Risk management and portfolio optimisation provider Axioma and index provider China Securities Index (CSI) have signed an agreement to design and launch a series of strategy indices on China's renminbi-denominated A-share market in a move to increase underlying instruments for Chinese investors.
"In the risk-on, risk-off environment of post-2008, these new indices will help investors by better capturing systematic sources of return in a risk controlled and efficient manner," said Olivier d'Assier, Asia Pacific managing director at Axioma.
"We are delighted to partner with Axioma, a leader in portfolio optimisation and multi-factor risk modelling, to develop innovative and practical strategy indices on China's A-share market for both domestic and international asset managers," said Zhong Liu, deputy general manager at CSI.
The optimised indices will reflect an underlying source of systematic return, or 'smart beta', which is currently available only via active strategies. The indices will target both signal strength and investability via a two-step process aimed at capturing a strategy's return while ensuring that the resulting indices are replicable.
The family of strategy indices will be based on the CSI300 Index and will consist of a basket of securities chosen from the underlying index and constructed with Axioma's optimisation technology and factors derived from Axioma's China Robust Risk Model. The indices will be distributed by CSI.
SRP shows that there are currently nine products linked to the CSI300 index live in China's mainland market.
CSI has also announced plans to launch a series of CSI300 leveraged indices including the CSI300 Leveraged 2X Index; the CSI300 Inversed Index and the CSI300 Inversed 2X Index; as well as a family 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.
The new family of indices will be launched on 3 April.