2023-04-27-港交所-华夏纳指_华夏亚太房地产_华夏亚投债_华夏香港银行股_华夏亚洲高息股_华夏日股对冲_华夏欧优股对冲_华夏纳指－Ｕ_华夏亚投债－Ｕ_二零二二年年报_171页_639kb

报告摘要

Trust Name: ChinaAMC Global ETF Series II (collectively known as ChinaAMC Global ETF Series II)
Type: Umbrella unit trust established under Hong Kong law
Key Participants:
- Manager: China Asset Management (Hong Kong) Limited
- Trustee: State Street Trust (HK) Limited
- Custodian/Agent: State Street Bank and Trust Company / HK Conversion Agency Services Limited
Authorized under Section 104 of Hong Kong Securities and Futures Ordinance
Seven sub-funds managed under this umbrella trust structure

Sub-Funds: ChinaAMC Asia USD Investment Grade Bond ETF, ChinaAMC Hong Kong Banks ETF, ChinaAMC Asia High Dividend ETF, ChinaAMC MSCI Japan Hedged to USD ETF, ChinaAMC MSCI Europe Quality Hedged to USD ETF, ChinaAMC MSCI Asia Pacific Real Estate ETF, ChinaAMC NASDAQ 100 ETF
Underlying Indices: Each ETF tracks specific indices (e.g., Bloomberg Asia USD Investment Grade Bond Index)
Trading: All sub-funds trade on The Stock Exchange of Hong Kong like stocks, with separate HKD/USD counters
Currency: HKD for reporting, functional currency

Performance: Net loss for the year: HK$109.7m
Weighting Distribution: Heavily weighted toward Chinese government bonds (~45.4%)
Top Holdings: Agricultural Bank of China (1.94%), Bank of China (Hong Kong) (1.59%)
Notable Event: Highest risk category in bond market due to concentration in Chinese bonds

Performance: Net loss: HK$2.8m
Weighting Distribution: Heavily concentrated in China Construction Bank (19.0%) and HSBC Holdings (17.8%)
Top Holdings: Mainland banks dominate, with weak international diversification
Trading Activity: Lower trading volume compared to 2021

Performance: Net loss: HK$4.0m
Weighting Distribution: Top holdings include utilities and financials (PG&E, NextEra Energy)
Currency Exposure: Significant forward currency contracts to manage FX risk
Heritage Holdings: Major exposure to utilities and financial services

Performance: Net loss: HK$6.0m
Weighting Distribution: Heavily weighted toward UK (6.9%) and Switzerland (11.4%)
Top Holdings: Novartis (8.7%), Roche (8.3%)
Economic Sensitivity: Vulnerable to interest rate changes and healthcare sector fluctuations

Performance: Net loss: HK$564.3m
Weighting Distribution: Apple (11.8%), Microsoft (12.6%) dominated
Volatility: High volatility (-32.6%)
Currency Risk: Exposure to USD-denominated instruments and foreign currency transactions

Bond ETF Insight:
- Highest net asset value among sub-funds (~HK$388.1m)
- Most exposed to Chinese government bonds (~97.5%)
- Lowest risk category with narrow bid-ask spreads
ETF Performance Trends:
- Bond ETF and Equities ETFs showed varied performance
- Foreign currency exposure increased volatility in certain ETFs
- Real Estate ETF saw significant NAV decline
Common Risk Factors:
- Currency mismatch risk in several equity funds
- Concentration risk across most sub-funds
- Derivative exposure remains low but present