2025-08-29-港交所-Ｘ南方中创业_Ｘ南方中创业－Ｒ_截至二零二五年六月三十日止的未经审核中期报告页_22页_627kb

CSOP SZSE ChiNext ETF Summary

Fund Structure & Strategy

• Type: Synthetic ETF adopting synthetic and physical representative sampling strategies.
• Objective: Tracks ChiNext Index performance, utilizing up to 100% derivatives.
• Counterparts: HKD code 03147, RMB code 83147.
• Derivatives: Primarily funded total return swaps, up to 100% NAV; physical strategy max 50%, expected 20%.
• Manager: CSOP Asset Management Ltd., Trustee: HSBC Institutional Trust Services (Asia)
• Index: Composed of top 100 ChiNext-listed A-shares in Shenzhen, based on market cap.

Financial Position (June 2025)

• Assets: RMB 342.1B (incl. ~333.5B in investments and derivatives).
• Liabilities: RMB 86.07M.
• Net Assets: RMB 333.5M.
• NAV/Unit: RMB7.5623 (44.1M units issued).

Performance & Strategy Impact

• NAV Growth (per unit): +1.03% vs. -0.47% ChiNext Index.
• Performance Gap: Due mainly to tax, fees, and dividends.
• Derivatives Dominance: Synthetic strategy (unlisted swaps) yielded a 6.43% gain from swaps on Contemporary Amperex Tech.

Investments (Unaudited, June 2025)

• Listed Equities (38.86%): Aggressively weighted towards high-growth stocks like tech and healthcare.
• Unlisted Derivatives (60.99%): Focused on high-weighted sector stocks, notably Contemporary Amperex Technology (18.86% of net assets).

Collateral Holdings

• Counterparties: Goldman Sachs, JP Morgan, Huatai Capital, CSI Capital.
• Value: Total collateral hedging exposure of RMB203.97M (61.16%).

Key Managerial Notes

• Fee Structure: Synthetic strategy swaps require margin and payment; Manager structure includes Chen Ding, Huachen Zhang.
• Compliance: Portfolio weights compliant with LIC limits and ChiNext index exposures.

Investor Appeal

• Enables exposure to ChiNext market dynamics while maintaining net asset segregation.
• High concentration in technology and growth sectors is strategically aligned with index exposure but amplified via swaps.
• Performance tailwinds from high-growth Chinese sectors continue to provide alpha beyond pure replication.