CSI Index Monthly Report. September 2018 Issue

Transcription

1 CSI Index Monthly Report September 2018 Issue

2 CSI Express In September, the mainland stock market (CSI All Share Index) followed a V-curve. CSI 300 Index was up by 3.13% to 3439 points. CSI 500 Index was down by 0.29% to 4801 points. Shanghai Composite Index gained 3.53% to 2821 points. Large caps again outperformed small caps. Energy, Consumer Staples and Financials led the sector group. Average daily turnover of A-share market shrank 10% to CNY 260 billion. CSI Universal Bond Index gained 0.24% to points. Index release announcement CSI HK China Small&Mid Composite Index selects middle and small Chinese Mainland Companies listed on SEHK as the index constituents. CSI Overseas China Internet 1040 Index selects overseas listed Chinese Internet companies as the index constituents. The Index is compliant with European standards especially on the constituent weight cap settings. 3 index products which track CSI-licensed indices were incepted in China mainland market. SWS MU launched 1 ETF tracking SSE 50 Index, which raised CNY 376 million. Ping An-UOB launched 1 feeder fund to its CSI 500 ETF, which raised CNY 264 million. China Fund launched 1 ETF tracking CSI Beijing 50 Index, which raised CNY 280 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % -2.05% % % 17.82% % CSI 100 3, % 1.12% -3.41% % 18.72% % CSI 200 3, % -8.44% % % 18.87% % CSI 500 4, % -7.99% % % 20.36% % CSI 800 3, % -3.54% % % 17.62% % CSI , % % % % 21.02% % CSI Dividend 4, % -1.87% % % 15.76% % SSE Composite 2, % -0.92% % % 15.91% % SSE 50 2, % 5.11% -2.46% -8.87% 18.81% % SSE 180 7, % 1.68% -7.22% % 17.04% % SSE 380 4, % -7.19% % % 20.44% % SSE MidCap 3, % -4.29% % % 16.18% % SSE SmallCap 3, % -5.85% % % 20.32% % SSE Dividend 2, % 2.04% -7.50% -9.80% 15.07% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (42.3%, 19.0%)* CSI 200 (14.1%, 13.8%) CSI 500 (13.6%, 17.9%) CSI 300 (56.4%, 32.8%) CSI 1000 (13.5%, 21.6%) CSI 800 (69.9%, 50.8%) Shanghai + Shenzhen A-Share Mkt Cap 48.5 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 (48.5%, 25.6%)** SSE MidCap (18.8%, 18.5%) SSE SmallCap (15.5%, 23.0%) SSE 180 (67.3%, 44.1%) SSE 380 (15.8%, 24.0%) Shanghai A-Share Mkt Cap 30.1 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 Summary 1M 3M 6M 12M YTD Performance 3.13% -2.05% % % % Volatility 19.60% 21.76% 19.52% 17.79% 19.16% P/E P/B EPS ROE ROA CSI % 13.11% Energy % 4.70% Materials % 3.62% Industrials % 11.21% Consumer Dis % 18.91% Consumer Sta % 18.89% Health Care % 17.45% Financials % 15.90% IT % 15.34% Telecom Serv % 11.44% Utilities % 10.17% Close Change 3.13% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 8.76% Advanced 194 Volume Mil Lots KWEICHOW MOU % 10.74% Average Daily CMB % 8.48% Turnover Bil CNY Declined INDUSTRIAL BANK % 5.77% Low Turnover Rate 4.61% Unchanged 6 GREE % 3.21% Sector Analysis Close (right) /3 9/6 9/11 9/14 9/19 9/25 9/28 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 % 8.98% 7.97 Top 5 Performers Materials % -0.07% CSICP % % Industrials % 2.41% CPEC % % Consumer Dis % 3.28% IDC % % Consumer Sta % 9.57% ZHIFEI-BIOL % % Health Care % -0.25% SHCI % % Financials % 4.93% Bottom 5 Performers IT % -6.29% BICON % % Telecom Serv % -4.32% SUNWAY COMM % % Utilities % 3.50% 3.29 O-FILM % % LXJM % % Sector Performance LENS % % Top 5 Contributors 1M 12M 10% PING AN OF CHIN % % KWEICHOW MOU % % 0% CMB % % -10% SAIC MOTOR % % -20% WULIANGYE % % -30% Bottom 5 Contributors -40% WANHUA % % HIKVISION % % LXJM % % O-FILM % % BOE % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover Summary 1M 3M 6M 12M YTD Performance -0.29% -7.99% % % % Volatility 16.55% 21.31% 20.90% 20.32% 21.72% P/E P/B EPS ROE ROA CSI % 8.09% Energy % 0.04% Materials % 1.97% Industrials % 8.75% Consumer Dis % 8.83% Consumer Sta % 6.75% Health Care % 12.07% Financials % 13.23% IT % 8.00% Telecom Serv % 6.28% Utilities % 15.52% Close Change -0.29% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily CCHN % 2.87% Volume Mil Lots Advanced SUGON % % Average Daily GUANGHUI ENER % 15.09% Turnover Bil CNY Declined 237 JINYU % 12.27% Low Turnover Rate 9.04% Unchanged 15 HYPC % 1.01% Sector Analysis Close (right) /3 9/6 9/11 9/14 9/19 9/25 9/28 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 % 7.73% 8.04 Top 5 Performers Materials % -0.56% HPEC % % Industrials % 2.48% XJEC % % Consumer Dis % -0.69% XINGYUAN ENVIR % % Consumer Sta % 3.43% 8.53 JEREH GROUP % % Health Care % 0.73% 0.95 PENGQI % % Financials % 0.03% Bottom 5 Performers IT % -2.84% ZYSC % % Telecom Serv % -3.50% QIXING TOWER % % Utilities % 1.15% 1.50 MEISHENG CULTU % % CHUY AGRO-PAS % % Sector Performance TIC % % Top 5 Contributors 1M 12M 10% GUANGHUI ENER % % JINYU % % 0% JONJEE HI-TECH % % -10% HUAHAIPHARM % % -20% HPEC % % -30% Bottom 5 Contributors -40% MEISHENG CULTU % % DSBJ % % BJHY % % TIC % % QIXING TOWER % %

6 CSI 1000 Index Analysis Overview Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -1.40% % % % % Volatility 16.69% 21.34% 21.64% 21.00% 22.43% P/E P/B EPS ROE ROA CSI % 4.82% Energy % -5.74% Materials % -0.80% Industrials % 6.73% Consumer Dis % 6.64% Consumer Sta % 5.58% Health Care % 8.88% Financials % 4.73% IT % 6.49% Telecom Serv % 4.84% Utilities % 8.19% Top 5 Weighted Stocks Close Change -1.40% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 0.69% Advanced 413 Volume Mil Lots TIGERMED % -0.35% Average Daily WONDERS INFOR % 5.02% Turnover Bil CNY Declined SCSF % -6.19% Low Turnover Rate 10.81% Unchanged 27 FULING ZHACAI % 6.41% Sector Analysis /3 9/6 9/11 9/14 9/19 9/25 9/28 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 1.98% 4.69 Top 5 Performers Materials % -0.91% CCD % % Industrials % 0.53% SHANDONGROAD % % Consumer Dis % -2.55% OIE % % Consumer Sta % 0.97% 0.70 JHEC % % Health Care % -2.31% EINC % % Financials % -1.01% Bottom 5 Performers IT % -2.94% XIN ZHI MOTOR % % Telecom Serv % -1.90% ZNHI % % Utilities % 0.21% CWPC % % AOTECAR % % Sector Performance ORIENTAL OCEAN % % Top 5 Contributors 10% 0% -10% -20% -30% -40% -50% Bil CNY Daily Turnover 1M 12M Close (right) JHEC % % CCD % % BLUE FLAME HOL % % LEAD INTELLIGEN % % ENN-EC % % Bottom 5 Contributors NHWA % % ZNHI % % XIN ZHI MOTOR % % CWPC % % PENGXIN MINING % %

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 -4.6% -4.5% -0.9% -0.7% 1.3% 1.3% 0.9% 4.2% 2.8% 6.4% 7.7% 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 -3.3% -1.1% -1.6% 1.2% 2.8% 3.5% 3.5% 5.4% 5.6% 6.5% 8.4% CSI Thematic Indices: Top & Bottom Performers CSI Shipbuilding Industry Stimulus CSI Food & Beverage Sub-industry CSI Energy Dividend CSI Food & Beverage CSI Liquor CSI 300 Information Service CSI Prefabricated Building CSI Electronics CSI All Share Capital Markets CSI HK Gaming Entertainment Thematic -5.2% -5.5% -5.7% -7.0% -9.1% 8.7% 8.0% 7.8% 7.7% 7.7%

8 SSE Thematic Indices: Top & Bottom Performers SSE Energy Dividend SSE Consumer Staples Dividend SSE Dividend Potential SSE Consumer 50 SSE State-owned Enterprises Dividend SSE Information Security SSE TMT Industry SSE Smart Home SSE High and New Technology Enterprisess SSE Electronics -2.1% -2.1% -2.5% -3.0% -4.0% 9.0% 8.0% 6.6% 6.3% 5.9% CSI&SSE Style Indices SSE 180 Value SSE 180 Growth SSE LMS Cap Value CSI 300 Value SSE LMS Cap Growth CSI 800 Value CSI 300 Growth SSE 380 Growth CSI 800 Growth SSE 380 Value CSI 500 Value CSI 500 Growth -1.5% 1.3% 1.3% 0.6% 0.4% 3.0% 3.7% 5.2% 4.8% 4.5% 4.5% 4.5% CSI&SSE Fundamental Indices CSI RAFI % SSEF 200 CSI RAFI 200 SSEF % 4.4% 4.3% CSI RAFI % SSEF % CSI RAFI %

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Momentum CSI 300 Stability CSI 300 Volatility Control 20% CSI 300 Volatility Weighted CSI 300 Sector Equal Weight CSI 300 Sector Equal Risk Contribution CSI 300 Dynamic CSI 300 Sector Neutral Low volatility CSI 300 Equal Risk Contribution Weighted CSI 300 Low Beta CSI 300 Equal Weight CSI 300 Volatility Control 10% CSI 300 High Beta CSI 300 DownSide Risk Control 0.4% 3.1% 3.8% 3.7% 3.0% 2.7% 2.6% 2.4% 2.2% 2.2% 2.0% 2.0% 1.8% 1.6% 1.2% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 Volatility Weighted CSI 500 Sector Neutral Low volatility CSI 500 Stability CSI 500 DownSide Risk Control 1.3% 1.2% 0.8% 0.3% CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% CSI 500 Equal Weight CSI 500 Low Beta CSI 500 Equal Risk Contribution Weighted CSI 500 High Beta CSI 500 Dynamic -0.1% -0.3% -0.3% -0.6% -0.8% -0.8% -1.4% CSI 500 Sector Equal Risk Contribution -2.8% [*] 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 3.1% 5.7% CSI 300 Inversed -3.2% CSI 300 Inversed 2X -7.0% CSI 300 Futures 3.9% CSI 300 Futures Leveraged 2X 7.6% CSI 300 Futures Inversed -4.0% CSI 300 Futures Inversed 2X -8.2% CSI % CSI100 Leveraged 2X 8.2% CSI100 Inversed -4.4% CSI100 Inversed 2X -9.3% CSI 500 CSI500 Leveraged 2X -0.3% -1.1% CSI500 Inversed 0.2% CSI500 Inversed 2X -0.2% SSE % SSE50 Leveraged 2X 10.2% SSE50 Inversed -5.3% SSE50 Inversed 2X -11.0% SSE % SSE 180 Leveraged 2X 8.4% SSE 180 Inversed -4.5% SSE 180 Inversed 2X -9.3%

11 CSI Strategy Indices: Top & Bottom Performers CSI 100 Stability CSI Dividend Low Volatility CSI 300 Momentum CSI Dividend Growth Strategy CSI 300 Stability CSI Quality and Growth CSI Financial Health Low Volatility CSI 500 Sector Equal Risk Contribution CSI Financial Health CSI Holding-Increase & Buy-Back -1.9% -2.3% -2.8% -3.0% -3.1% 5.1% 4.6% 3.8% 3.7% 3.7% SSE Strategy Indices: Top & Bottom Performers SSE 180 Momentum SSE 50 USD Hedged SSE50 Fundamental Weighted SSE 50 Volatility Control 20% SSE Financials Sector Equal Weight SSE 380 Dynamic SSE 380 High Beta SSE Holding-Increase & Buy-Back SSE Telecommunication Services Sector SSE Information Technology Sector Equal -0.8% -1.7% -3.1% -3.2% -3.3% 5.3% 5.3% 5.2% 5.1% 5.0% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Midstream Industry CSI HK Connect Energy Composite CSI HK 100 Energy CSI HK 300 Energy CSI HK Connect Telecommunication Services CSI HK 300 Leisure CSI HK Connect Health Care Composite CSI HK 300 Health Care CSI HKT Mainland Real Estate CSI HK 100 Health Care -18.3% -7.7% -8.3% -10.2% -10.2% 9.6% 7.3% 6.5% 6.4% 5.9%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI China Mainland Enterprises 400 Energy CSI China Mainland Enterprises 400 CSI SH-SZ-HK 400 Upstream Industry CSI SH-SZ-HK 400 Consumer Staples CSI SH-SZ-HK 400 Energy CSI SH-SZ-HK Gaming Entertainment CSI Overseas enterprises ex Taiwan Materials CSI Overseas enterprises ex Taiwan Health CSI Overseas Mainland Health Care CSI Overseas Mainland Materials -9.2% -10.0% -12.5% -13.5% -20.9% 10.7% 8.6% 8.1% 8.1% 8.1% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 5.41% CSI Aggregate Bond % 5.76% CSI 1 Bond % 3.50% CSI Aggregate Bond (1-3) % 5.00% CSI Aggregate Bond (3-7) % 5.48% CSI Aggregate Bond (7-10) % 6.83% CSI Aggregate Bond (10+) % 8.39% CSI Treasury Bond % 4.98% CSI Financial Bond % 6.76% CSI Corporate Bond % 5.50% CSI Short Term Note % 3.71% CSI 50 Bond % 5.79% CSI Medium Term Note % 4.53% CSI Short Term Note % 1.05% SSE Corporate Bond % 5.11% SSE Convertible Bond % 1.49%

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: