CSI Index Monthly Report. July 2018 Issue

Transcription

1 CSI Index Monthly Report July 2018 Issue

2 CSI Express In July, the mainland stock market (CSI All Share Index) touched a 31-months-low and bounced. CSI 300 Index was up by 0.19% to 3518 points. CSI 500 Index was down by 0.56% to 5189 points. Shanghai Composite Index climbed 1.02% to 2876 points. Large caps outperformed small caps. Utilities and Materials led the sector group. Average daily turnover of A-share market stayed at CNY 352 billion. CSI Universal Bond Index gained 1.07% to points. Index release announcement CSI HK Connect China Mainland Enterprises Composite Index selects all common equity securities of China Mainland Companies Listed on SEHK under Hong Kong Stock Connect as the index constituents, weighted by free float market cap. CSI US-Listed China Mainland Enterprises Index selects the largest 25 Chinese Mainland Companies stocks primarily listed on USA as the index constituents, weighted by free float market cap. CSI Overseas Listed China Mainland Enterprises Connect Index consists of the index constituents of CSI HK Connect China Mainland Enterprises Composite Index and CSI US-Listed China Mainland Enterprises Index, weighted by free float market cap. The index is designed to reflect the overall performance of securities of Chinese mainland companies listed in Hong Kong and USA. CSI Overseas Listed China Mainland Enterprises Connect Sector Index Series. The constituents of CSI Overseas Listed China Mainland Enterprises Connect Index are grouped into 10 sector indices according to the CSI Industry Classification. 6 index products which track CSI-licensed indices were incepted in China mainland market. Horizon transformed 1 fund into an enhanced index fund tracking CSI 300 Index, with an AUM of CNY 3 million. Wanjia transformed 1 fund into an enhanced index fund tracking CSI 300 Index, with an AUM of CNY 92 million. Soochow transformed 1 fund into an index fund tracking CSI 300 Index, with an AUM of CNY 5 million. Western Leadbank launched 1 enhanced index fund tracking CSI State-owned Enterprises Dividend Index, which raised CNY 212 million. ChinaAMC launched 1 ETF tracking China Strategic Emerging Industries Component Index, which raised CNY 263 million. CIB launched 1 enhanced index fund tracking CSI State-Owned Enterprises Reform Index, which raised CNY 226 million.

3 CSI&SSE Major Indices Performance Index Close 1M 3M 12M YTD 12M Volatility P/E P/B Dividend Yield CSI 300 3, % -6.37% -5.89% % 15.76% % CSI 100 3, % -4.51% -1.10% % 16.76% % CSI 200 3, % % % % 16.98% % CSI 500 5, % % % % 19.27% % CSI 800 3, % -7.71% -9.15% % 15.73% % CSI , % % % % 19.90% % CSI Dividend 4, % -5.25% -8.52% % 14.15% % SSE Composite 2, % -6.68% % % 14.27% % SSE 50 2, % -4.09% -3.53% % 16.96% % SSE 180 7, % -4.73% -5.74% % 15.11% % SSE 380 4, % -8.79% % % 19.14% % SSE MidCap 3, % -5.89% -9.48% % 14.53% % SSE SmallCap 3, % -9.05% % % 19.34% % SSE Dividend 2, % -4.14% -7.31% % 13.50% % CSI&SSE Size Indices Representativeness CSI Indices Large Cap Mid Cap Small Cap Mini Cap CSI 100 (40.0%, 16.3%)* CSI 200 (14.5%, 13.5%) CSI 500 (14.1%, 17.2%) CSI 300 (54.5%, 29.8%) CSI 1000 (14.4%, 22.8%) CSI 800 (68.5%, 47.0%) Shanghai + Shenzhen A-Share Mkt Cap 50.5 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 (46.2%, 22.0%)** SSE MidCap (19.4%, 19.1%) SSE SmallCap (16.2%, 24.2%) SSE 180 (65.6%, 41.1%) SSE 380 (16.7%, 25.0%) Shanghai A-Share Mkt Cap 30.5 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 1M 3M 6M 12M YTD Performance 0.19% -6.37% % -5.89% % Volatility 21.74% 18.58% 19.21% 15.73% 18.32% P/E P/B EPS ROE ROA CSI % 13.11% Energy % 4.70% Materials % 3.62% Industrials % 11.23% Consumer Dis % 19.03% Consumer Sta % 18.89% Health Care % 17.45% Financials % 15.90% IT % 15.34% Telecom Serv % 11.44% Utilities % 10.17% Close Change 0.19% # of Stocks 300 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily PING AN OF CHIN % 5.16% Advanced 154 Volume Mil Lots KWEICHOW MOU % -0.69% Average Daily CMB % 7.38% Turnover Bil CNY Declined MIDEA GROUP % -8.83% Low Turnover Rate 6.45% Unchanged 12 GREE % -6.32% Sector Analysis /2 7/5 7/10 7/13 7/18 7/23 7/26 7/31 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 % -2.16% Top 5 Performers Materials % 4.24% CCCC % % Industrials % 0.65% 2.87 CRCC % % Consumer Dis % -4.82% ANSC % % Consumer Sta % -2.74% HPI % % Health Care % -5.94% FIBERHOME % % Financials % 2.77% Bottom 5 Performers IT % -1.82% BOHAI FINANCIAL % % Telecom Serv % 6.58% 3.96 HNA % % Utilities % 6.07% 5.69 SANHUA % % INOVANCE % % Sector Performance QHSLI % % Top 5 Contributors 40% 30% 20% 10% 0% -10% -20% -30% Bil CNY Daily Turnover 1M 12M Close (right) PING AN OF CHIN % % CMB % % INDUSTRIAL BANK % % ACC % % WANHUA % % Bottom 5 Contributors MIDEA GROUP % % HR % % GREE % % SAIC MOTOR % % HIKVISION % %

5 CSI 500 Index Analysis Bil CNY Overview Daily Turnover Summary 1M 3M 6M 12M YTD Performance -0.56% % % % % Volatility 23.23% 22.13% 23.52% 19.28% 22.18% P/E P/B EPS ROE ROA CSI % 8.10% Energy % 0.04% Materials % 1.94% Industrials % 8.75% Consumer Dis % 8.83% Consumer Sta % 6.75% Health Care % 12.10% Financials % 13.23% IT % 8.02% Telecom Serv % 6.28% Utilities % 15.45% Close Change -0.56% # of Stocks 500 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily CCHN % -9.53% Volume Mil Lots Advanced SUGON % 8.83% Average Daily HUALU-HENGSHE % 8.81% Turnover Bil CNY Declined 210 LCXX % 5.41% Low Turnover Rate 11.57% Unchanged 29 GUOXIN MICRO % 0.93% Sector Analysis Close (right) /2 7/5 7/10 7/13 7/18 7/23 7/26 7/31 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 % 3.47% 3.25 Top 5 Performers Materials % 3.28% HUAXINCEM % % Industrials % 0.52% SANSTEEL MINGU % % Consumer Dis % -3.49% TAT FOOK TECHN % % Consumer Sta % 2.89% 7.69 TGOOD ELECTRIC % % Health Care % -5.75% SHUNXIN AGRICU % % Financials % -0.71% Bottom 5 Performers IT % 0.77% 1.36 XINGYUAN ENVIR % % Telecom Serv % 7.13% 4.67 HAINAN HAIYAO % % Utilities % 5.91% 8.57 JZCH % % HONGFA % % Sector Performance HUAHAIPHARM % % Top 5 Contributors 1M 12M 10% SHUNXIN AGRICU % % SANSTEEL MINGU % % 0% FENGHUA % % -10% HUAXINCEM % % -20% JIDONG CEMENT % % -30% Bottom 5 Contributors -40% CCHN % % HONGFA % % HAINAN HAIYAO % % HUAHAIPHARM % % XINGYUAN ENVIR % %

6 CSI 1000 Index Analysis Bil CNY Overview Daily Turnover Summary Risk-Return Analysis 1M 3M 6M 12M YTD Performance -1.18% % % % % Volatility 23.28% 23.27% 24.46% 19.88% 23.08% P/E P/B EPS ROE ROA CSI % 4.81% Energy % -5.86% Materials % -0.82% Industrials % 6.75% Consumer Dis % 6.64% Consumer Sta % 5.57% Health Care % 8.87% Financials % 4.72% IT % 6.49% Telecom Serv % 4.84% Utilities % 8.19% Top 5 Weighted Stocks Close Change -1.18% # of Stocks 1000 Name Ticker Mkt Cap Adjusted (Bil CNY) Mkt Cap Wgt Chg Open High Average Daily WALVAX % 7.36% Advanced 519 Volume Mil Lots SCSF % -0.72% Average Daily TIGERMED % -2.99% Turnover Bil CNY Declined WONDERS INFOR % 4.66% Low Turnover Rate 15.26% Unchanged 47 FULING ZHACAI % 18.19% Sector Analysis Close (right) /2 7/5 7/10 7/13 7/18 7/23 7/26 7/31 Constituent Performance Sector Names Mkt Cap Turnover Wgt 1M Cont Name Ticker Close 1M Cont (Bil CNY) Rate Energy % 2.65% 3.73 Top 5 Performers Materials % 1.65% 8.12 DANBOND % % Industrials % 0.26% HMJT % % Consumer Dis % -4.91% XINSTEEL % % Consumer Sta % 2.10% 4.32 LIUSTEELCO % % Health Care % -4.75% YUEYANG XINGCH % % Financials % -1.67% Bottom 5 Performers IT % -1.10% NSWRC % % Telecom Serv % 0.33% JSCC % % Utilities % 5.96% 6.48 SYHB % % CS % % Sector Performance HUAYI ELEC % % Top 5 Contributors 1M 12M 10% DANBOND % % XINSTEEL % % 0% FULING ZHACAI % % -10% WALVAX % % -20% SGSS % % -30% Bottom 5 Contributors -40% HAND % % NSWRC % % BIOKANGTAI % % SYHB % % CS % %

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 -6.1% -4.1% -0.3% -0.4% 0.0% -0.9% -1.4% 2.6% 2.3% 3.1% 5.7% 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 -5.8% -4.6% -1.7% -0.9% 1.0% 1.8% 1.5% 5.1% 3.9% 3.6% 6.2% CSI Thematic Indices: Top & Bottom Performers CSI Cement 14.0% CSI Iron & Steel Industry Stimulus 9.3% CSI Western Development 8.0% CSI Utilities Dividend 7.8% CSI High-Speed Railway Industry 6.4% CSI Health Care Dividend -7.4% CSI Bio-medicine -7.9% CSI Biotechnology Thematic -9.1% CSI All Share Capital Markets -9.2% CSI Precision Medicine -9.2%

8 SSE Thematic Indices: Top & Bottom Performers SSE Utilities Dividend SSE Telecommunication Services Dividend SSE Infrastructure SSE 180 Infrastructure SSE Materials Dividend SSE Select Consumption Industries SSE Consume Commodity SSE Consumer 80 SSE Urbanization Consumption SSE Consumer Discretionary Dividend -4.3% -4.5% -4.6% -4.6% -6.4% 8.7% 7.2% 6.7% 5.8% 5.4% CSI&SSE Style Indices SSE LMS Cap Value SSE 180 Value SSE 380 Value CSI 800 Value CSI 300 Value SSE 180 Growth CSI 500 Value SSE LMS Cap Growth CSI 300 Growth SSE 380 Growth CSI 800 Growth CSI 500 Growth -2.6% -0.7% -1.0% 0.0% 1.7% 1.7% 1.2% 1.2% 0.9% 2.4% 3.3% 3.1% CSI&SSE Fundamental Indices CSI RAFI % SSEF % SSEF % CSI RAFI % CSI RAFI % SSEF 300 CSI RAFI % 0.7%

9 CSI 300 vs. Smart Beta Indices* CSI 300 CSI 300 Sector Equal Risk Contribution CSI 300 Dynamic CSI 300 Volatility Weighted CSI 300 DownSide Risk Control CSI 300 Volatility Control 10% CSI 300 Equal Risk Contribution Weighted CSI 300 Sector Neutral Low volatility CSI 300 Volatility Control 20% CSI 300 Low Beta CSI 300 Stability CSI 300 Equal Weight CSI 300 Sector Equal Weight CSI 300 Momentum CSI 300 High Beta 0.0% -0.3% -0.4% -0.6% -1.0% 0.2% 0.5% 0.5% 0.5% 0.4% 0.4% 0.3% 0.2% 0.1% 1.0% [*] The smart beta indices are not necessarily based on the CSI 300 universe. CSI 500 vs. Smart Beta Indices CSI % CSI 500 High Beta CSI 500 Volatility Weighted CSI 500 Sector Equal Risk Contribution CSI 500 DownSide Risk Control CSI 500 Dynamic CSI 500 Equal Weight 1.4% 0.9% 0.9% 0.4% 0.2% 0.0% CSI 500 Equal Risk Contribution Weighted CSI 500 Sector Neutral Low volatility CSI 500 Volatility Control 15% CSI 500 Volatility Control 25% 0.0% 0.0% -0.1% -0.5% CSI 500 Stability -1.3% CSI 500 Low Beta -2.9% [*] The smart beta indices are not necessarily based on the CSI 500 universe.

