CSI Index Monthly Report. May 2017 Issue

Transcription

1 CSI Index Monthly Report May 2017 Issue

2 CSI Express In May, the overall mainland stock market followed a down-trending W-curve. Large caps and small caps differ sharply in performance. CSI 300 Index was up by 1.54% to points. CSI 500 Index was down by 6.24% to points. Shanghai Composite Index dropped 1.19% to points. Financials and Energy led the sector group. Average daily turnover of A-share market decreased 20% to CNY 404 billion. CSI Universal Bond Index lost 0.51% to points. CSI announced the periodical review results of CSI-managed indices, including CSI series, Shanghai Stock Exchange series and several Shenzhen Stock Exchange indices on May 31, The results are available on CSI s website ( The adjustments will be effective on June 12, Index Launch in June CSI Northeast Development Index. The Index is composed of representative listed-companies in three Northeast Provinces. The Index is to reflect the A-share performance of the Northeast economic development. The market cap of the Index is CNY 370 billion. CSI Poverty Alleviation Development Index. The Index selects listed companies which are both headquartered in and majorly profited from national level Impoverished Counties as the constituents. Constituent s weight is capped at 5%. The market cap of the Index is CNY 892 billion. SSE Green Bond Index. The Index is composed of green bonds listed on Shanghai Stock Exchange (SSE), whose terms to maturity are above 1 month, excluding ABS, private-placement bond and equity-linked bond. The market cap of the Index is CNY 34 billion. SSE Green Corporate Bond Index. The Index is composed of green corporate bonds listed on Shanghai Stock Exchange (SSE), whose terms to maturity are above 1 month, excluding private-placement bond and equity-linked bond. The market cap of the Index is CNY 17 billion. CSI Exchange Green Bond Index. The Index is composed of green bond listed on Shanghai Stock Exchange(SSE) or Shenzhen Stock Exchange(SZSE), whose term to maturity are above 1 month, excluding ABS, private-placement bond and equity-linked bond. The market cap of the Index is CNY 36 billion. CSI 500 Low Beta Low Volatility Index. The Index is composed of 150 stocks with low beta and low volatility from constituents of CSI 500. And each stock has an equal weight. CSI Fintech Theme Index. The Index is composed of A-Share stocks which relate to Fintech theme, including but not limited to payment & settlement, capital raising, wealth management, retail banking, insurance, transaction settlement and other companies take part in financial industry utilizing information technologies, such as cloud computing, big data, artificial intelligence and Blockchain. In May, 2 index products which track CSI-licensed indices were incepted in China mainland market. Yimin launched 1 index fund tracking CSI Inteligent Consumer Index, which raised CNY 261 million. China Merchants launched 1 enhanced index fund tracking CSI 500 Index, which raised CNY 333 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % 1.16% 10.20% 5.52% 10.84% % CSI 100 3, % 5.10% 15.40% 9.93% 10.53% % CSI 200 3, % -5.78% 1.19% -2.22% 13.13% % CSI 500 5, % -9.72% -2.07% -7.02% 15.14% % CSI 800 3, % -2.07% 6.53% 1.76% 11.52% % CSI , % % % % 17.37% % CSI Dividend 4, % 1.47% 16.61% 7.36% 11.16% % SSE Composite 3, % -3.84% 6.88% 0.44% 10.79% % SSE 50 2, % 4.57% 15.00% 8.40% 10.68% % SSE 180 7, % 1.28% 12.03% 5.82% 10.33% % SSE 380 5, % -9.93% 0.23% -6.71% 14.62% % SSE MidCap 3, % -3.94% 7.34% 1.64% 11.34% % SSE SmallCap 4, % % -0.53% -6.91% 14.90% % SSE Dividend 2, % 2.12% 16.81% 8.11% 10.59% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (36.0%, 13.6%)* CSI 200 (1, 1) CSI 500 (14.0%, 18.1%) CSI 300 (48.6%, 26.2%) CSI 1000 (15.3%, 22.8%) CSI 800 (6, 44.3%) Shanghai + Shenzhen A-Share Mkt Cap 51.2 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 (44.0%, 16.5%)** SSE MidCap (18.8%, 16.7%) SSE SmallCap (16.8%, 25.7%) SSE 180 (62.7%, 33.2%) SSE 380 (17.3%, 25.3%) Shanghai A-Share Mkt Cap 29.8 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 5/2 5/5 5/10 5/15 5/18 5/23 5/26 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.54% 1.16% -1.28% 10.20% 5.52% Volatility 9.49% 8.50% 9.49% 11.32% 8.33% P/E P/B EPS ROE ROA CSI % 13.40% Energy % 5.05% Materials % 3.52% Industrials % 10.82% Consumer Dis % 17.64% Consumer Sta % 17.27% Health Care % 17.92% Financials % 15.97% IT % 14.68% Telecom Serv % 13.01% Utilities % 18.00% Top 5 Weighted Stocks Close Change 1.54% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 18.73% Advanced 121 Volume Mil Lots CMB % 17.20% Average Daily KWEICHOW MOU % 7.12% Turnover Bil CNY Declined INDUSTRIAL BANK % 7.05% Low Turnover Rate 7.18% Unchanged 15 CMBC % 2.03% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.28% 1.93 Top 5 Performers Materials % -4.69% PING AN OF CHIN % % Industrials % -5.05% NCI % % Consumer Dis % 2.03% 8.10 CMB % % Consumer Sta % 4.36% 9.79 HAIER % % Health Care % 3.84% 6.43 SSC % % Financials % 5.20% Bottom 5 Performers IT % -2.58% FIRST CAPITAL % % Telecom Serv % 1.93% 1.10 GOLDEN DRAGON % % Utilities % 3.09% 3.09 SZKINGDOM % % AECC AP % % Sector Performance AVIC AIRCRAFT % % Top 5 Contributors 1M 12M 40% PING AN OF CHIN % % CMB % % 30% KWEICHOW MOU % % 20% INDUSTRIAL BANK % % 10% SPD BANK % % 0% Bottom 5 Contributors -10% AVIC AIRCRAFT % % CSICL % % BOW % % SEARAINBOW % % SD-GOLD % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover 5/2 5/5 5/10 5/15 5/18 5/23 5/26 Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -6.24% -9.72% % -2.07% -7.02% Volatility 16.29% 14.02% 14.15% 15.67% 13.67% P/E P/B EPS ROE ROA CSI % 7.48% Energy % 0.39% Materials % 2.55% Industrials % 8.16% Consumer Dis % 9.26% Consumer Sta % 8.43% Health Care % 11.64% Financials % 11.41% IT % 7.26% Telecom Serv % 7.56% Utilities % 13.41% Top 5 Weighted Stocks Close Change -6.24% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily JINKE % 8.82% Volume Mil Lots Advanced SUNWAY COMM % 0.11% Average Daily GANFENGLITHIUM % -1.30% Turnover Bil CNY Declined AJ % 0.00% Low Turnover Rate 15.09% Unchanged 18 SFY % 8.49% Sector Analysis Close (right) Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -6.03% Top 5 Performers Materials % -6.99% HUAQIANG INDUS % % Industrials % -7.10% ####### LSHEC % % Consumer Dis % -6.77% XSSYIM % % Consumer Sta % -5.74% USISH % % Health Care % -6.78% ORIENTAL YUHON % % Financials % -5.06% Bottom 5 Performers IT % -9.31% MEISHENG CULTU % % Telecom Serv % -3.77% HT-SAAE % % Utilities % -8.43% SEES % % KINGFA % % Sector Performance ADDSINO % % Top 5 Contributors 1M 12M 20% ORIENTAL YUHON % % JINKE % % 10% HUAQIANG INDUS % % 0% SFY % % USISH % % -10% Bottom 5 Contributors -20% SPC % % HT-SAAE % % GDAD % % KINGFA % % ADDSINO % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover Summary 1M 3M 6M 12M YTD Performance -8.03% % % % % Volatility 18.35% 15.75% 17.13% 17.84% 16.22% P/E P/B EPS ROE ROA CSI % 6.43% Energy % 0.26% Materials % 3.74% Industrials % 7.76% Consumer Dis % 7.23% Consumer Sta % 4.96% Health Care % 9.10% Financials % 5.38% IT % 6.59% Telecom Serv % 4.17% Utilities % 10.82% Close Change -8.03% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily CHINA-KINWA % -5.91% Advanced 121 Volume Mil Lots WALVAX % 8.47% Average Daily HUAYOU COBALT % -9.95% Declined 810 Turnover Bil CNY BICON % 0.69% Low Turnover Rate 12.81% Unchanged 69 TIANGUANG ZHON % % Sector Analysis Close (right) 5/2 5/5 5/10 5/15 5/18 5/23 5/ 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 % -4.96% Top 5 Performers Materials % % ####### TMMT % % Industrials % % ####### QIYUAN EQUIPME % % Consumer Dis % -8.16% HARSON % % Consumer Sta % -8.54% HUITIAN NEW MA % % Health Care % -9.12% DAYU WATER-SA % % Financials % -9.51% Bottom 5 Performers IT % -9.68% LS BEARINGS % % Telecom Serv % % HONGHUI % % Utilities % % HIKING % % DONLINKS % % Sector Performance GIT % % Top 5 Contributors 1M 12M 10% TMMT % % QIYUAN EQUIPME % % 0% WALVAX % % -10% CGE % % SHANDA WIT % % -20% Bottom 5 Contributors -30% WEST CONSTRUC % % LS BEARINGS % % S.T.H % % HAREON SOLAR % % IMIC % %

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 -6.8% -7.1% -3.1% -1.4% -3.0% -1.7% -2.0% -4.9% -3.4% -2.4% 4.1% 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 -7.2% -5.3% -4.2% -4.2% -1.2% -1.3% -1.0% 0.2% 0.3% 0.4% 7.4% CSI Thematic Indices: Top & Bottom Performers CSI Insurance Thematic CSI Pan Pearl River Industry Top CSI China Mainland Banks CSI Financials Sub-industry CSI China Mainland Financials CSI Western Development CSI Shipbuilding Industry Stimulus CSI National Defense Industry CSI All Share Capital Markets CSI Defense -12.9% -14.2% -14.5% -17.6% -18.1% 11.0% 7.3% 6.0% 5.6% 5.6%

8 SSE Thematic Indices: Top & Bottom Performers SSE Sustainable development industry SSE Health Industry SSE Dividend Potential SSE 180 Infrastructure SSE Dividend Return SSE Smart Home SSE Supply-Side Structural Reform SSE Innovation Driven Theme SSE TMT Industry SSE Urbanization Intelligent Transport -5.9% -5.9% -6.0% -6.6% -6.7% 1.9% 1.9% 1.4% CSI&SSE Style Indices SSE 180 Value SSE 180 Growth CSI 300 Value CSI 300 Growth SSE LMS Cap Value SSE LMS Cap Growth CSI 800 Value CSI 800 Growth CSI 500 Growth CSI 500 Value SSE 380 Value SSE 380 Growth -5.0% -5.7% -5.7% -6.8% 5.6% 5.4% 5.1% 4.3% 4.0% 3.7% 2.9% 2.1% CSI&SSE Fundamental Indices CSI RAFI % CSI RAFI 200 SSEF 200 SSEF 500 CSI RAFI % 1.4% CSI RAFI 400 SSEF % -5.8%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Momentum CSI 300 Stability CSI 300 Volatility Weighted CSI 300 Sector Neutral Low volatility CSI RAFI 300 CSI 300 Low Beta CSI 300 Volatility Control 10% CSI 300 Volatility Control 20% CSI 300 DownSide Risk Control CSI 300 Sector Equal Risk Contribution CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Equal Weight CSI 300 Equal Weight CSI 300 Dynamic CSI 300 High Beta -5.1% 0.0% -1.0% -1.6% -2.4% -2.7% 1.5% 4.3% 3.7% 1.8% 1.8% 1.5% 1.5% 1.1% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI 500 CSI 500 DownSide Risk Control CSI 500 Low Beta CSI 500 Sector Neutral Low volatility CSI 500 Sector Neutral Low volatility CSI 500 Volatility Weighted CSI 500 Sector Equal Risk Contribution CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Equal Risk Contribution Weighted CSI 500 Stability CSI 500 Dynamic CSI 500 Equal Weight CSI 500 High Beta -6.2% -4.7% -4.7% -4.7% -5.1% -5.5% -5.9% -5.9% -6.0% -6.2% -6.3% -6.4% -6.9% -0.2% [*] 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 1.5% CSI 300 Inversed CSI 300 Inversed 2X -3.4% -1.5% CSI 300 Futures CSI 300 Futures Leveraged 2X 2.4% 4.8% CSI 300 Futures Inversed CSI 300 Futures Inversed 2X -4.9% -2.4% CSI % CSI100 Leveraged 2X 9.3% CSI100 Inversed -4.6% CSI100 Inversed 2X CSI % -6.2% CSI500 Leveraged 2X -12.7% CSI500 Inversed 6.5% CSI500 Inversed 2X 12.8% SSE % SSE50 Leveraged 2X 11.0% SSE50 Inversed -5.3% SSE50 Inversed 2X -10.9% SSE 180 SSE 180 Leveraged 2X 2.8% 5.1% SSE 180 Inversed SSE 180 Inversed 2X -5.7% -2.7%

