Risk management and portfolio construction provider Axioma and China Securities Index (CSI) have teamed up again to launch six factor indices in China's A-share market, in a move to provide new underlying assets for managing risk in investment products for China's institutional investor community.
The new series of indices will provide investors with additional tools to cover value, growth, volatility and predicted beta factors. The indices will be based on the CSI300 benchmark and will consist of a basket of securities chosen from the underlying index and constructed with Axioma's China robust risk model.
"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," said Olivier d'Assier, managing director of Asia Pacific at Axioma. "The launch is a key milestone for China's equity market, bringing the same best-practices solutions for risk management as those that are already available in many mature and developed equity markets."
The indices will 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 new series includes the CSI-Axioma 300 Optimised High Growth Index; the CSI-Axioma 300 Optimised High Value Index; the CSI-Axioma 300 Optimised High Predicted Beta Index; the CSI-Axioma 300 Optimised Low Predicted Beta Index; the CSI-Axioma 300 Optimised High Volatility Index; and the CSI-Axioma 300 Optimised Low Volatility Index.
Zhong Liu, deputy general manager of CSI said that the new suite is aimed at structured products and exchange-traded fund (ETF) providers for the design of new products that track factor-based returns and cater for investors' specific needs in the China A-share market.
"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," he said.
The cooperation between Axioma and CSI began in March with the launch of a series of strategy indices in China's renminbi-denominated A-share market.
Shortly thereafter, CSI launched a series of CSI300 leveraged indices including the CSI300 Leveraged 2X Index; the CSI300 Inversed Index; the CSI300 Inversed 2X Index; and a suite of CSI300 index futures indices including the CSI300 Index Futures Index; the CSI300 Index Futures Leveraged 2X Index; the CSI300 Index Futures Inversed Index; and the CSI300 Index Futures Inversed 2X Index.
According to SRP data there are 59 structures linked to the CSI300 index across all jurisdictions of which 32 products are still live. With 32 structured products, China is the market with the highest number of products linked to this underlying.
SRP data also shows that the Royal Bank of Scotland launched a Spread Open End Zertifikat linked to the Hang Seng China Enterprises Index and the CSI300 ETF tracker in 2009.