CSI Index Monthly Report. September 2016 Issue

Transcription

1 CSI Index Monthly Report September 2016 Issue

2 CSI Express In September, mainland stock market went southeast generally. CSI 300 Index was down by 2.24% to points. Shanghai Composite Index dropped 2.62% to points. CSI 500 led the size index group. Energy, consumer discretionary and telecom led the sector and thematic group. Average daily turnover of A-share market further shrank to CNY 410 billion. CSI Universal Bond Index rose 0.47% to points. Index Launch in October CSI China A Share Index. The Index is composed of all A Share stocks except securities that have temporarily suspended from listing. The Index is weighted by free-float market capitalization to reflect price performance of A Share stocks. CSI Global Consumer Thematic 50 Index. The Index consists of 50 consumer related securities from the major exchanges in developed markets. SSE Securities Sector Index. The Index is composed of all the A share stocks in securities sector listed in Shanghai Stock Exchange. The market cap of the Index is CNY 1.39 trillion. CSI Big Data Industry Index. The Index is composed of 50 A-Share stocks involved in Big Data Storage Devices, Big Data Platform, Big Data Producing and Big Data application Services, etc. The market cap of the Index is CNY 0.80 trillion. CSI Anime Comic & Game Index. The Index is composed of 50 A-Share stocks involving Anime, Comic, Game, Novel and other companies benefiting from ACG industry. The market cap of the Index is CNY 1.18 trillion. SSE Innovation Driven Theme Index. The Index chooses the top 100 A share stocks listed in SSE which have high innovation input and innovation output. The free float market cap of the Index is CNY 1.25 trillion. SSE 380 Innovation Driven Index. The Index chooses the top 50 stocks in universe of SSE 380 Index which have high innovation input and innovation output. The free float market cap of the Index is CNY 0.39 trillion. CSI Innovation Driven Theme Index. The Index chooses the top 300 stocks in A share market which have high innovation input and innovation output. The free float market cap of the Index is CNY 2.17 trillion. CSI 300 Innovation Driven Index. The Index chooses the top 100 stocks in universe of CSI 300 Index which have high innovation input and innovation output. The free float market cap of the Index is CNY 1.18 trillion. CSI 500 Innovation Driven Index. The Index chooses the top 100 stocks in universe of CSI 500 Index which have high innovation input and innovation output. The free float market cap of the Index is CNY 0.75 trillion. In September, 4 index products which track CSI-licensed indices were incepted in China mainland market. China Universal launched 1 feeder fund to its CSI Shanghai SOEs ETF, which raised CNY 2.25 billion. China Southern launched 1 ETF tracking CSI 1000 Index, which raised CNY 588 million. GF launched 1 feeder fund to its CSI National Defense Industry ETF, which raised CNY 48 million. Penghua launched 1 index fund tracking CSI Hong Kong Middle-Small Corporations Investment Thematic Index, which raised CNY 581 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 3.15% 1.57% % 26.32% % CSI 100 3, % 2.80% 2.61% % 23.71% % CSI 200 4, % 3.75% -0.22% % 33.15% % CSI 500 6, % 3.34% 3.34% % 36.08% % CSI 800 3, % 3.21% 2.08% % 28.43% % CSI , % -0.92% 12.08% % 39.13% % CSI Dividend 3, % 5.99% 9.29% % 27.71% % SSE Composite 3, % 2.56% -1.57% % 26.65% % SSE 50 2, % 2.58% 1.46% % 23.98% % SSE 180 6, % 3.30% -1.03% % 25.35% % SSE 380 5, % 3.67% 0.65% % 35.53% % SSE MidCap 3, % 4.47% -4.92% % 30.08% % SSE SmallCap 4, % 3.57% -1.94% % 35.47% % SSE Dividend 2, % 6.18% 1.70% % 25.60% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (33.1%, 8.6%)* CSI 200 (13.5%, 11.6%) CSI 500 (15.6%, 18.7%) CSI 300 (46.7%, 20.3%) CSI 1000 (18.6%, 29.6%) CSI 800 (62.3%, 39.0%) Shanghai + Shenzhen A-Share Mkt Cap 48.3 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 (42.7%, 10.3%)** SSE MidCap (19.6%, 18.8%) SSE SmallCap (18.7%, 29.9%) SSE 180 (62.3%, 29.1%) SSE 380 (20.3%, 30.0%) Shanghai A-Share Mkt Cap 26.5 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 9/1 9/6 9/9 9/14 9/21 9/26 9/29 Summary 1M 3M 6M 12M YTD Performance -2.24% 3.15% 1.09% 1.57% % Volatility 11.05% 12.36% 14.03% 24.73% 24.23% P/E P/B EPS ROE ROA CSI % 13.15% Energy % 4.89% Materials % 2.47% Industrials % 10.57% Consumer Dis % 18.26% Consumer Sta % 16.56% Health Care % 16.54% Financials % 15.91% IT % 13.43% Telecom Serv % 13.16% Utilities % 16.94% Close Change -2.24% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % -0.18% Advanced 58 Volume Mil Lots CMBC % -0.54% Average Daily INDUSTRIAL BANK % -0.62% Turnover Bil CNY Declined VANKE-A % 4.97% Low Turnover Rate 5.37% Unchanged 11 CMB % -3.38% 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 % -2.59% Top 5 Performers Materials % -3.46% GREE % % Industrials % -3.11% JUNZHENG % % Consumer Dis % -0.56% YIWU CCC % % Consumer Sta % -3.38% ZOOMLION % % Health Care % -0.66% PACIFIC SECURIT % % Financials % -2.04% Bottom 5 Performers IT % -2.47% YONYOU % % Telecom Serv % -2.04% NF SPACE NAVIG % % Utilities % -3.01% HTSC % % HUAWEN MEDIA % % Sector Performance TIK % % Top 5 Contributors 1M 12M 20% GREE % % VANKE-A % % 10% CPIC % % 0% PACIFIC SECURIT % % YIWU CCC % % -10% Bottom 5 Contributors -20% HTSC % % BANKCOMM % % CMB % % KWEICHOW MOU % % CITIC SECURITIES % %

5 CSI 500 Index Analysis Overview Summary 1M 3M 6M 12M YTD Performance -1.65% 3.34% 2.80% 3.34% % Volatility 15.19% 15.63% 21.03% 33.03% 33.36% P/E P/B EPS ROE ROA CSI % 7.75% Energy % 0.11% Materials % 4.12% Industrials % 8.33% Consumer Dis % 9.19% Consumer Sta % 7.88% Health Care % 11.45% Financials % 10.76% IT % 8.01% Telecom Serv % 7.85% Utilities % 14.78% Close Change -1.65% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SJEP % 1.68% Volume Mil Lots Advanced TIANQI LITHIUM % -1.68% Average Daily JCET % 8.31% Turnover Bil CNY Declined 339 ZTT % % Low Turnover Rate 16.28% Unchanged 15 DFYL % 5.68% 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 % 0.80% 0.78 Top 5 Performers Materials % -2.29% ACCELINK % % Industrials % -1.90% WANFENG AUTO % % Consumer Dis % 0.63% JD CAPITAL % % Consumer Sta % -2.99% JINKE % % Health Care % -1.20% JAC % % Financials % 0.86% 1.28 Bottom 5 Performers IT % -3.58% ZJOHCO % % Telecom Serv % 2.10% 1.54 SEVENSTAR % % Utilities % -2.21% BONC % % NFC % % Sector Performance PINGTAN DEVELO % % Top 5 Contributors 50% 40% 30% 20% 10% 0% -10% -20% Bil CNY Daily Turnover Close (right) 9/1 9/6 9/9 9/14 9/21 9/26 9/29 1M 12M WANFENG AUTO % % JINKE % % ACCELINK % % JAC % % WEIFU HIGH-TEC % % Bottom 5 Contributors CITIC SECURITIES % % KWEICHOW MOU % % CMB % % BANKCOMM % % HTSC % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover 9/1 9/6 9/9 9/14 9/21 9/26 9/29 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -2.01% -0.92% 2.53% 12.08% % Volatility 16.55% 16.86% 22.98% 35.83% 36.13% P/E P/B EPS ROE ROA CSI % 6.12% Energy % 0.26% Materials % 2.82% Industrials % 7.06% Consumer Dis % 7.12% Consumer Sta % 6.64% Health Care % 8.27% Financials % 6.62% IT % 6.64% Telecom Serv % 4.09% Utilities % 9.92% Top 5 Weighted Stocks Close Change -2.01% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily SUNWAY COMM % 21.86% Advanced 312 Volume Mil Lots DFD % % Average Daily TIANLI % -5.20% Turnover Bil CNY Declined GANFENGLITHIUM % % Low Turnover Rate 16.53% Unchanged 51 JIANGTE MOTOR % -7.78% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 3.38% 4.32 Top 5 Performers Materials % -3.47% MCST % % Industrials % -1.42% SDGM % % Consumer Dis % -2.09% MAOYE COMMUN % % Consumer Sta % -1.82% UNITED % % Health Care % -1.11% EASA % % Financials % -1.88% Bottom 5 Performers IT % -3.86% METENO % % Telecom Serv % 0.48% WTKG % % Utilities % -0.43% 0.63 ZHEJIANG ZHONG % % LFD % % Sector Performance HUAYOU COBALT % % Top 5 Contributors 1M 12M 30% SUNWAY COMM % % SUNWODA % % 20% MCST % % 10% EASA % % SHSTC % % 0% Bottom 5 Contributors -10% GANFENGLITHIUM % % AKCOME % % ZHEJIANG ZHONG % % DFD % % LFD % %

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 -1.7% -2.4% -2.0% -2.6% -1.4% -1.9% -2.8% -2.1% -0.5% -0.6% -0.2% 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 -4.0% -2.6% -1.7% -3.2% -3.3% -2.1% -2.6% -2.0% -2.3% -2.8% -0.2% CSI Thematic Indices: Top & Bottom Performers CSI Supply-Side Structural Reform CSI Dividend Potential CSI Trust Thematic CSI Coal & Consumable Fuels Equal Weight CSI 300 Consumer Durables and Service CSI Rare Earth Industry CSI HK Gaming Entertainment Thematic CSI Gold Miners CSI All Share Capital Markets CSI Shipbuilding Industry Stimulus -6.0% -6.5% -6.8% -7.2% -7.4% 3.0% 2.7% 2.3% 2.1% 1.8%

8 SSE Thematic Indices: Top & Bottom Performers SSE Grand Agriculture SSE Automobiles SSE Urbanization Green Cities SSE Central Region Industry Top SSE High Dividend Yield Select SSE West Region Industry Top SSE Shanghai's Development SSE Information Technology Dividend SSE Select Resources Industries SSE National Defense Industry -4.6% -4.6% -4.7% -4.8% -5.9% -0.2% -0.3% -0.5% 0.5% 0.0% CSI&SSE Style Indices CSI 500 Value CSI 500 Growth CSI 300 Value CSI 800 Value SSE 180 Value CSI 800 Growth SSE 380 Value SSE 180 Growth SSE LMS Cap Value CSI 300 Growth SSE LMS Cap Growth SSE 380 Growth -1.4% -1.6% -1.7% -1.9% -1.9% -2.1% -2.1% -2.3% -2.3% -2.3% -2.3% -0.8% CSI&SSE Fundamental Indices CSI RAFI 400 CSI RAFI % -1.5% SSEF 300 CSI RAFI 600 CSI RAFI % -1.9% -1.8% SSEF 500 SSEF % -2.5%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Volatility Control 10% CSI 300 Stability CSI 300 Volatility Weighted CSI 300 Sector Neutral Low volatility CSI RAFI 300 CSI 300 Low Beta CSI 300 DownSide Risk Control CSI 300 Minimum Variance CSI 300 Volatility Control 20% CSI 300 Momentum CSI 300 Sector Equal Risk Contribution CSI 300 Sector Equal Weight CSI 300 Equal Risk Contribution Weighted CSI 300 Equal Weight CSI 300 High Beta CSI 300 Dynamic -3.6% -3.7% -2.2% -0.9% -1.3% -1.4% -1.5% -1.6% -1.9% -2.0% -2.0% -2.1% -2.1% -2.4% -2.6% -2.7% -2.7% [*] 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 Volatility Weighted CSI 500 Volatility Control 15% CSI 500 Sector Equal Risk Contribution CSI 500 Low Beta CSI 500 Stability CSI 500 Equal Risk Contribution Weighted CSI 500 Volatility Control 25% CSI 500 Equal Weight CSI 500 DownSide Risk Control CSI 500 Dynamic CSI 500 High Beta -2.2% -2.4% -1.6% -0.6% -0.6% -0.7% -0.7% -0.8% -0.9% -1.1% -1.2% -1.4% -1.5% -1.6% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X -4.9% CSI 300 Inversed 2.3% CSI 300 Inversed 2X 4.2% CSI 300 Futures CSI 300 Futures Leveraged 2X -1.7% -0.8% CSI 300 Futures Inversed CSI 300 Futures Inversed 2X 0.7% 1.3% CSI % CSI100 Leveraged 2X -4.4% CSI100 Inversed 2.1% CSI100 Inversed 2X 3.7% CSI % CSI500 Leveraged 2X -3.8% CSI500 Inversed CSI500 Inversed 2X 1.6% 2.7% SSE % SSE50 Leveraged 2X -5.3% SSE50 Inversed 2.6% SSE50 Inversed 2X 4.8% SSE % SSE 180 Leveraged 2X -5.4% SSE 180 Inversed 2.6% SSE 180 Inversed 2X 4.9%

11 CSI Strategy Indices: Top & Bottom Performers CSI 300 DownSide Risk Control CSI Holding-Increase & Buy-Back CSI Quality and Growth CSI Equity and Bond Risk Parity CSI Equity and Bond Synthetic Option Strategy CSI Equal Weight 90 CSI 100 Dynamic CSI 300 High Beta CSI 200 Dynamic CSI 300 Dynamic -0.5% -2.8% -3.4% -3.6% -3.7% -3.7% 1.0% 0.7% 0.4% 8.0% SSE Strategy Indices: Top & Bottom Performers SSE Equity and Bond Risk Parity SSE Energy Sector Equal Weight SSE 180 Sector Neutral Low volatility SSE Health Care Sector Equal Weight SSE Holding-Increase & Buy-Back SSE Industrials Sector Equal Weight SSE 50 Equal Weight SSE 180 High Beta SSE 180 Dynamic SSE Telecommunication Services Sector -3.3% -3.3% -3.4% -4.1% -4.2% -0.9% -0.9% -0.9% 0.2% 0.1% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 100 Materials CSI HK 300 Leisure CSI HK 300 Information Technology CSI HK 100 Consumer Discretionary CSI HK 100 Information Technology CSI Hong Kong Quality and Growth CSI HK 100 Telecommunication Services CSI HK 300 Transportation CSI HK 300 Industrials CSI HK 100 Industrials -1.3% -1.4% -1.6% -2.8% -4.2% 4.6% 4.5% 4.3% 7.0% 8.4%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI China-U.S. TMT CSI Overseas Mainland Health Care CSI Overseas enterprises ex Taiwan Materials CSI Overseas Mainland Materials CSI SH-SZ-HK Gaming Entertainment CSI Great China ex Taiwan Industrials CSI SH-SZ-HK 400 Industrials CSI Overseas Mainland Utilities CSI Overseas enterprises ex Taiwan Industrials CSI Overseas Mainland Industrials -3.3% -3.3% -3.3% -4.1% -5.9% 9.4% 8.3% 8.3% 7.2% 15.2% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 3.58% CSI Aggregate Bond % 3.86% CSI 1 Bond % 2.08% CSI Aggregate Bond (1-3) % 2.69% CSI Aggregate Bond (3-7) % 3.67% CSI Aggregate Bond (7-10) % 3.36% CSI Aggregate Bond (10+) % 8.66% CSI Treasury Bond % 4.25% CSI Financial Bond % 2.84% CSI Corporate Bond % 4.47% CSI Central Bank Note % 1.72% CSI Short Term Note % 2.53% CSI 50 Bond % 2.64% CSI Medium Term Note % 3.50% CSI Short Term Note % 2.08% SSE Corporate Bond % 2.90% SSE Convertible Bond % -8.80%

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