CSI Index Monthly Report. March 2017 Issue

Transcription

1 CSI Index Monthly Report March 2017 Issue

2 CSI Express In March, mainland stock market fluctuated with upward momentum but retreated at the month end. CSI 300 Index was up by 0.09% to points. Shanghai Composite Index dropped 0.59% to points. Large cap led the size index group. Consumer staples, health care and telecom led the sector group. Average daily turnover of A-share market increased 10% to CNY 501 billion. CSI Universal Bond Index gained 0.08% to points. Index Launch in April CSI Currency Dynamic Hedged Indices. The series of indices include CSI 300 Currency Dynamic Hedged Index, CSI 500 Currency Dynamic Hedged Index and CSI 1000 Currency Dynamic Hedged Index. The indices hedge the currency exposure of the underlying index by taking long position in one-month USD-CNH forward. The hedge ratio is dynamically adjusted every month depending on the treasury spreads and the currency exchange rate between China and US, in order to gain from currency fluctuation. In March, 5 index product which tracks CSI-licensed indices was incepted in China mainland market. China Merchants launched 1 enhanced index fund tracking CSI 1000 Index, which raised CNY 201 million. Guotai launched 1 index fund (LOF) tracking CSI State-Owned Enterprises Reform Index, which raised CNY 235 million. Fullgoal launched 1 enhanced index fund (LOF) tracking CSI Entertainment Thematic Index, which raised CNY 567 million. China Southern launched 1 ETF tracking CSI All Share Investment Banking & Brokerage Index, which raised CNY 1.2 billion. Invesco Great Wall launched 1 index fund tracking CSI 500 Sector Neutral Low Volatility Index, which raised CNY 200 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 4.41% 7.39% 4.41% 12.11% % CSI 100 3, % 4.90% 9.32% 4.90% 11.21% % CSI 200 4, % 3.54% 4.09% 3.54% 15.04% % CSI 500 6, % 2.20% 3.99% 2.20% 17.35% % CSI 800 3, % 3.75% 6.38% 3.75% 13.20% % CSI , % -1.79% -1.28% -1.79% 19.55% % CSI Dividend 4, % 7.01% 13.99% 7.01% 12.42% % SSE Composite 3, % 3.83% 7.28% 3.83% 12.39% % SSE 50 2, % 3.19% 9.42% 3.19% 11.14% % SSE 180 7, % 3.70% 8.24% 3.70% 11.47% % SSE 380 5, % 3.18% 5.47% 3.18% 16.65% % SSE MidCap 3, % 4.55% 6.35% 4.55% 13.36% % SSE SmallCap 4, % 3.48% 5.15% 3.48% 16.72% % SSE Dividend 2, % 6.80% 13.96% 6.80% 11.78% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (32.8%, 1)* CSI 200 (12.7%, 11.2%) CSI 500 (14.6%, 16.6%) CSI 300 (45.5%, 21.3%) CSI 1000 (16.7%, 25.1%) CSI 800 (6, 37.9%) Shanghai + Shenzhen A-Share Mkt Cap 53.8 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 (41.1%, 13.0%)** SSE MidCap (18.7%, 16.0%) SSE SmallCap (18.0%, 21.8%) SSE 180 (59.8%, 29.0%) SSE 380 (18.5%, 22.4%) Shanghai A-Share Mkt Cap 30.4 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 Overview Daily Turnover 3/1 3/6 3/9 3/14 3/17 3/22 3/27 3/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 0.09% 4.41% 6.23% 7.39% 4.41% Volatility 7.85% 7.95% 9.63% 12.09% 7.95% P/E P/B EPS ROE ROA CSI % 13.37% Energy % 5.05% Materials % 3.65% Industrials % 10.84% Consumer Dis % 17.63% Consumer Sta % 17.27% Health Care % 17.44% Financials % 15.96% IT % 13.65% Telecom Serv % 13.01% Utilities % 18.00% Top 5 Weighted Stocks Close Change 0.09% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % 2.15% Advanced 106 Volume Mil Lots INDUSTRIAL BANK % -3.22% Average Daily CMBC % -6.09% 183 Turnover Bil CNY Declined CMB % -1.39% Low Turnover Rate 7.90% Unchanged 11 KWEICHOW MOUTA % 8.94% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 0.88% 0.75 Top 5 Performers Materials % -1.35% SJEP % % Industrials % 0.12% 0.66 WANFENG AUTO WH % % Consumer Dis % 1.72% 6.81 HD MEDICINE % % Consumer Sta % 5.81% TIANQI LITHIUM % % Health Care % 6.08% 9.52 FYG % % Financials % -2.06% Bottom 5 Performers IT % 0.68% 1.97 SEARAINBOW % % Telecom Serv % 3.43% 1.88 WANGSU % % Utilities % 1.00% 0.93 PACIFIC SECURITIE % % SBGCL % % Sector Performance XTC % % Top 5 Contributors 1M 12M 30% GREE % % KWEICHOW MOUTA % % 20% SJEP % % 10% PING AN OF CHINA % % HIKVISION % % 0% Bottom 5 Contributors -10% CMBC % % VANKE-A % % HAITONG SECURITI % % INDUSTRIAL BANK % % SEARAINBOW % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 3/1 3/6 3/9 3/14 3/17 3/22 3/27 3/30 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -0.76% 2.20% 1.16% 3.99% 2.20% Volatility 9.60% 11.63% 12.28% 17.32% 11.63% P/E P/B EPS ROE ROA CSI % 7.34% Energy % 0.39% Materials % 2.46% Industrials % 8.14% Consumer Dis % 8.95% Consumer Sta % 8.43% Health Care % 11.68% Financials % 11.18% IT % 6.86% Telecom Serv % 7.58% Utilities % 13.53% Top 5 Weighted Stocks Close Change -0.76% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SUNWAY COMM % 20.61% 150 Volume Mil Lots Advanced JINKE % 3.97% Average Daily HTGD % 25.41% 322 Turnover Bil CNY Declined GANFENGLITHIUM % 44.01% Low Turnover Rate 19.24% Unchanged 28 ZTT % 5.93% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -4.07% Top 5 Performers Materials % -0.56% GANFENGLITHIUM % % Industrials % 1.09% 7.68 SINOMA-INT % % Consumer Dis % -1.04% KAILE TECH % % Consumer Sta % -0.89% RZL % % Health Care % -1.22% ANJIE % % Financials % -2.34% Bottom 5 Performers IT % 0.71% ZHONGNANCONST % % Telecom Serv % 6.30% 9.44 DENGHAI SEEDS % % Utilities % -3.59% GDG % % FINGU % % Sector Performance YTR % % Top 5 Contributors 1M 12M 40% GANFENGLITHIUM % % HTGD % % 30% SUNWAY COMM % % 20% TIANLI % % 10% SINOMA-INT % % 0% Bottom 5 Contributors -10% GEM % % CSI % % YTR % % CGT GROUP % % ZHONGNANCONST % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 3/1 3/6 3/9 3/14 3/17 3/22 3/27 3/30 Summary 1M 3M 6M 12M YTD Performance -1.99% -1.79% -3.72% -1.28% -1.79% Volatility 10.46% 14.58% 15.03% 19.51% 14.58% P/E P/B EPS ROE ROA CSI % 6.29% Energy % 0.26% Materials % 3.62% Industrials % 7.62% Consumer Dis % 7.01% Consumer Sta % 4.99% Health Care % 8.83% Financials % 5.41% IT % 6.50% Telecom Serv % 3.93% Utilities % 10.56% Close Change -1.99% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily CHINA-KINWA % 11.14% Advanced 279 Volume Mil Lots HUAYOU COBALT % % Average Daily WALVAX % 11.92% Declined 666 Turnover Bil CNY IMIC % 0.00% Low Turnover Rate 18.06% Unchanged 55 HUAJIN % % 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 % -4.94% Top 5 Performers Materials % -0.05% WEST CONSTRUC % % Industrials % 0.46% QIXING TOWER % % Consumer Dis % -2.83% TJSMW % % Consumer Sta % -3.60% EAST % % Health Care % -2.63% SUNWIN % % Financials % -2.33% Bottom 5 Performers IT % -2.28% ANSHAN HEAVY D % % Telecom Serv % -1.26% DELI % % Utilities % 1.56% 1.96 GEEYA % % GQY % % Sector Performance SHPTE % % Top 5 Contributors 1M 12M 20% QIXING TOWER % % EAST % % 10% WEST CONSTRUC % % 0% TJSMW % % SUNWIN % % -10% Bottom 5 Contributors -20% LFD % % GQY % % BICON % % HUAYOU COBALT % % CITIC WINE % %

