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.

Olivier d’Assier, Asia Pacific Managing Director at Axioma.

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