2022-08-31-港交所-ＦＩ二南方国指_截至二零二二年六月三十日止的未经审核中期报告_14页_427kb

报告摘要

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

Product Details

Type: Futures-based ETF, sub-fund of CSOP Leveraged and Inverse Series.
Objective: Achieve daily investment returns (before fees) closely corresponding to -2× daily performance of the Hang Seng China Enterprises Index (HSCEI).
Trading: HKD-denominated, listed on SEHK, stock code 7588.
Strategy: Uses H-shares Index Futures, rolled monthly.
Index Provider: Hang Seng Indexes Company Limited.

Key Financial Data (as of 30 June 2022)

NAV per Unit: HKD 4.9673, outstanding units: 9,600,000.
Total Assets: Approximately HKD 47.7 million.
2022 Performance: NAV decreased 13.64% (compared to HSCEI's -6.91%).
2021 Performance: NAV increased 33.23% (compared to HSCEI's -23.30%).

Assets and Liabilities

Assets: Investments (8,687,887 HKD) + Derivative Instruments (448,071 HKD) + Cash Equivalents (28,582,585 HKD).
Liabilities: Derivative obligations (741,171 HKD 2021) + Management Fees + Brokerage Deposits.

Portfolio

Holdings: Primarily the CSOP HK Dollar Money Market ETF (18.22% of NAV) + HSCEI Futures (0.94% on 28 July 2022).
Derivatives: Short position in BN Bank's H-shares Index Futures (28 July 2022).

Unit Flows

Net Increase in Units: From 6.4M units at the start (Dec 2021) to 9.6M at end (Jun 2022).
Unit Activities: 2022: Units issued 8.8M, redeemed 5.6M.

Management

Manager: CSOP Asset Management Limited.
Trustee: HSBC Institutional Trust Services (Asia) Limited.
Board: Directors include Chen Ding, Gaobo Zhang, and others (some resignations/appointments noted).

Key Points

The product is a highly leveraged inverse ETF (-2x) targeting the HSCEI.
High volatility seen in NAV (e.g., 2022 H period: -13.64% vs index -6.91%).
Strong liquidity in 2022 (avg daily turnover HKD 6.3M).


### Summary Notes
- **Risk-Oriented Product**: It is highly sensitive to HSCEI performance due to the inverse (-2×) structure, with leverage amplifying gains or losses.  
- **Futures-Based**: Relies on H-shares Index Futures, subject to basis risk and roll costs.  
- **Performance Metrics**: NAV performance compared to the Index, with seasonal trends evident in prior years (e.g., strong performance in 2021 despite negative index).  
- **Unit Fluctuation**: High redemption/issue activity reflects market demand and profitability.  
- **Expense Structure**: Fees include management and transaction costs, recorded in expenses.

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