CSI Index Monthly Report. January 2018 Issue

Transcription

1 CSI Index Monthly Report January 2018 Issue

2 CSI Express In January, the mainland stock market rose sharply but adjusted in the last week. CSI 300 Index was up by 6.08% to 4276 points. CSI 500 Index was down by 0.98% to 6189 points. Shanghai Composite Index climbed 5.25% to 3481 points. Large caps outperformed small caps. Financials and Energy led the sector group. Average daily turnover of A-share market bounced back to CNY 519 billion. CSI Universal Bond Index gained 0.31% to points. Index release announcement in January CSI AVIC Military-Civilian Integration Index is composed of A-Share stocks which are related to Military-Civilian Integration, including subsidiaries of the twelve large military group corporations or the qualified private enterprises whose revenues are from the aerospace defense industry, as well as those companies belong to the fields of dual-use technologies. The free float market cap of the Index is CNY 1.49 trillion. CSI CICC Select 300 Index includes the A-share stocks with higher size, liquidity and operation revenue of each industry group in the stock pool, and then selects 300 stocks which are characterized by sustained high ROE, high dividend yield and growth as constituents. CSI CICC Select 100 Index includes the A-share stocks with higher size, liquidity and operation revenue of each industry group in the stock pool, and then selects 100 stocks which are characterized by sustained high ROE, high dividend yield and growth as constituents. CSI SWS Quality Strategy Index selects no more than 100 A-share stocks which are characterized by high roe. In January, 3 index products which track CSI-licensed indices were incepted in China mainland market. GF launched 1 feeder fund to its CSI Media ETF, which raised CNY 16 million. China Southern switched an active fund to an index fund tracking CSI 100 Index, with AUM around CNY 400 million. China Life AMP launched 1 ETF tracking CSI 300 Index, which raised CNY 295 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 4, % 6.72% 26.21% 6.08% 10.37% % CSI 100 4, % 11.12% 37.04% 8.83% 11.41% % CSI 200 4, % -1.80% 7.24% 0.58% 11.92% % CSI 500 6, % -5.65% -0.55% -0.98% 14.37% % CSI 800 4, % 3.34% 18.30% 4.23% 10.33% % CSI , % % % -3.23% 15.49% % CSI Dividend 5, % 6.38% 21.98% 6.76% 9.63% % SSE Composite 3, % 2.58% 10.18% 5.25% 8.71% % SSE 50 3, % 11.57% 31.84% 8.96% 11.49% % SSE 180 9, % 7.88% 24.26% 7.20% 9.75% % SSE 380 5, % -3.64% -0.12% -0.71% 13.80% % SSE MidCap 3, % 1.78% 12.34% 4.19% 9.82% % SSE SmallCap 4, % -4.64% -0.69% -1.13% 14.42% % SSE Dividend 3, % 7.69% 20.51% 7.47% 8.99% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (40.7%, 26.4%)* CSI 200 (14.0%, 15.5%) CSI 500 (13.8%, 17.9%) CSI 300 (54.7%, 41.9%) CSI 1000 (14.2%, 18.5%) CSI 800 (68.5%, 59.8%) Shanghai + Shenzhen A-Share Mkt Cap 58.4 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 (47.6%, 32.6%)** SSE MidCap (19.5%, 21.1%) SSE SmallCap (15.7%, 21.1%) SSE 180 (67.1%, 53.7%) SSE 380 (16.2%, 21.6%) Shanghai A-Share Mkt Cap 35.0 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

