CSI Index Monthly Report. March 2018 Issue

Transcription

1 CSI Index Monthly Report March 2018 Issue

2 CSI Express In March, the mainland stock market (CSI All Share Index) followed an N-Curve and touched a second low in the past 18 months. CSI 300 Index was down by 3.11% to 3899 points. CSI 500 Index was up by 1.51% to 6115 points. Shanghai Composite Index dropped 2.78% to 3169 points. Large caps underperformed small caps. Health Care and IT led the sector group. Average daily turnover of A-share market recovered slightly to CNY billion. CSI Universal Bond Index gained 0.89% to points. Index rule adjustment The periodic review rules of CSI 500 Index and CSI 1000 Index will be supplemented with the following: Old Constituents Trading Value Buffer Zone rule: If an old constituent of CSI 500 Index and CSI 1000 Index ranks top 90% by average daily trading value, it will enter next step for market cap screening. The supplementary rule will be effective on the 1st periodic review of 2018(June 11). 4 index product which track CSI-licensed indices were incepted in China mainland market. Manulife Teda transformed 1 active fund to 1 enhanced index fund tracking CSI 300 Index with AUM of around CNY 100 million. Fullgoal launched 1 ETF tracking CSI 10-Year Treasury Note Index, which raised CNY 240 million. Pingan-UOB launched 1 ETF tracking CSI 500 Index, which raised CNY 2.65 billion. GF launched 1 ETF tracking SSE 10-Year China Treasury Note Index (Futures Deliverables), which raised CNY 202 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % -3.28% 12.80% -3.28% 12.89% % CSI 100 3, % -3.41% 19.89% -3.41% 13.93% % CSI 200 4, % -3.04% 0.34% -3.04% 14.72% % CSI 500 6, % -2.18% -4.48% -2.18% 17.62% % CSI 800 4, % -2.99% 7.68% -2.99% 12.98% % CSI , % -3.12% % -3.12% 18.60% % CSI Dividend 4, % -3.13% 6.43% -3.13% 11.83% % SSE Composite 3, % -4.18% -1.66% -4.18% 11.48% % SSE 50 2, % -4.83% 15.36% -4.83% 14.28% % SSE 180 8, % -3.96% 10.84% -3.96% 12.41% % SSE 380 5, % -2.58% -5.06% -2.58% 17.32% % SSE MidCap 3, % -2.47% 3.67% -2.47% 12.33% % SSE SmallCap 4, % -3.12% -5.91% -3.12% 17.93% % SSE Dividend 2, % -2.50% 6.18% -2.50% 11.15% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (37.6%, 15.1%)* CSI 200 (14.1%, 14.4%) CSI 500 (14.3%, 20.2%) CSI 300 (51.7%, 29.5%) CSI 1000 (15.0%, 26.1%) CSI 800 (66.0%, 49.7%) Shanghai + Shenzhen A-Share Mkt Cap 55.8 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 (44.5%, 19.7%)** SSE MidCap (19.7%, 19.6%) SSE SmallCap (16.5%, 25.1%) SSE 180 (64.2%, 39.3%) SSE 380 (17.2%, 25.4%) Shanghai A-Share Mkt Cap 32.5 trillion CNY, Average Daily Turnover billion CNY [**] Index (% Mkt Cap of Shanghai A-Share, % Turnover of Shanghai A-Share)

4 CSI 300 Index Analysis Overview Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -3.11% -3.28% 1.62% 12.80% -3.28% Volatility 15.92% 18.37% 15.72% 12.88% 18.37% P/E P/B EPS ROE ROA CSI % 13.09% Energy % 4.86% Materials % 3.38% Industrials % 10.73% Consumer Dis % 19.05% Consumer Sta % 18.38% Health Care % 16.96% Financials % 15.90% IT % 15.43% Telecom Serv % 12.19% Utilities % 11.56% Top 5 Weighted Stocks Close Change -3.11% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % -3.62% Advanced 96 Volume Mil Lots KWEICHOW MOU % -5.79% Average Daily CMB % -3.99% Turnover Bil CNY Declined MIDEA GROUP % -0.76% Low Turnover Rate 8.33% Unchanged 11 GREE % -9.27% Sector Analysis /1 3/6 3/9 3/14 3/19 3/22 3/27 3/30 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -6.31% Top 5 Performers Materials % -4.56% TASLY % % Industrials % -2.11% AISINO CORPORA % % Consumer Dis % -4.14% HUNDSUN % % Consumer Sta % -7.87% HAI % % Health Care % 12.49% EASTMONEY % % Financials % -4.70% Bottom 5 Performers IT % 0.76% 2.49 CHALCO % % Telecom Serv % -5.17% ANSC % % Utilities % -0.37% CPIC % % XSCE % % Sector Performance BAOSTEEL % % Top 5 Contributors 50% 40% 30% 20% 10% 0% -10% Bil CNY Daily Turnover 1M 12M Close (right) HR % % EASTMONEY % % LEPU MEDICAL % % TASLY % % HUNDSUN % % Bottom 5 Contributors PING AN OF CHIN % % YILI % % GREE % % KWEICHOW MOU % % CPIC % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance 1.51% -2.18% -7.40% -4.48% -2.18% Volatility 23.52% 23.47% 19.76% 17.59% 23.47% P/E P/B EPS ROE ROA CSI % 7.91% Energy % 0.64% Materials % 2.47% Industrials % 9.21% Consumer Dis % 8.26% Consumer Sta % 7.03% Health Care % 12.13% Financials % 12.52% IT % 7.90% Telecom Serv % 5.37% Utilities % 13.33% Top 5 Weighted Stocks Close Change 1.51% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily FANGDA CARBON % % Volume Mil Lots Advanced KELUN PHARMA % 23.78% Average Daily CJS % -2.63% Turnover Bil CNY Declined NAVINFO % 15.96% Low Turnover Rate 15.56% Unchanged 27 CCHN % 13.04% Sector Analysis Close (right) /1 3/6 3/9 3/14 3/19 3/22 3/27 3/30 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % -7.74% Top 5 Performers Materials % -4.50% GHXW % % Industrials % 1.12% 5.99 SEVENSTAR % % Consumer Dis % -0.03% WINNING HEALTH % % Consumer Sta % 2.52% 8.56 LCXX % % Health Care % 9.88% D.A. DIAGNOSTIC % % Financials % -1.49% Bottom 5 Performers IT % 10.90% TWH % % Telecom Serv % -0.20% ANTONG HOLDING % % Utilities % 3.30% 5.31 ZHENYE % % LUXI CHEMICAL % % Sector Performance NISCO % % Top 5 Contributors 1M 12M 20% GHXW % % KELUN PHARMA % % 10% SUGON % % 0% LCXX % % NAVINFO % % -10% Bottom 5 Contributors -20% ANTONG HOLDING % % STSS % % FANGDA CARBON % % TWH % % LUXI CHEMICAL % %

6 CSI 1000 Index Analysis Overview Summary 1M 3M 6M 12M YTD Performance 3.58% -3.12% % % -3.12% Volatility 24.24% 24.20% 20.44% 18.56% 24.20% P/E P/B EPS ROE ROA CSI % 5.15% Energy % -7.30% Materials % 2.58% Industrials % 6.47% Consumer Dis % 6.16% Consumer Sta % 4.71% Health Care % 8.50% Financials % 5.79% IT % 6.27% Telecom Serv % 4.34% Utilities % 8.93% Close Change 3.58% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 14.66% Advanced 601 Volume Mil Lots TIGERMED % 36.74% Average Daily SCSF % -0.68% Declined 325 Turnover Bil CNY SHANYING PAPER % % Low Turnover Rate 16.37% Unchanged 74 WONDERS INFOR % 32.60% Sector Analysis /1 3/6 3/9 3/14 3/19 3/22 3/27 3/30 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 % -3.38% Top 5 Performers Materials % -0.62% MINDATA % % Industrials % 4.35% COMPLANT-LTD % % Consumer Dis % 2.74% HUAJIN CAPITAL % % Consumer Sta % 2.81% 6.11 GSAFETY % % Health Care % 11.98% CS % % Financials % -0.88% Bottom 5 Performers IT % 11.59% FUKONG INTERAC % % Telecom Serv % 5.89% CHANGSHU FENG % % Utilities % 0.02% TIANGUANG ZHON % % HUACHANGDA % % Sector Performance UNIFULL % % Top 5 Contributors 20% 10% 0% -10% -20% -30% -40% Bil CNY Daily Turnover 1M 12M Close (right) TIGERMED % % WONDERS INFOR % % JINGSHENG % % WALVAX % % PCI-STCL % % Bottom 5 Contributors SGSS % % SHANYING PAPER % % XINSTEEL % % FUKONG INTERAC % % TIANGUANG ZHON % %

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 -0.2% -6.3% -3.2% -1.7% -3.3% -4.5% -0.6% 0.5% 0.9% 6.6% 10.5% 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 -2.8% -6.7% -5.9% -3.6% -2.4% -2.4% -5.4% -2.2% 0.7% 8.1% 11.6% CSI Thematic Indices: Top & Bottom Performers CSI Big Data Industry CSI Medical Service CSI Precision Medicine CSI Fintech Theme CSI Bio-medicine CSI Light Industry Stimulus CSI China Mainland Banks CSI Energy Sub-industry CSI All Share Capital Markets CSI Iron & Steel Industry Stimulus -5.7% -6.0% -6.1% -9.6% -13.3% 16.6% 15.0% 15.0% 14.6% 13.6%

8 SSE Thematic Indices: Top & Bottom Performers SSE Information Security SSE Urbanization Intelligent Transport SSE High and New Technology Enterprisess SSE Health Care theme SSE Health Care Dividend SSE 180 Natural Resource SSE Banks SSE Supply-Side Structural Reform SSE 180 Transportation SSE Financials Dividend -5.8% -5.8% -5.9% -6.3% -6.5% 14.4% 12.3% 11.8% 9.9% 8.1% CSI&SSE Style Indices SSE 380 Growth CSI 500 Growth CSI 800 Growth CSI 300 Growth SSE LMS Cap Growth CSI 500 Value SSE 380 Value SSE 180 Growth CSI 800 Value SSE LMS Cap Value CSI 300 Value SSE 180 Value -4.9% -5.3% -5.3% -5.9% -2.5% -2.9% -3.1% -3.3% -3.8% -1.5% 0.9% 1.9% CSI&SSE Fundamental Indices SSEF % CSI RAFI % CSI RAFI 600 SSEF 500 CSI RAFI 200 SSEF 200 CSI RAFI % -4.3% -5.0% -5.0% -5.3%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Low Beta CSI 300 DownSide Risk Control CSI 300 Sector Equal Risk Contribution CSI 300 Volatility Weighted CSI 300 Sector Equal Weight CSI 300 Equal Weight CSI 300 Volatility Control 10% CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Neutral Low volatility CSI 300 High Beta CSI 300 Volatility Control 20% CSI 300 Stability CSI 300 Dynamic CSI 300 Momentum -3.1% -1.0% -1.1% -1.1% -1.2% -1.2% -1.5% -2.3% -2.4% -2.8% -2.9% -3.5% -4.1% 0.4% 0.8% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI 300 CSI 300 Low Beta CSI 300 DownSide Risk Control CSI 300 Sector Equal Risk Contribution CSI 300 Volatility Weighted CSI 300 Sector Equal Weight CSI 300 Equal Weight CSI 300 Volatility Control 10% CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Neutral Low volatility CSI 300 High Beta CSI 300 Volatility Control 20% CSI 300 Stability CSI 300 Dynamic CSI 300 Momentum -3.1% -1.0% -1.1% -1.1% -1.2% -1.2% -1.5% -2.3% -2.4% -2.8% -2.9% -3.5% -4.1% 0.4% 0.8% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X -6.7% CSI 300 Inversed 3.1% CSI 300 Inversed 2X 5.7% CSI 300 Futures -3.2% CSI 300 Futures Leveraged 2X -6.7% CSI 300 Futures Inversed 2.9% CSI 300 Futures Inversed 2X 5.5% CSI % CSI100 Leveraged 2X -9.5% CSI100 Inversed 4.7% CSI100 Inversed 2X 8.9% CSI 500 CSI500 Leveraged 2X 1.5% 2.1% CSI500 Inversed CSI500 Inversed 2X SSE % -5.4% -1.9% SSE50 Leveraged 2X -11.1% SSE50 Inversed 5.6% SSE50 Inversed 2X 10.9% SSE % SSE 180 Leveraged 2X -7.8% SSE 180 Inversed 3.8% SSE 180 Inversed 2X 7.1%

11 CSI Strategy Indices: Top & Bottom Performers CSI Financial Health CSI Financial Health Low Volatility CSI 1000 Currency Dynamic Hedged CSI 500 High Beta CSI 1000 USD Hedged CSI Dividend Volatility Control 20% CSI Dividend Value CSI 100 Stability CSI 300 Momentum CSI 100 Dynamic -3.7% -3.7% -4.1% -4.1% -5.2% 5.7% 4.7% 4.0% 3.5% 3.5% SSE Strategy Indices: Top & Bottom Performers SSE Health Care Sector Equal Weight SSE Information Technology Sector Equal SSE 380 High Beta SSE 180 Low Beta SSE Holding-Increase & Buy-Back SSE 50 Equal Weight SSE50 Fundamental Weighted SSE 50 USD Hedged SSE Financials Sector Equal Weight SSE Energy Sector Equal Weight -5.2% -5.5% -5.7% -6.2% -7.7% 3.4% 3.1% 2.3% 7.1% 11.0% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Health Care CSI HK Connect Health Care Composite CSI HK 100 Health Care CSI HKT Mainland Real Estate CSI HK 300 Utilities CSI HK 300 Information Technology -5.6% CSI Hong Kong Securities Investment Thematic -6.3% CSI HK Connect Financials(ex Banks) Thematic -6.4% CSI HK Connect Information Technology -7.0% CSI HK 300 Midstream Industry -8.2% 10.7% 9.8% 8.5% 6.6% 4.4%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI China Mainland Enterprises 400 Health CSI SH-SZ-HK 400 Health Care CSI China Mainland Enterprises 1000 Health CSI Great China ex Taiwan Health Care CSI SH-SZ-HK 1100 Health Care CSI SH-SZ-HK 400 Consumer Staples CSI SH-SZ-HK 700 Energy CSI Overseas China Consumer Discretionary CSI Overseas Mainland Consumer CSI SH-SZ-HK Mainland Insurance -7.0% -7.2% -7.4% -7.5% -8.6% 11.9% 11.4% 10.8% 10.8% 10.6% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 2.03% CSI Aggregate Bond % 2.14% CSI 1 Bond % 1.39% CSI Aggregate Bond (1-3) % 1.83% CSI Aggregate Bond (3-7) % 2.00% CSI Aggregate Bond (7-10) % 2.25% CSI Aggregate Bond (10+) % 3.79% CSI Treasury Bond % 2.15% CSI Financial Bond % 2.12% CSI Corporate Bond % 2.16% CSI Short Term Note % 1.55% CSI 50 Bond % 1.99% CSI Medium Term Note % 1.91% CSI Short Term Note % 1.25% SSE Corporate Bond % 1.46% SSE Convertible Bond % 2.91%

13 Disclaimer All information contained herein is provided for reference only, and is not intended to provide professional advice and shall not be relied upon in that regard. China Securities Index Co., Ltd. ( CSI ) makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and accepts no liability (whether in tort or contract or otherwise) whatsoever to any person for any damages or loss of any nature arising from or as a result of reliance on any of the contents of this document, or any errors or omission in its contents. The copyright of this document belongs to CSI. 中证, 中证指数, 中证行业分类, CSI, CSI 300, 沪深 300 指数 and other trademarks in relation to CSI and its products and services are exclusively owned by the Shanghai Stock Exchange and/or CSI. Without written authorization from the Shanghai Stock Exchange and/or CSI, no institution or individual may use any such trademarks in any form. 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: