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Axioma, specialists in portfolio construction and risk management, and China Securities Index (CSI), an index provider, have launched a suite of six factor indices on China’s A-share market. The launch comes just three months after the firms announced their collaboration.
The indices, which are suitable both as underlyings for index funds such as exchange-traded funds (ETFs) or as performance benchmarks, are based on the popular CSI 300 index and consist of a basket of securities designed to deliver exposure to value, growth, volatility and predicted beta factors.
The indices target both signal strength and investability via a two-step process aimed at capturing a strategy’s purified source of return, while ensuring that the resulting indices are replicable by investors.
The underlying CSI 300 index tracks the performance of the 300 most representative A-shares listed on the Shanghai and Shenzhen stock exchanges as measured by a combination of market capitalisation and liquidity. A-shares are quoted in Chinese renminbi and are generally reserved for domestic, mainland China-based investors.
Olivier d’Assier, Asia Pacific Managing Director at Axioma, said: “These new indices have been scientifically constructed to provide investors in the China A-share market with a more sophisticated option to actively manage the sources of risks their portfolios are exposed to. The launch is a key milestone for China’s equity market, bringing the same best-practices solutions for risk management as are already available in many mature and developed equity markets.”
Zhong Liu, Deputy General Manager of CSI, added: “With the growing investor need for index-based investments, our collaboration with Axioma is optimised to track the performance of selected style factors in the China A-share market. This helps track factor-based returns and institutions like ETF providers can make use of the indices to construct new products that cater for investors’ specific needs in the China A-share market,”
The full suite is as follows:
CSI-Axioma 300 Optimized High Growth Index
CSI-Axioma 300 Optimized High Value Index
CSI-Axioma 300 Optimized High Predicted Beta Index
CSI-Axioma 300 Optimized Low Predicted Beta Index
CSI-Axioma 300 Optimized High Volatility Index
CSI-Axioma 300 Optimized Low Volatility Index