10 CSI & SSE Leveraged/Inversed Indices CSI % CSI 300 Leveraged 2X CSI 300 Inversed CSI 300 Inversed 2X -1.6% -0.4% -0.4% CSI 300 Futures CSI 300 Futures Leveraged 2X 1.6% 2.7% CSI 300 Futures Inversed -2.0% CSI 300 Futures Inversed 2X -4.5% CSI 100 CSI100 Leveraged 2X 1.0% 1.2% CSI100 Inversed -1.3% CSI100 Inversed 2X -3.3% CSI 500 CSI500 Leveraged 2X -1.9% -0.6% CSI500 Inversed 0.3% CSI500 Inversed 2X -0.2% SSE % SSE50 Leveraged 2X 4.4% SSE50 Inversed -2.9% SSE50 Inversed 2X -6.5% SSE 180 SSE 180 Leveraged 2X 1.6% 2.5% SSE 180 Inversed -1.8% SSE 180 Inversed 2X -4.3%

11 CSI Strategy Indices: Top & Bottom Performers CSI Dividend Low Volatility 100 CSI 500 High Beta CSI 100 Dynamic CSI 300 Sector Equal Risk Contribution CSI Equity and Bond Risk Parity CSI Dividend Value CSI 200 Stability CSI Dividend Low Volatility CSI 500 Low Beta CSI Private Placement -1.7% -1.7% -1.8% -2.9% -3.7% 2.2% 1.4% 1.3% 1.0% 0.9% SSE Strategy Indices: Top & Bottom Performers SSE Telecommunication Services Sector SSE Materials Sector Equal Weight SSE Financials Sector Equal Weight SSE50 Fundamental Weighted SSE 180 Fundamental Weighted SSE 380 Momentum SSE Private Placement SSE Holding-Increase & Buy-Back SSE Consumer Discretionary Sector Equal SSE Health Care Sector Equal Weight -1.2% -1.2% -2.1% -3.2% -4.6% 5.4% 4.2% 3.8% 3.7% 2.7% CSI Overseas Indices (HK Series, in HKD): Top & Bottom Performers CSI HK 300 Utilities CSI HK Connect Utilities Composite CSI HK 100 Utilities CSI HK 300 Materials CSI HK Connect Materials Composite CSI HK 300 Health Care CSI HKT Mainland Consumption CSI HK 300 Information Technology CSI HK 100 Information Technology CSI HK 100 Health Care -8.2% -8.7% -9.0% -9.5% -10.8% 5.4% 5.1% 4.7% 4.2% 3.7%

12 CSI Overseas Indices (Other Series, in CNY): Top & Bottom Performers CSI HK 300 Utilities CSI HK Connect Utilities Composite CSI HK 100 Utilities CSI HK 300 Materials CSI HK Connect Materials Composite CSI HK 300 Health Care CSI HKT Mainland Consumption CSI HK 300 Information Technology CSI HK 100 Information Technology CSI HK 100 Health Care -8.2% -8.7% -9.0% -9.5% -10.8% 5.4% 5.1% 4.7% 4.2% 3.7% CSI&SSE Major Bond Indices Index Close 1M YTD Duration Modified Duration Convexity YTM CSI Universal Bond % 5.15% CSI Aggregate Bond % 5.57% CSI 1 Bond % 2.95% CSI Aggregate Bond (1-3) % 4.45% CSI Aggregate Bond (3-7) % 5.32% CSI Aggregate Bond (7-10) % 6.74% CSI Aggregate Bond (10+) % 9.30% CSI Treasury Bond % 5.35% CSI Financial Bond % 6.35% CSI Corporate Bond % 4.98% CSI Short Term Note % 2.97% CSI 50 Bond % 5.60% CSI Medium Term Note % 3.94% CSI Short Term Note % 0.52% SSE Corporate Bond % 4.15% SSE Convertible Bond % 0.63%

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: