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According to Zheng Jian Ji Jin Zi [2005] No. 138《 Circular of The State Council of The People's Republic of China on Relevant Issues concerning The Investment Warrants of Securities Investment Funds in The Share trading Reform 》It is required that Huaxia Growth Securities Investment Fund, Huaxia Return Securities Investment Fund, Huaxia Selected Securities Investment Fund, Huaxia Dividend Hybrid Securities Investment Fund, Xinghua Securities Investment Fund, Xinghe Securities Investment Fund, Xingke Securities Investment Fund, Xing'an Securities Investment Fund The announcement of the warrant investment plan of Industrial Securities Investment Fund in the share trading reform is as follows:
1、 Investment proportion limit
1. The total amount of warrants purchased by a fund on any trading day shall not exceed 0.5% of the net asset value of the fund on the previous trading day;
2. The market value of all warrants held by a fund shall not exceed 3% of the net asset value of the fund;
3. The same warrant held by all funds managed by the Company shall not exceed 10% of the warrant;
4. If the fund portfolio does not comply with the provisions of Items 2 and 3 due to factors other than the fund manager, such as fluctuations in the securities market, changes in the size of the fund, and payment of consideration in the share trading reform, the fund manager shall complete the adjustment within ten trading days;
5. If the CSRC provides otherwise, the fund shall not be subject to the proportion limit specified in Items 1, 2 and 3 of the preceding paragraph.
2、 Investment strategy
On the premise of ensuring consistency with the investment objectives of the Fund, the Fund Manager may, in the principle of prudence and controllable risk, invest in warrants in order to obtain returns commensurate with the risks undertaken.
1. Asset allocation strategy
according to shares , bonds and other asset categories. In order to improve investment efficiency or hedge, the fund can invest in warrants, with the proportion of warrants investment ranging from 0% to 3%.
2. Investment Management Procedures
The organic cooperation of research, decision-making, warrant portfolio construction, trading, evaluation and warrant portfolio adjustment together constitutes the warrant investment management procedure. Strict investment management procedures can avoid major risks.
(1) Research
The Financial Engineering Department of the Company is responsible for the research of warrant investment. According to the investment theory of modern finance, the pricing model of warrants is established. Combined with the estimation of market risk-free interest rate, implied volatility and other parameters, the intrinsic value of warrants is evaluated and investment suggestions are put forward accordingly.
(2) Asset allocation decision
Within the allocation proportion of asset categories such as stocks and bonds determined by the company's investment decision-making committee, the fund manager shall determine the proportion of warrant replacement investment or hedging according to the actual situation of the fund portfolio and in combination with the warrant investment report submitted by the Financial Engineering Department.
(3) Warrant portfolio construction
The fund manager shall decide the investment plan of specific warrant varieties according to the market transactions of warrants and his own research and judgment, and submit it to the investment director for approval.
(4) Transaction execution
The Central Trading Office is responsible for specific transaction execution, and also performs the responsibility of front-line monitoring, which mainly includes the proportion of warrant investment.
(5) Risk and performance evaluation
The Financial Engineering Department of the Company provides risk assessment reports for warrant investment in advance, and provides risk and performance assessment reports for warrant investment regularly and irregularly afterwards. The risk assessment report includes both the single warrant variety itself and the portfolio.
(6) Monitoring and adjustment of warrant investment
The fund manager shall monitor and adjust the warrant investment according to the risk and performance evaluation results of the warrant investment and in combination with the conditions of the securities market and other factors, so as to make it more consistent with the investment objectives of the fund.
On the premise of ensuring the interests of fund share holders, the Fund Manager has the right to make adjustments to the above investment procedures according to environmental changes and actual needs, and make an announcement in the Fund Prospectus (update).
3、 Information disclosure method
In the semi annual report and annual report of the Fund Open-ended Funds To be publicly disclosed in the prospectus (updated).
4、 Risk control measures
1. For warrant investment, the company's investment decision-making committee has formulated a management system for fund warrant investment and constantly adjusted it according to the actual situation;
2. Strictly implement the company's investment authorization system;
3. The fund manager shall decide the investment plan of specific warrant varieties according to the market transaction of warrants and his own research judgment, and submit it to the investment director for approval;
4. The Central Trading Office is responsible for the specific transaction execution, while performing the responsibility of front-line monitoring, including the proportion of fund warrant investment;
5. The Financial Engineering Department of the Company evaluates the risk and performance of warrant investment and provides relevant reports;
6. The Financial Engineering Department of the Company is responsible for continuously improving the warrant pricing model and regularly evaluating the model risk.
5、 Disclosure of warrant investment risk
Although the Fund Manager carries out warrant investment based on the principle of prudence and controllable risk, it still has the following risks:
1. Price risk
Due to the high leverage of warrants, the price of warrants may fluctuate violently. The warrant price is highly related to the underlying securities price and volatility, interest rate level, warrant residual duration and other factors; At the same time, the price of warrants may be affected by the degree of trading activity of warrants. The warrant price has risks caused by the changes of the above factors:
(1) The decline of the price and volatility of the underlying securities may lead to the decline of the warrant price;
(2) The decline of interest rate may lead to the decline of warrant price;
(3) Shortening the remaining duration of warrants may lead to a decline in the price of warrants.
2. Liquidity risk
Influenced by the scale of warrants and the active degree of warrant trading, warrants may not be able to buy or sell in a large number at the same price level, and there is a certain liquidity risk.
3. Timeliness risk
The warrant has a certain duration. After the expiration of the duration, the warrant will not have any value, and there is a timeliness risk.
4. Credit risk
When warrant holders exercise their rights, there is a risk that the issuer will fail to perform.
It is hereby announced that
Huaxia Fund Management Co., Ltd
August 20, 2005
Sina statement: The content of this article is purely the author's personal view, only for investors' reference, and does not constitute investment advice. Investors operate accordingly at their own risk.
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