11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Stability CSI 300 Momentum CSI 300 Stability CSI 300 Volatility Weighted CSI 300 Sector Neutral Low volatility CSI 500 High Beta CSI 1000 Currency Dynamic Hedged CSI Earnings Quality CSI 1000 Sector Neutral Low volatility CSI 1000 USD Hedged -6.9% -7.4% -8.2% -8.3% -8.5% 4.3% 3.7% 7.1% SSE Strategy Indices: Top & Bottom Performers SSE Financials Sector Equal Weight SSE 180 Momentum SSE50 Fundamental Weighted SSE 50 USD Hedged SSE 50 Volatility Control 20% SSE 380 USD Hedged SSE Information Technology Sector Equal SSE Wealth Mid-Small SSE 380 Dynamic SSE 380 High Beta -7.5% -7.8% -7.9% -8.0% -8.6% 6.2% 6.1% 5.8% 5.4% 5.4% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HKT Mainland Real Estate CSI Hong Kong Connect High Dividend Yield CSI Hong Kong Dividend CSI Hong Kong Dividend Equal Weight CSI HK 100 Health Care CSI HK 100 Industrials -1.4% CSI HK 300 Upstream Industry -1.5% CSI HK IPO -1.5% CSI HK 300 Nature Resource -1.6% CSI HK 300 Materials -2.7% 13.2% 12.7% 9.8% 8.6% 8.2%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI SH-SZ-HK Mainland Insurance CSI Overseas Mainland Consumer CSI Overseas Mainland Enterprises ex HK CSI Overseas China Internet 30 CSI Overseas China Internet 50 CSI SH-SZ-HK 700 Information Technology -5.8% CSI SH-SZ-HK 700 Energy -6.1% CSI SH-SZ-HK 700 Materials -6.1% CSI China Mainland Enterprises Global -6.4% CSI China Mainland Enterprises Global -6.8% 7.8% 6.2% 6.1% 6.0% 10.9% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % -0.93% CSI Aggregate Bond % -1.39% CSI 1 Bond % 1.11% CSI Aggregate Bond (1-3) % 0.20% CSI Aggregate Bond (3-7) % -1.22% CSI Aggregate Bond (7-10) % -3.12% CSI Aggregate Bond (10+) % -4.47% CSI Treasury Bond % -2.21% CSI Financial Bond % -1.33% CSI Corporate Bond % -0.72% CSI Short Term Note % 1.52% CSI 50 Bond % -1.80% CSI Medium Term Note % -0.82% CSI Short Term Note % 1.33% SSE Corporate Bond % -1.13% SSE Convertible Bond % -1.99%

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