are characterized by good liquidity, continuous dividend-paying record, high dividend yield as constituents. The Index is weighted by dividend yield. The market cap of the Index is HKD 3.47 trillion. SSE Extra Long Treasury Bond Index. The Index is composed of the treasury bonds of which time to maturity is over 18 years. The index duration is set to 18 years through the optimization method. The market cap of the Index is CNY 1.14 trillion. SSE 10-Year Local Government Bond Index. The Index is composed of the local government bonds of which time to maturity is between 6.5 and years. It is a market-value-weighted index. The market cap of the Index is CNY 2.6 trillion. In October, 3 index products which track CSI-licensed indices were incepted in China mainland market. SWS MU launched 1 index fund(lof) tracking CSI SWS Emerging Health Industry Thematic Index, which raised CNY 419 million. Essence launched 1 enhanced index fund racking CSI 300 Index, which raised CNY 13 million. ChinaAMC launched 1 index fund(lof) tracking SSE 50 AH Select Index, which raised CNY 682 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 4.13% -5.60% % 23.98% % CSI 100 3, % 4.80% -2.45% -7.76% 21.99% % CSI 200 4, % 3.01% % % 28.96% % CSI 500 6, % 4.02% -8.93% % 31.49% % CSI 800 3, % 4.10% -6.59% % 25.65% % CSI , % 4.82% -3.02% % 34.24% % CSI Dividend 4, % 4.97% 0.38% -7.86% 24.07% % SSE Composite 3, % 4.07% -8.34% % 24.37% % SSE 50 2, % 4.42% -2.70% -7.04% 22.34% % SSE 180 7, % 3.71% -6.71% % 23.39% % SSE 380 5, % 3.61% % % 30.64% % SSE MidCap 3, % 2.60% % % 26.62% % SSE SmallCap 4, % 3.59% % % 30.70% % SSE Dividend 2, % 4.68% -4.94% -8.16% 23.03% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (3, 9.1%)* CSI 200 (13.4%, 10.8%) CSI 500 (15.4%, 17.4%) CSI 300 (46.1%, 19.9%) CSI 1000 (18.4%, 29.5%) CSI 800 (61.4%, 37.3%) Shanghai + Shenzhen A-Share Mkt Cap 50.3 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 (42.1%, 12.5%)** SSE MidCap (19.2%, 18.0%) SSE SmallCap (18.4%, 27.4%) SSE 180 (61.3%, 30.5%) SSE 380 (20.0%, 27.8%) Shanghai A-Share Mkt Cap 27.7 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 Daily Turnover /10 10/13 10/18 10/21 10/26 10/31 Summary 1M 3M 6M 12M YTD Performance 2.55% 4.13% 5.69% -5.60% % Volatility 9.23% 11.64% 13.60% 23.93% 23.41% P/E P/B EPS ROE ROA CSI % 13.18% Energy % 4.89% Materials % 2.52% Industrials % 10.57% Consumer Dis % 18.27% Consumer Sta % 16.56% Health Care % 16.54% Financials % 15.96% IT % 13.44% Telecom Serv % 13.16% Utilities % 16.94% Top 5 Weighted Stocks Close Change 2.55% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 1.32% Advanced 230 Volume Mil Lots INDUSTRIAL BANK % 2.13% Average Daily CMBC % -0.65% Turnover Bil CNY Declined VANKE-A % -4.78% Low Turnover Rate 5.52% Unchanged 12 CMB % -0.78% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 5.33% 4.19 Top 5 Performers Materials % 3.24% 5.67 SMI HOLDING % % Industrials % 4.86% CHINA UNICOM % % Consumer Dis % 1.47% 5.28 CCCC % % Consumer Sta % 5.43% CHINA RAILWAY % % Health Care % 1.23% 1.74 CHINA COAL ENE % % Financials % 1.58% Bottom 5 Performers IT % 1.32% 3.68 LCXX % % Telecom Serv % 9.32% 3.75 WANGSU % % Utilities % 1.44% 1.82 DONGXU OPTOEL % % GOLD MANTIS % % Sector Performance YIWU CCC % % Top 5 Contributors 1M 12M 20% CSCEC % % YILI % % 10% KWEICHOW MOU % % 0% HTSC % % -10% CHINA UNICOM % % -20% Bottom 5 Contributors -30% VANKE-A % % WANGSU % % PRE % % DONGXU OPTOEL % % SPD BANK % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover /10 10/13 10/18 10/21 10/26 10/31 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.96% 4.02% 7.80% -8.93% % Volatility 11.89% 13.91% 19.57% 31.42% 32.19% P/E P/B EPS ROE ROA CSI % 7.78% Energy % 0.16% Materials % 4.08% Industrials % 8.32% Consumer Dis % 9.19% Consumer Sta % 7.89% Health Care % 11.49% Financials % 10.97% IT % 7.99% Telecom Serv % 7.82% Utilities % 14.74% Top 5 Weighted Stocks Close Change 1.96% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SJEP % -0.14% Volume Mil Lots Advanced TIANQI LITHIUM % 4.42% Average Daily JCET % 1.13% Turnover Bil CNY Declined WANFENG AUTO % 5.74% Low Turnover Rate 14.36% Unchanged 21 ZTT % -1.28% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 4.38% 7.52 Top 5 Performers Materials % 3.44% TIANMA % % Industrials % 3.41% DINGLI % % Consumer Dis % 1.30% CINDA REAL ESTA % % Consumer Sta % 3.33% XJEC % % Health Care % -1.05% 6.04 CREC % % Financials % -1.55% Bottom 5 Performers IT % 2.53% DHE % % Telecom Serv % -1.10% FUTURE LAND % % Utilities % 3.10% 5.72 SFHY % % ACCELINK % % Sector Performance HUAFA INDUSTRI % % Top 5 Contributors 1M 12M 10% DINGLI % % TIANMA % % 0% CCHN % % XJEC % % -10% CSI % % Bottom 5 Contributors -20% SL PHARM % % ROBAM APPLIANC % % FUTURE LAND % % JINKE % % DHE % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover /10 10/13 10/18 10/21 10/26 10/31 Summary 1M 3M 6M 12M YTD Performance 2.88% 4.82% 7.46% -3.02% % Volatility 12.23% 14.72% 21.34% 34.17% 34.85% P/E P/B EPS ROE ROA CSI % 6.13% Energy % 0.28% Materials % 2.83% Industrials % 7.12% Consumer Dis % 7.18% Consumer Sta % 6.71% Health Care % 8.07% Financials % 6.63% IT % 6.67% Telecom Serv % 4.14% Utilities % 9.92% Close Change 2.88% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily DFD % 7.43% Advanced 708 Volume Mil Lots SUNWAY COMM % 0.78% Average Daily TIANLI % 4.42% Declined 232 Turnover Bil CNY GANFENGLITHIUM % 11.59% Low Turnover Rate 15.44% Unchanged 60 CHINA-KINWA % 23.12% 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 % 4.27% 5.80 Top 5 Performers Materials % 4.85% GUODONG CONS % % Industrials % 3.19% SANONDA % % Consumer Dis % 3.05% CITIC WINE % % Consumer Sta % 4.76% LEAGUER % % Health Care % -0.06% 8.27 SDGM % % Financials % 1.62% 5.72 Bottom 5 Performers IT % 0.20% EASA % % Telecom Serv % 2.70% 8.09 TAIYA % % Utilities % 6.17% Xingmin ITS % % GHSW % % Sector Performance EASTONE CENTU % % Top 5 Contributors 1M 12M 20% MEI YAN % % GUODONG CONS % % 10% CHINA-KINWA % % 0% CITIC WINE % % TINCI % % -10% Bottom 5 Contributors -20% SUNWODA % % GHSW % % WALVAX % % TAIYA % % EASA % %

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 3.8% 3.6% 2.2% 1.2% 1.3% 1.8% 3.3% 2.6% 4.9% 4.7% 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 1.4% 1.3% 3.2% 3.7% 2.6% 2.2% 3.7% 5.1% 5.4% 5.7% CSI Thematic Indices: Top & Bottom Performers CSI High-Speed Railway Industry CSI Coal & Consumable Fuels Equal Weight CSI Infrastructure CSI Liquor CSI 300 Infrastructure CSI Security and protection CSI Bio-medicine CSI Biotechnology Thematic CSI All Share Capital Markets CSI Real Estate Sub-industry -0.5% -0.5% -0.8% -1.2% -1.3% 8.2% 7.5% 7.4% 6.9% 6.9%

8 SSE Thematic Indices: Top & Bottom Performers SSE Telecommunication Services Dividend SSE Infrastructure SSE 180 Infrastructure SSE Select Resources Industries SSE One Belt & One Road SSE Urbanization Smart Cities SSE Urbanization Intelligent Transport SSE Financials Dividend SSE Banks SSE Intelligent Manufacturing -1.0% 1.3% 0.9% 0.9% 0.7% 8.9% 7.9% 6.5% 6.0% 11.9% CSI&SSE Style Indices SSE LMS Cap Value SSE 180 Growth CSI 800 Value SSE 380 Value CSI 300 Value SSE LMS Cap Growth SSE 180 Value SSE 380 Growth CSI 300 Growth CSI 800 Growth CSI 500 Value CSI 500 Growth 0.9% 2.1% 2.0% 1.7% 1.5% 2.8% 2.5% 2.5% 2.5% 2.5% 3.2% CSI&SSE Fundamental Indices CSI RAFI % CSI RAFI % SSEF 300 CSI RAFI 600 CSI RAFI 200 SSEF 500 SSEF % 3.6% 3.8% 