4 CSI 300 Index Analysis Overview Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 6.08% 6.72% 14.39% 26.21% 6.08% Volatility 10.93% 13.22% 11.13% 10.22% 10.93% P/E P/B EPS ROE ROA CSI % 13.11% Energy % 4.86% Materials % 3.39% Industrials % 10.81% Consumer Dis % 19.05% Consumer Sta % 18.38% Health Care % 16.96% Financials % 15.90% IT % 15.42% Telecom Serv % 12.19% Utilities % 11.74% Top 5 Weighted Stocks Close Change 6.08% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 7.29% Advanced 178 Volume Mil Lots KWEICHOW MOU % 9.61% Average Daily CMB % 16.95% Turnover Bil CNY Declined MIDEA GROUP % 7.92% Low Turnover Rate 13.10% Unchanged 9 GREE % 28.01% Sector Analysis /2 1/5 1/10 1/15 1/18 1/23 1/26 1/31 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 12.14% Top 5 Performers Materials % 3.31% 9.58 RISESUN % % Industrials % 1.36% 7.46 CFLD % % Consumer Dis % 7.18% FUTURE LAND % % Consumer Sta % 7.91% CMSK % % Health Care % 1.69% 3.65 NJCB % % Financials % 10.70% Bottom 5 Performers IT % -1.85% ZHONGDA CO % % Telecom Serv % -9.27% SUNWAY COMM % % Utilities % 1.12% 1.20 GOERTEK % % GANFENGLITHIUM % % Sector Performance UNIS % % Top 5 Contributors 100% 80% 60% 40% 20% 0% -20% Bil CNY Daily Turnover 1M 12M Close (right) GREE % % PING AN OF CHIN % % CMB % % KWEICHOW MOU % % VANKE-A % % Bottom 5 Contributors SUNWAY COMM % % ZTE % % NCI % % ZHONGDA CO % % GANFENGLITHIUM % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -0.98% -5.65% -1.73% -0.55% -0.98% Volatility 13.84% 15.37% 14.26% 14.36% 13.84% P/E P/B EPS ROE ROA CSI % 7.93% Energy % 0.55% Materials % 2.51% Industrials % 9.21% Consumer Dis % 8.26% Consumer Sta % 7.03% Health Care % 12.13% Financials % 12.54% IT % 7.90% Telecom Serv % 5.37% Utilities % 13.33% Top 5 Weighted Stocks Close Change -0.98% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily FANGDA CARBON % 2.63% Volume Mil Lots Advanced CJS % 1.53% Average Daily JINYU % -5.26% Turnover Bil CNY Declined NAVINFO % -9.44% Low Turnover Rate 15.84% Unchanged 28 CCHN % -5.90% Sector Analysis Close (right) /2 1/5 1/10 1/15 1/18 1/23 1/26 1/31 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 5.33% 7.13 Top 5 Performers Materials % 5.57% TAIHE GROUP % % Industrials % -3.41% LUXI CHEMICAL % % Consumer Dis % 1.10% 2.49 BRC % % Consumer Sta % 0.90% 2.44 STSS % % Health Care % -1.54% BLUEFOCUS % % Financials % 9.41% Bottom 5 Performers IT % -6.37% BOCO % % Telecom Serv % -7.76% HYTERA % % Utilities % -1.24% KINGCLEAN % % VCANBIO % % Sector Performance SEVENSTAR % % Top 5 Contributors 1M 12M 30% TAIHE GROUP % % LUXI CHEMICAL % % 20% SUN PAPER % % 10% HUAFA INDUSTRI % % 0% TKGF % % -10% Bottom 5 Contributors -20% NAVINFO % % LK % % SPC % % UGC % % HYTERA % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -3.23% % -8.78% % -3.23% Volatility 15.07% 15.51% 14.49% 15.45% 15.07% P/E P/B EPS ROE ROA CSI % 5.18% Energy % -7.30% Materials % 2.55% Industrials % 6.46% Consumer Dis % 6.16% Consumer Sta % 5.05% Health Care % 8.52% Financials % 5.80% IT % 6.38% Telecom Serv % 4.34% Utilities % 8.93% Top 5 Weighted Stocks Close Change -3.23% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 3.01% Advanced 277 Volume Mil Lots SCSF % -1.90% Average Daily VATTI % 10.35% Turnover Bil CNY Declined SHANYING PAPER % 8.53% Low Turnover Rate 14.14% Unchanged 42 TIANGUANG ZHON % -0.22% Sector Analysis Close (right) /2 1/5 1/10 1/15 1/18 1/23 1/26 11/30 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.49% 2.61 Top 5 Performers Materials % -1.26% YONGJI PRINTING % % Industrials % -3.45% FANGDA GROUP % % Consumer Dis % -1.18% SRZY % % Consumer Sta % -0.59% HEJIA % % Health Care % -0.47% SHANGHAI GANG % % Financials % 3.61% 8.13 Bottom 5 Performers IT % -5.20% Shenwu Energy Sa % % Telecom Serv % -7.40% QSYJ % % Utilities % -2.73% BOOMSENSE % % FPI % % Sector Performance QIYUAN EQUIPME % % Top 5 Contributors 1M 12M 10% GYFZ % % KIBING % % 0% SCC % % -10% UDC % % FANGDA GROUP % % -20% Bottom 5 Contributors -30% SINOCERA MATER % % JPMF % % WINGTECH % % FPI % % Shenwu Energy Sa % %

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 -9.7% -2.2% -0.7% -5.0% -0.7% 1.5% 1.5% 2.3% 3.8% 7.7% 10.3% 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 -6.5% -6.2% -1.2% 0.3% 1.3% 2.4% 5.3% 5.1% 4.7% 9.7% 10.9% CSI Thematic Indices: Top & Bottom Performers CSI China Mainland Real Estate CSI Real Estate Sub-industry CSI Financials Dividend CSI 300 Consumer Durables and Service CSI China Mainland Banks CSI University & Institute-related Enterprises CSI Environmental Governance CSI Rare Earth Industry CSI All Share Capital Markets CSI Intelligent Wearable -7.5% -8.2% -8.9% -9.5% -11.7% 18.0% 16.5% 15.8% 12.6% 12.5%

8 SSE Thematic Indices: Top & Bottom Performers SSE Financials Dividend SSE Energy Dividend SSE Banks SSE Urbanization infrastructure SSE Cyclical Industry 50 SSE Smart Home SSE Urbanization Intelligent Transport SSE Information Technology Dividend SSE Electronics SSE Telecommunication Services Dividend -7.8% -7.8% -9.1% -9.4% -10.5% 16.4% 13.7% 12.9% 11.4% 10.0% CSI&SSE Style Indices SSE 180 Value CSI 300 Value CSI 800 Value SSE LMS Cap Value SSE 180 Growth SSE LMS Cap Growth CSI 300 Growth CSI 500 Value CSI 800 Growth SSE 380 Value SSE 380 Growth CSI 500 Growth -0.7% -0.1% 3.9% 4.5% 4.4% 8.8% 8.4% 7.9% 6.9% 6.3% 10.2% 10.1% CSI&SSE Fundamental Indices CSI RAFI % CSI RAFI 200 SSEF % 8.4% CSI RAFI 600 SSEF % 7.3% CSI RAFI % SSEF %

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Dynamic CSI 300 Momentum CSI 300 Stability CSI 300 Volatility Control 20% CSI 300 DownSide Risk Control CSI 300 High Beta CSI 300 Volatility Weighted CSI 300 Equal Risk Contribution Weighted CSI 300 Volatility Control 10% CSI 300 Sector Neutral Low volatility CSI 300 Equal Weight CSI 300 Sector Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 Low Beta 3.2% 3.2% 2.8% 2.3% 6.1% 6.2% 6.1% 6.0% 5.8% 5.5% 4.8% 4.8% 4.6% 4.6% 4.4% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Low Beta 1.6% CSI 500 Volatility Weighted CSI 500 DownSide Risk Control 0.7% 0.5% CSI 500 Sector Equal Risk Contribution CSI 500 Equal Risk Contribution Weighted CSI 500 Stability CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Equal Weight CSI 500 Sector Neutral Low volatility CSI 500 Dynamic -0.2% -0.4% -0.7% -0.9% -0.9% -1.1% -1.2% -1.3% CSI 500 High Beta [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X 11.9% CSI 300 Inversed -5.7% CSI 300 Inversed 2X -11.6% CSI 300 Futures 5.7% CSI 300 Futures Leveraged 2X 11.7% CSI 300 Futures Inversed -5.5% CSI 300 Futures Inversed 2X -10.9% CSI % CSI100 Leveraged 2X 17.7% CSI100 Inversed -8.2% CSI100 Inversed 2X -16.2% CSI 500 CSI500 Leveraged 2X -1.0% -2.5% CSI500 Inversed CSI500 Inversed 2X 0.9% 1.3% SSE % SSE50 Leveraged 2X 18.1% SSE50 Inversed -8.3% SSE50 Inversed 2X -16.3% SSE % SSE 180 Leveraged 2X 14.3% SSE 180 Inversed -6.7% SSE 180 Inversed 2X -13.4%

11 CSI Strategy Indices: Top & Bottom Performers CSI 300 Currency Dynamic Hedged CSI 100 Dynamic CSI Dividend Value CSI 100 Stability CSI Dividend Low Volatility CSI 1000 Sector Neutral Low volatility CSI 1000 USD Hedged CSI Holding-Increase & Buy-Back CSI Financial Health CSI 500 High Beta -2.7% -3.5% -3.8% -4.3% -4.5% 9.7% 9.3% 8.8% 8.4% 6.5% SSE Strategy Indices: Top & Bottom Performers SSE50 Fundamental Weighted SSE 50 USD Hedged SSE 180 Fundamental Weighted SSE Financials Sector Equal Weight SSE 50 Volatility Control 20% SSE Health Care Sector Equal Weight SSE Telecommunication Services Sector SSE 380 High Beta SSE Holding-Increase & Buy-Back SSE Information Technology Sector Equal -1.9% -2.3% -3.2% -4.8% -7.4% 10.3% 9.1% 8.8% 8.6% 8.5% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HKT Mainland Banking CSI Hong Kong Connect Dividend Low CSI HKT Mainland Financials CSI Hong Kong Connect High Dividend Yield CSI Hong Kong Dividend Equal Weight CSI HK 100 Industrials CSI Hong Kong High Dividend Yield Select CSI HK 300 Midstream Industry CSI HK Connect Information Technology CSI HK 100 Materials 2.0% 1.9% 1.8% 1.1% 0.0% 22.7% 20.6% 19.8% 18.0% 17.8%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI Overseas Mainland Financials CSI Banks AH Price Select CSI SH-SZ-HK 1100 Banks CSI China Mainland Enterprises Global CSI SH-SZ-HK 1100 Real Estate CSI SH-SZ-HK 1100 Telecommunication China Low Carbon CSI China Mainland Enterprises Global CSI SH-SZ-HK 700 Telecommunication Services CSI SH-SZ-HK 700 Information Technology -2.8% -3.4% -4.2% -6.6% -6.7% 14.6% 14.0% 12.3% 11.8% 11.1% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 0.31% CSI Aggregate Bond % 0.26% CSI 1 Bond % 0.57% CSI Aggregate Bond (1-3) % 0.60% CSI Aggregate Bond (3-7) % 0.26% CSI Aggregate Bond (7-10) % -0.57% CSI Aggregate Bond (10+) % 0.17% CSI Treasury Bond % 0.44% CSI Financial Bond % -0.04% CSI Corporate Bond % 0.38% CSI Short Term Note % 0.63% CSI 50 Bond % -0.15% CSI Medium Term Note % 0.46% CSI Short Term Note % 0.58% SSE Corporate Bond % 0.37% SSE Convertible Bond % 7.82%

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