2022-04-20-港交所-ＦＬ二华夏纳一百_ＸＬ二华夏沪深三_ＦＩ华夏纳一百_ＸＩ华夏沪深三百_ＦＩ二华夏纳一百_2021_年度报告_92页_1mb

报告摘要

ChinaAMC Leveraged/Inverse Series Annual Report Summary

Investment Strategy

Each product tracks specific indices (NASDAQ-100 or CSI 300) via futures-based (for NASDAQ products) or swap-based (for CSI 300 products) strategies.
Leveraged products (2x and -2x) aim for twice the daily index performance.
Inverse products (-1x and -2x) aim for the opposite of the daily index performance, with the -2x product aiming for twice the inverse.
All products rebalance daily and are intended for short-term holding only; performance beyond one day cannot be assured.

Financial Performance (31 Dec 2021 vs 31 Dec 2020)

Product	Net Asset Value (NAV)	NAV per Unit	Units Outstanding (millions)
NDL	$8.87M	$3.70	2.40
NDI	$7.41M	$0.44	1.69
NDI2X	$68.88M	$0.21	0.334
CSIL	HK$44.77M	$11.78	3.80
CSII	HK$27.72M	$5.33	5.20

Key Risks and Considerations

Compounding Effect: Drastic daily leverage leads to significantly amplified losses or gains over time due to compounding (e.g., one down day on a -2x product can wipe out performance gains from 25+ days).
Rolling Costs: In futures-based products, changing positions between expiring/future contracts incurs costs.
Margin Requirements: High volatility may require portfolio collateral against contracts.
Extreme Events: Performance during extreme market conditions (e.g., crashes, freezes) may deviate from the index. A buffer (15-20%) of the portfolio may be diverted away from leveraged/inverse positions under such conditions.

Regulatory and Management Compliance

Compliance: Manager and Trustee have been deemed compliant by the Hong Kong SFC.
Supervision: Professional auditing and internal controls were implemented, and operations were conducted according to prospectus and regulatory standards.
Management: Different products (NDL, NDI, NDI2X, CSIL, CSII) are managed separately to maintain their specific exposure ratios.

Conclusion

These products provide high-risk, high-frequency exposure to index movements. Due to their complex structure, fund an

Investment Strategy
- Products track **NASDAQ-100** or **CSI 300** indices using futures (NASDAQ) or swaps (CSI).
- **Leveraged** (2x) and **Inverse** (-1x/-2x) strategies aim to amplify daily index returns/exposures.
- Financial performance highly sensitive to short-term market movements, cannot be extrapolated long-term.

Financial Highlights (31 Dec 2021 vs 2020)
| Security       | NAV Change (in millions) | % Change | Units Outstanding (millions) |
|----------------|---------------------------|----------|------------------------------|
| NDL            | +$1.52M                   | +38.4%   | +0.59                        |
| NDI            | -$3.96M                   | -50.2%   | -1.18                        |
| NDI2X          | -$27.00M                  | -$68.5%  | -0.74                        |
| CSIL           | -$2.90M                   | -21.4%   | -0.81                        |
| CSII           | -$8.95M                   | -65.5%   | -0.60                        |

Key Risks
- Extreme daily movements can erode capital unusually.
- Rolling and funding costs subtract from returns.
- These products are intended for short-term strategies only.

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