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 -1.9% -2.0% -1.8% -0.9% -0.2% -0.3% -0.6% 0.7% 1.2% 1.4% 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 -4.1% -0.6% -1.8% -1.5% -0.3% 0.0% 0.6% 1.2% 2.1% 2.7% CSI Thematic Indices: Top & Bottom Performers CSI HK Gaming Entertainment Thematic 10.5% CSI Dividend Potential 6.3% CSI Liquor 6.2% CSI Intelligent Vehicle 5.5% CSI Light Industry Stimulus 5.2% CSI Electronic Commerce Thematic -5.5% CSI Media -5.7% CSI Gold Miners -5.7% CSI All Share Capital Markets -6.0% CSI Trust Thematic -6.1%

8 SSE Thematic Indices: Top & Bottom Performers SSE Information Technology Dividend SSE Consumer Staples Dividend China Strategic Emerging Industries SSE 180 Transportation SSE Dividend Potential SSE Supply-Side Structural Reform SSE Materials Dividend SSE Internet Finance SSE TMT Industry SSE Modern Agriculture -3.4% -3.5% -4.3% -4.5% -4.6% 5.5% 4.4% 3.7% 3.2% 3.0% CSI&SSE Style Indices CSI 500 Growth CSI 300 Value CSI 800 Value CSI 800 Growth SSE 380 Growth SSE LMS Cap Value CSI 300 Growth SSE 380 Value SSE 180 Value CSI 500 Value SSE LMS Cap Growth SSE 180 Growth -0.2% -0.2% 0.0% 0.0% 0.4% 0.5% 1.0% 1.6% CSI&SSE Fundamental Indices CSI RAFI % CSI RAFI 200 CSI RAFI % SSEF 200 SSEF % -0.2% CSI RAFI % SSEF %

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Volatility Weighted CSI 300 Low Beta CSI 300 Momentum CSI 300 Stability CSI 300 Sector Neutral Low volatility CSI 300 Sector Equal Risk Contribution CSI RAFI 300 CSI 300 DownSide Risk Control CSI 300 Sector Equal Weight CSI 300 Volatility Control 10% CSI 300 Volatility Control 20% CSI 300 Equal Risk Contribution Weighted CSI 300 Equal Weight CSI 300 Dynamic CSI 300 High Beta -3.3% -2.0% - 2.2% 2.1% 1.7% 1.3% 1.1% 0.9% 0.5% 0.2% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 DownSide Risk Control CSI 500 Stability -0.3% CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Sector Neutral Low volatility -0.8% CSI 500 Sector Neutral Low volatility -0.8% CSI 500 Volatility Weighted -1.0% CSI 500 Equal Risk Contribution Weighted -1.0% CSI 500 Dynamic -1.1% CSI 500 Equal Weight -1.2% CSI 500 Sector Equal Risk Contribution -1.2% CSI 500 Low Beta -1.3% CSI 500 High Beta -1.7% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI 300 CSI 300 Leveraged 2X CSI 300 Inversed CSI 300 Inversed 2X -0.2% -0.5% 0.0% CSI 300 Futures 1.3% CSI 300 Futures Leveraged 2X 2.5% CSI 300 Futures Inversed -1.3% CSI 300 Futures Inversed 2X -2.7% CSI 100 CSI100 Leveraged 2X 0.3% 0.2% CSI100 Inversed CSI100 Inversed 2X CSI % -0.8% -0.2% CSI500 Leveraged 2X -2.0% CSI500 Inversed CSI500 Inversed 2X 0.8% 1.1% SSE % SSE50 Leveraged 2X -1.3% SSE50 Inversed SSE50 Inversed 2X 0.5% 0.6% SSE 180 SSE 180 Leveraged 2X -1.9% SSE 180 Inversed SSE 180 Inversed 2X 0.8% 1.2%

11 CSI Strategy Indices: Top & Bottom Performers CSI 300 Volatility Weighted CSI 300 Low Beta CSI 800 Momentum CSI 300 Momentum CSI 200 Stability CSI Holding-Increase & Buy-Back CSI 300 Dynamic CSI 1000 USD Hedged CSI 200 Dynamic CSI 300 High Beta -3.3% -2.0% -2.0% -2.2% -2.4% 2.2% 2.1% 1.7% 1.7% 1.6% SSE Strategy Indices: Top & Bottom Performers SSE Dividend Low Volatility SSE 380 Momentum SSE 180 Low Beta SSE Dividend Value SSE Dividend Volatility Control 20% SSE Private Placement SSE Energy Sector Equal Weight SSE 180 High Beta SSE Holding-Increase & Buy-Back SSE Materials Sector Equal Weight -2.5% -2.5% -2.7% -3.6% -4.1% 1.9% 1.2% 1.0% 1.0% 0.8% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Consumer Discretionary CSI HK 100 Information Technology CSI HK 300 Information Technology CSI HK 300 Leisure CSI HKT Mainland Real Estate CSI HKT Mainland Financials CSI HKT Mainland Banking CSI Hong Kong Securities Investment Thematic CSI HK 300 Consumer Staples CSI HK 300 Materials -5.0% -1.0% -1.6% -1.7% -1.8% 8.2% 7.9% 7.7% 7.4% 6.4%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Health Care CSI Overseas Mainland Utilities CSI Overseas enterprises ex Taiwan CSI Overseas Mainland Consumer CSI Overseas enterprises ex Taiwan Industrials CSI SH-SZ-HK Internet CSI SH-SZ-HK 700 Utilities CSI Overseas China Consumer Staples CSI SH-SZ-HK 700 Energy CSI SH-SZ-HK 700 Consumer Staples -2.7% -2.8% -3.2% -3.3% -4.0% 9.1% 8.9% 7.5% 6.6% 6.1% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % -0.13% CSI Aggregate Bond % -0.33% CSI 1 Bond % 0.71% CSI Aggregate Bond (1-3) % 0.42% CSI Aggregate Bond (3-7) % -0.11% CSI Aggregate Bond (7-10) % -1.33% CSI Aggregate Bond (10+) % -2.16% CSI Treasury Bond % -0.63% CSI Financial Bond % -0.53% CSI Corporate Bond % 0.12% CSI Short Term Note % 0.92% CSI 50 Bond % -0.59% CSI Medium Term Note % -0.06% CSI Short Term Note % 0.80% SSE Corporate Bond % 0.01% SSE Convertible Bond % 0.53%

13 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: