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CSOP Hang Seng Index Daily (-1X) Inverse Product (Stock Code: 07300)

Summary

This report covers the semi-annual performance and financial position of the CSOP Hang Seng Index Daily (-1X) Inverse Product as of June 30, 2022.

Key Points

1. Product Structure & Operation:

   • Type: Futures-based ETF replicating the Hang Seng Index (HSI), aiming to deliver daily returns inversely proportional (-1 times) to the HSI's performance.
   • Trading Details: Listed on HKSE under Stock Code 07300, trading in HKD since March 14, 2017.
   • Rolling Strategy: Hang Seng Index Futures are rolled monthly shortly before expiration.

2. Performance for the Period June 2022:

   • Dealing Net Asset Value (NAV) per unit: HKD 5.1423 (down 1.42%).
   • Underlying HSI performed -6.57% (year-to-date stock price return: -1.72%).

3. Financial Position:

   • Assets: Total assets HKD 251.8 million; NAV attributable to unitholders HKD 246.8 million with 48 million units outstanding (down from 77.6 million units in Dec 2021).
   • Liabilities: Total liabilities HKD 5.01 million.
   • Expenses: Total operating expenses HKD 19.15 million.

4. Holdings:

   • Primary: Approximately 79% held in bonds, with a significant portion in the CSOP Hong Kong Dollar Money Market ETF (Unlisted Share Class A) worth HKD 53 million (21.51% of net assets).
   • Derivatives: Listed future contracts for Hang Seng Index Futures worth HKD 4.28 million (1.74%).
   • Index Providers/Managers: Hang Seng Index managed by Hang Seng Indexes Company Limited, managed by CSOP Asset Management Limited.

5. Unit Flows (June 2022):

   • Units issued: 28.8 million; redeemed: 58.4 million.
   • Resultant unit decrease: 178.7 million units.

6. Legal Administration:

   • Manager: CSOP Asset Management Limited.
   • Trustee: HSBC Institutional Trust Services (Asia) Limited.
   • Auditor & Listing Agent details provided.

Performance vs. Index

The product aimed to provide inverse exposure to the daily HSI movements. For the year (YTD): HSI fell -1.25%, so the ETF should theoretically gain ~+1.25% daily inverse effectually; however actual performance was -1.43% (vs. Index's -6.57%). This divergence could be attributed to fees or replication methodologies.

Further analysis needed for discrepancies between target strategy execution and actual performance.