CSI Index Monthly Report. December 2018 Issue

Transcription

1 CSI Index Monthly Report December 2018 Issue

2 CSI Express In December, the mainland stock market (CSI All Share Index) went all the way to southeast. CSI 300 Index was down by 5.11% to 3011 points. CSI 500 Index was down by 4.77% to 4168 points. Shanghai Composite Index dropped 3.64% to 2494 points. Large caps again underperformed small caps. Utilities and Consumer Staples led the sector group. Average daily turnover of A-share market dropped 25% to CNY 264 billion. CSI Universal Bond Index gained 0.68% to points. Through the whole year, CSI 300 was down by 25.31%, CSI 500 was down by 33.32%, CSI 1000 lost 36.87% and Shanghai Composite lost 24.59%. Index release announcement CSI Zhejiang New Economic Engine Index selects 100 globally listed Zhejiang province companies as the index constituents. The index is characterized by large market-cap and weighted by adjusted market capitalization. The index can measure the overall performance of listed Zhejiang securities worldwide. CSI Shenzhen Technology Innovation Index focuses on the technology innovation theme and selects a certain number of stocks from growth, value, quality, and R&D dimensions as constituents. CSI Convertible Bond and Exchangeable Bond Index is composed of convertible bonds and exchangeable bonds listed on SSE market or SZSE market. The index is weighted by market capitalization. 8 index products which track CSI-licensed indices were incepted in China mainland market. ICBCCS launched 1 ETF tracking SSE 50 Index, which raised CNY 11.4 billion. It also launched 1 feeder fund to the ETF, which raised CNY 619 million. PICC AMC launched 1 index fund tracking CSI 500 Index, which raised CNY 255 million. Nanhua launched 1 ETF tracking CSI Hangzhou Bay Area Index, which raised CNY 503 million. Huatai Pinebridge launched 1 ETF tracking CSI Dividend Low Volatility Index, which raised CNY 684 million. Taikang Asset launched 1 index fund tracking CSI HK Connect Financials(ex Banks) Thematic Index, which raised CNY 26 million. Ping An launched 1 ETF tracking CSI PingAn 5-10y CGB Benchmark Index, which raised CNY 1.1 billion. Fullgoal launched 1 feeder fund to its CSI GuoSen Value ETF, which raised CNY 256 million. 1 index product which tracks CSI-licensed indices was launched in ex-china mainland market. CICC listed 1 ETF tracking CSI CICC Select 100 Index on HKEx. By end 2018, there are 529 mutual funds and ETFs tracking CSI-licensed indices globally with total AUM CNY 610 billion.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % % % % 20.95% % CSI 100 3, % % % % 21.37% % CSI 200 2, % % % % 22.57% % CSI 500 4, % % % % 23.63% % CSI 800 3, % % % % 20.97% % CSI , % % % % 24.40% % CSI Dividend 3, % -6.62% % % 18.83% % SSE Composite 2, % % % % 19.25% % SSE 50 2, % % % % 21.48% % SSE 180 6, % % % % 20.14% % SSE 380 3, % % % % 23.50% % SSE MidCap 2, % % % % 19.72% % SSE SmallCap 3, % % % % 23.34% % SSE Dividend 2, % -7.94% % % 17.70% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (42.0%, 17.4%)* CSI 200 (14.5%, 13.3%) CSI 500 (14.0%, 16.2%) CSI 300 (56.5%, 30.7%) CSI 1000 (13.8%, 24.4%) CSI 800 (70.4%, 46.9%) Shanghai + Shenzhen A-Share Mkt Cap 43.4 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 (48.8%, 24.8%)** SSE MidCap (20.2%, 18.7%) SSE SmallCap (14.6%, 22.5%) SSE 180 (69.0%, 43.5%) SSE 380 (14.8%, 22.6%) Shanghai A-Share Mkt Cap 26.9 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 0 12/3 12/6 12/11 12/14 12/19 12/24 12/27 Summary 1M 3M 6M 12M YTD Performance -5.11% % % % % Volatility 17.79% 25.61% 23.70% 20.91% 20.91% P/E P/B EPS ROE ROA CSI % 13.29% Energy % 4.70% Materials % 3.51% Industrials % 11.35% Consumer Dis % 19.49% Consumer Sta % 19.05% Health Care % 16.00% Financials % 15.89% IT % 15.32% Telecom Serv % 11.39% Utilities % 17.70% Close Change -5.11% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHINA % % Advanced 62 Volume Mil Lots KWEICHOW MOUTA % 4.43% Average Daily CMB % % 238 Turnover Bil CNY Declined INDUSTRIAL BANK % -6.27% Low Turnover Rate 4.95% Unchanged 0 GREE % -3.15% 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 % -8.29% Top 5 Performers Materials % -5.09% PWRD % % Industrials % -2.33% YanAn Bicon % % Consumer Dis % -1.42% SD-GOLD % % Consumer Sta % 1.12% 2.94 CYPC % % Health Care % % SDIC POWER % % Financials % -7.02% Bottom 5 Performers IT % -7.14% SHANGHAI RAAS % % Telecom Serv % -2.72% LEPU MEDICAL % % Utilities % 7.06% 6.16 HD MEDICINE % % SANQI HUYU % % Sector Performance SAN'AN OPTO % % Top 5 Contributors 1M 12M 10% KWEICHOW MOUTA % % CYPC % % 0% SAIC MOTOR % % -10% CITS % % -20% HAI TIAN % % -30% Bottom 5 Contributors -40% PING AN OF CHINA % % CMB % % HR % % SHANGHAI RAAS % % INDUSTRIAL BANK % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 0 12/3 12/6 12/11 12/14 12/19 12/24 12/27 Summary 1M 3M 6M 12M YTD Performance -4.77% % % % % Volatility 19.15% 28.66% 25.10% 23.60% 23.60% P/E P/B EPS ROE ROA CSI % 7.85% Energy % 0.03% Materials % 1.04% Industrials % 8.45% Consumer Dis % 9.02% Consumer Sta % 6.73% Health Care % 12.15% Financials % 13.40% IT % 7.98% Telecom Serv % 7.49% Utilities % 14.63% Close Change -4.77% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily JINYU % -5.31% 110 Volume Mil Lots Advanced JINKE % 3.51% Average Daily JONJEE HI-TECH % 4.21% Turnover Bil CNY Declined 385 GUANGHUI ENERG % -5.53% Low Turnover Rate 9.31% Unchanged 5 BY-HEALTH % % 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 % -6.26% Top 5 Performers Materials % -2.66% GUIDE INFRARED % % Industrials % -3.73% YTR % % Consumer Dis % -3.64% SMAC % % Consumer Sta % -0.54% YOUZU % % Health Care % -6.42% ELION % % Financials % -3.04% Bottom 5 Performers IT % -4.40% Neoglory prosperity % % Telecom Serv % -0.20% CYG % % Utilities % -0.01% THST % % WATERTEK % % Sector Performance HISUN % % Top 5 Contributors 1M 12M 0% YTR % % TSINGTAO BREWER % % -10% YOUZU % % -20% GUIDE INFRARED % % -30% SYTECH % % -40% Bottom 5 Contributors -50% THST % % WATERTEK % % LIVZON GROUP % % BY-HEALTH % % CYG % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 0 12/3 12/6 12/11 12/14 12/19 12/24 12/27 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -4.69% % % % % Volatility 19.75% 29.60% 25.63% 24.37% 24.37% P/E P/B EPS ROE ROA CSI % 5.02% Energy % -6.17% Materials % -0.03% Industrials % 6.55% Consumer Dis % 6.49% Consumer Sta % 6.44% Health Care % 9.81% Financials % 3.70% IT % 6.70% Telecom Serv % 5.26% Utilities % 8.56% Top 5 Weighted Stocks Close Change -4.69% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily HONGTEO % 4.21% Advanced 204 Volume Mil Lots BIOKANGTAI % % Average Daily CASYMCHEM % -1.52% 793 Turnover Bil CNY Declined TCMEDICAL % -3.61% Low Turnover Rate 15.15% Unchanged 3 SUNLORD % -1.91% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -6.42% Top 5 Performers Materials % -4.43% MORN ELECTRIC % % Industrials % -3.09% CXJG % % Consumer Dis % -3.80% CHANGSHU FENGF % % Consumer Sta % -1.08% SHENGLU % % Health Care % -7.23% JMC % % Financials % -4.20% Bottom 5 Performers IT % -4.45% TECHCENT ENVIRO % % Telecom Serv % 1.57% MODERN AVENUE % % Utilities % -6.46% WINGTECH % % ZRC % % Sector Performance FEIMA INT'L % % Top 5 Contributors 1M 12M 0% CBC % % HAITE % % -10% CXJG % % -20% SUNSEA % % HKAIT % % -30% Bottom 5 Contributors -40% BIOKANGTAI % % ANKEBIO % % NHWA % % DXLT % % WINGTECH % %

