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CSOP Hang Seng China Enterprises Index Daily (-2X) Inverse Product Summary

Product Overview

The CSOP Hang Seng China Enterprises Index Daily (-2X) Inverse Product is a futures-based exchange-traded fund (ETF) launched on March 10, 2017, and listed on the Hong Kong Stock Exchange (Stock Code: 07588). It aims to provide investment returns equivalent to -2 times the daily performance of the Hang Seng China Enterprises Index ("Index") before fees and expenses.

Key Features

Inverse Strategy: The product uses a futures rolling strategy to replicate the Index, with exposure inversely correlated (-2x) to the Index’s daily performance.
Leverage Adjustment: On June 25, 2019, the product name was changed from "-1X" to "-2X," reflecting an updated investment objective.
Trading Mechanism: The fund allows daily subscriptions and redemptions based on the prevailing net asset value (NAV), with a unit value calculated at the end of each trading day.

Financial Performance (Year Ended December 31, 2021)

NAV Growth: The product’s dealing NAV per unit increased to 5.76 Hong Kong Dollars (HKD), with 33.05% growth, outperforming the Index’s -23.30% decline.
Unit Turnover: Active trading saw an average daily turnover of HKD 2.2 million in December 2021, reflecting strong investor interest.

Investment Portfolio

Primary Assets: The fund invests primarily in Hong Kong-listed investment funds (e.g., CSOP Hong Kong Dollar Money Market ETF) and HSCEI futures contracts.
Hedging Strategy: It employs a rolling futures strategy to hedge against Index movements, with positions settled through major financial institutions like HSBC, BNP Paribas, and UBS.

Risk Management

Market Risk: The fund is exposed to fluctuations in the Hang Seng China Enterprises Index, with a sensitivity analysis showing that a 10% change in the Index impacts the fund’s performance proportionally (-2x).
Credit Risk: Counterparty risk is mitigated through relationships with highly-rated financial institutions and master netting agreements.
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