3.9%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Sector Equal Risk Contribution CSI 300 High Beta CSI RAFI 300 CSI 300 Dynamic CSI 300 Sector Equal Weight CSI 300 Equal Weight CSI 300 Equal Risk Contribution Weighted CSI 300 Volatility Control 20% CSI 300 Volatility Weighted CSI 300 Sector Neutral Low volatility CSI 300 Stability CSI 300 Low Beta CSI 300 Momentum CSI 300 Minimum Variance CSI 300 Volatility Control 10% CSI 300 DownSide Risk Control 2.6% 3.9% 3.8% 3.4% 3.4% 2.9% 2.8% 2.8% 2.4% 2.2% 2.1% 2.1% 2.0% 1.9% 1.8% 1.4% 1.0% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI 500 CSI 500 Sector Neutral Low volatility CSI 500 Sector Neutral Low volatility CSI 500 Low Beta CSI 500 Equal Risk Contribution Weighted CSI 500 Equal Weight CSI 500 Sector Equal Risk Contribution CSI 500 Stability CSI 500 Volatility Weighted CSI 500 High Beta CSI 500 Volatility Control 25% CSI 500 Dynamic CSI 500 Volatility Control 15% CSI 500 DownSide Risk Control 2.0% 2.5% 2.4% 2.3% 2.3% 2.3% 2.2% 2.1% 1.9% 1.7% 1.2% 1.0% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X 4.7% CSI 300 Inversed -2.4% CSI 300 Inversed 2X -5.2% CSI 300 Futures 3.1% CSI 300 Futures Leveraged 2X 6.2% CSI 300 Futures Inversed -3.1% CSI 300 Futures Inversed 2X -6.1% CSI 100 CSI100 Leveraged 2X 5.1% CSI100 Inversed -2.6% CSI100 Inversed 2X -5.5% CSI % CSI500 Leveraged 2X 3.5% CSI500 Inversed -1.9% CSI500 Inversed 2X -4.2% SSE % SSE50 Leveraged 2X 6.4% SSE50 Inversed -3.2% SSE50 Inversed 2X -6.7% SSE % SSE 180 Leveraged 2X 5.7% SSE 180 Inversed -2.9% SSE 180 Inversed 2X -6.1%

11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Dynamic CSI 300 Sector Equal Risk Contribution CSI 300 High Beta CSI Equal Weight 90 CSI 300 Dynamic CSI 500 Volatility Control 15% CSI 300 DownSide Risk Control CSI 500 DownSide Risk Control CSI Equity and Bond Synthetic Option Strategy CSI Equity and Bond Risk Parity 1.2% 1.0% 1.0% 0.8% 0.7% 4.1% 3.9% 3.8% 3.5% 3.4% SSE Strategy Indices: Top & Bottom Performers SSE Telecommunication Services Sector SSE Energy Sector Equal Weight SSE 180 Dynamic SSE 50 Equal Weight SSE Consumer Staples Sector Equal Weight SSE 180 Volatility Control 10% SSE Financials Sector Equal Weight SSE SH-HK AH Premium SSE Health Care Sector Equal Weight SSE Equity and Bond Risk Parity 1.7% 1.5% 1.0% 0.8% 0.4% 6.1% 5.5% 4.8% 4.7% 4.6% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Energy CSI HK 100 Energy CSI HK 300 Nature Resource CSI HK 100 Health Care CSI HK 300 Upstream Industry CSI HK 300 Information Industry CSI HK 300 TMT CSI HK 300 Telecommunication Services CSI HK 100 Telecommunication Services CSI Hong Kong Listed Tradable Mainland -6.8% -3.5% -3.5% -4.2% -4.4% 2.8% 2.6% 2.5% 2.4% 2.3%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK 1100 Nature Resource CSI SH-SZ-HK 400 Upstream Industry CSI China Mainland Enterprises 400 Energy CSI Great China ex Taiwan Energy CSI SH-SZ-HK 400 Industrials CSI Overseas China Internet CSI Overseas Mainland Health Care CSI Overseas Mainland Utilities CSI Overseas Mainland Telecommunication CSI Overseas enterprises ex Taiwan -2.0% % -2.9% -2.9% 4.8% 4.8% 4.7% 4.6% 4.5% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 4.06% CSI Aggregate Bond % 4.41% CSI 1 Bond % 2.28% CSI Aggregate Bond (1-3) % 2.99% CSI Aggregate Bond (3-7) % 4.24% CSI Aggregate Bond (7-10) % 3.87% CSI Aggregate Bond (10+) % 9.82% CSI Treasury Bond % 4.99% CSI Financial Bond % 3.16% CSI Corporate Bond % 5.08% CSI Central Bank Note % 1.92% CSI Short Term Note % 2.81% CSI 50 Bond % 2.93% CSI Medium Term Note % 3.98% CSI Short Term Note % 2.28% SSE Corporate Bond % 3.01% SSE Convertible Bond % -7.64%

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