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 -11.0% -4.8% -7.4% -4.6% -3.4% -3.2% -6.4% -5.9% -0.2% -0.4% 1.3% 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 -10.7% -7.7% -6.6% -7.3% -3.6% -3.6% -1.5% -1.1% 1.8% 2.4% 4.0% CSI Thematic Indices: Top & Bottom Performers CSI Telecommunication Services Dividend CSI Utilities Dividend CSI Gold Miners CSI Precious Metals Industry CSI Water Resources CSI Biotechnology Thematic CSI Health Care Thematic CSI Health Care Sub-industry CSI All Share Capital Markets CSI Precision Medicine -11.0% -11.3% -12.3% -12.9% -13.3% 7.6% 4.1% 3.1% 2.8% 1.8%

8 SSE Thematic Indices: Top & Bottom Performers SSE Telecommunication Services Dividend SSE Utilities Dividend SSE Consumer Staples Dividend SSE Consumer 50 SSE 380 Dividend China Strategic Emerging Industries -7.5% SSE Health Care Dividend -7.7% SSE Health Care theme -8.7% SSE Internet Finance -8.7% SSE Energy Dividend -8.7% 9.1% 6.4% 5.0% 2.3% 2.0% CSI&SSE Style Indices SSE 380 Value CSI 500 Value CSI 800 Value SSE LMS Cap Value SSE 180 Value SSE 380 Growth CSI 300 Value SSE 180 Growth SSE LMS Cap Growth CSI 300 Growth CSI 500 Growth CSI 800 Growth -5.7% -5.8% -6.3% -6.7% -6.7% -4.5% -4.5% -4.6% -4.6% -4.7% -3.4% -2.1% CSI&SSE Fundamental Indices SSEF 200 CSI RAFI 200 SSEF 500 CSI RAFI 600 CSI RAFI % -3.7% -3.9% -3.9% -4.2% CSI RAFI 400 SSEF % -4.9%

9 CSI 300 vs. Smart Beta Indices CSI 300 CSI 300 DownSide Risk Control CSI 300 Volatility Control 10% CSI 300 Sector Equal Risk Contribution CSI 300 Low Beta CSI 300 Volatility Weighted CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 Volatility Control 20% CSI 300 Sector Neutral Low volatility CSI 300 Stability CSI 300 Equal Weight CSI 300 Momentum CSI 300 Dynamic CSI 300 High Beta -5.1% -2.1% -2.2% -2.7% -3.3% -3.7% -4.2% -4.2% -4.4% -4.7% -5.1% -5.6% -6.0% -6.5% 0.1% CSI 500 vs. Smart Beta Indices CSI % CSI 500 DownSide Risk Control 0.0% CSI 500 Volatility Control 15% CSI 500 Sector Neutral Low volatility -2.5% -2.5% CSI 500 Volatility Weighted CSI 500 Sector Equal Risk Contribution CSI 500 Stability CSI 500 Low Beta CSI 500 Volatility Control 25% CSI 500 Equal Risk Contribution Weighted CSI 500 Equal Weight CSI 500 High Beta CSI 500 Dynamic -3.4% -3.8% -4.0% -4.2% -4.2% -4.3% -4.9% -5.5% -5.6%

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X -10.5% CSI 300 Inversed 5.2% CSI 300 Inversed 2X 10.1% CSI 300 Futures -5.3% CSI 300 Futures Leveraged 2X -10.5% CSI 300 Futures Inversed 5.3% CSI 300 Futures Inversed 2X 10.5% CSI % CSI100 Leveraged 2X -10.6% CSI100 Inversed 5.3% CSI100 Inversed 2X 10.2% CSI % CSI500 Leveraged 2X -9.9% CSI500 Inversed 4.8% CSI500 Inversed 2X 9.1% SSE % SSE50 Leveraged 2X -11.3% SSE50 Inversed 5.8% SSE50 Inversed 2X 11.2% SSE % SSE 180 Leveraged 2X -9.6% SSE 180 Inversed 4.8% SSE 180 Inversed 2X 9.2%

11 CSI Strategy Indices: Top & Bottom Performers CSI Dividend Low Volatility CSI Equity and Bond Risk Parity CSI Equity and Bond Synthetic Option Strategy CSI 300 DownSide Risk Control CSI 500 DownSide Risk Control CSI 300 Dynamic CSI 100 Dynamic CSI 200 Dynamic CSI 300 High Beta CSI Private Placement -6.0% -6.3% -6.4% -6.5% -7.3% 0.0% 0.6% 0.5% 0.1% 0.1% SSE Strategy Indices: Top & Bottom Performers SSE Telecommunication Services Sector SSE SH-HK AH Premium SSE Consumer Staples Sector Equal Weight SSE Telecommunication Services Sector SSE Equity and Bond Risk Parity SSE 180 Momentum -6.0% SSE 380 Dynamic -6.4% SSE Private Placement -6.7% SSE Energy Sector Equal Weight -8.1% SSE Health Care Sector Equal Weight -9.5% 3.2% 1.6% 1.6% 0.5% 0.5% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Materials CSI HK 100 Utilities CSI HK 300 Utilities CSI HK Connect Utilities Composite CSI HK 300 Real Estate CSI HK 300 Energy CSI HK 100 Energy CSI HK Connect Health Care Composite CSI HK 300 Health Care CSI HK 100 Health Care -27.5% -10.4% -10.8% -18.2% -19.6% 1.3% 0.4% 0.1% 0.1% 10.2%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas enterprises ex Taiwan Materials CSI China Mainland Enterprises 400 Utilities CSI SH-SZ-HK 400 Utilities CSI Great China ex Taiwan Utilities CSI China Mainland Enterprises 1000 Utilities CSI Great China ex Taiwan Health Care -16.7% CSI SH-SZ-HK 400 Health Care -17.1% CSI Overseas China Mainland Enterprises -19.2% CSI Overseas Mainland Health Care -22.3% CSI Overseas enterprises ex Taiwan Health -22.6% 5.1% 3.1% 2.3% 2.2% 1.2% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 8.12% CSI Aggregate Bond % 8.85% CSI 1 Bond % 4.38% CSI Aggregate Bond (1-3) % 6.67% CSI Aggregate Bond (3-7) % 8.40% CSI Aggregate Bond (7-10) % 11.24% CSI Aggregate Bond (10+) % 16.29% CSI Treasury Bond % 8.64% CSI Financial Bond % 9.89% CSI Corporate Bond % 7.95% CSI Short Term Note % 4.55% CSI 50 Bond % 8.93% CSI Medium Term Note % 6.29% CSI Short Term Note % 1.69% SSE Corporate Bond % 6.89% SSE Convertible Bond % -0.10%

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