2021-08-31-港交所-ＦＩ二南方恒指_未经审核中期报告_-_二零二一年六月三十日_19页_753kb

CSOP Hang Seng Index Daily (-2X) Inverse Product Summary (Semi-Annual Report, Ended 30 June 2021)

1. Product Overview

• Type: HKD-denominated ETF (Stock Code: 7500), sub-fund of CSOP Leveraged and Inverse Series.
• Objective: Achieve daily investment returns (before fees) closely mirroring -2× the daily performance of the Hang Seng Index (HSI).
• Strategy: Uses a combination of futures-based replication and swap-based synthetic replication strategies.
• Listing: Inception date 24 May 2019; commenced trading on SEHK 28 May 2019.
• Manager: CSOP Asset Management Limited; Trustee: HSBC Institutional Trust Services (Asia) Limited.

2. Key Performance Metrics

• NAV Performance (as at 30 June 2021): HKD 4.1880/unit (outstanding units: 1.409 billion units; total assets: ~HKD 5.9 billion).
• Performance for period 31 Dec 2020–30 June 2021: NAV down 18.19%, while HSI rose 5.86%.
• Liquidity: Average daily turnover of HKD 237.9 million in June 2021.

3. Investment Strategy

• Futures Rolling: Monitored monthly on SEHK shortly before expiration of Hang Seng Index Futures.
• Asset Allocation: Portfolio includes listed/unlisted ETFs, debt securities (including HK Treasury Bills), and derivative instruments like futures and swaps.

4. Portfolio Rebalance & Risk

• End-of-Period Position: 39.91% in Investments & Derivatives (including various ETFs, bonds, and futures).
• Key holdings: CSOP HKD Money Market ETF Unlisted (HKD 103.3 million, ~18.3% of assets).
• Futures contracts expiration active, with active swaps during the quarter.
• Inception to 30 June 2021: 25 monthly futures changes.

5. Financial Highlights

• Statement of Financial Position: NAV declined to HKD 4.1873/unit at 30 June 2021 vs HKD 5.1184/unit at year-end 2020.
• Net Earnings/Loss: Significant net loss recorded due to poor investment performance driven by the inverse nature of the fund against HSI.
• Cash Management: Strong cash and cash-equivalent holdings (~HKD 2.75 billion).

6. Management and Oversight

• Manager: Active role in guiding the fund's strategy.
• Trustee and Administrator: HSBC Institutional serves as Trustee, with other compliance partners listed.
• Disclosures: Compliance with SFC and HKMA regulations.
• Index Provider: Hang Seng Indexes Company Limited.

7. Additional Notes

• No collateral held at period end.
• Regulatory oversight and agent services set out in the report.
• Listed as a result, specialised in derivatives and structured products.
• High gearing minimises purchase suitability, intended for experienced investors.