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Alternative Market Briefing

Axioma and CSI launch suite of optimized factor indices for the China A-Share market

Tuesday, July 09, 2013

Bailey McCann, Opalesque New York:

Axioma, Inc., a risk management solutions provider and China Securities Index (CSI), a provider of equity benchmarks, have created six innovative factor indices on China’s A-share market. The optimized indices will employ a 'smart beta’ approach, aiming to capture a strategy’s return while providing tools for risk assessment, hedging, and asset portfolio management. The companies said that the launch will be an important step in the ongoing development of China’s equity market.

China's capital market reforms to open up China’s A shares to foreign investment has yielded a wave of new products in anticipation, and both MSCI and FTSE recently stated they are reviewing including China’s A shares in their emerging markets indices, citing the pace of market opening measures adopted by Chinese regulators in the past 12 months. This series of indices aims to provide investors with additional tools to manage risk and cover value, growth, volatility and predicted beta factors in this new market.

The indices will be based on the popular CSI 300 index and will consist of a basket of securities, chosen from the underlying index and constructed with Axioma’s optimization technology and factors derived from Axioma’s China Robust Risk Model. 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 ......................

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