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According to China CSRC The Fund Manager hereby formulates a principled warrant investment plan in accordance with the Notice on Issues Related to Securities Investment Fund Investment Warrants in the Split Share Structure Reform (Zheng Jian Ji Jin Zi [2005] No. 138). This plan aims to frame the purpose, strategy, risk control and information disclosure of the Fund Manager's active investment in warrant instruments. For different funds under management actively investing in warrants, the Fund Manager will make specific rules according to the characteristics of different fund products.
1、 Investment purpose
1. Warrants are high risk and high volatility investment products. We mainly invest in warrants as a single high volatility investment product;
2. As the market is unable to sell short at present, use warrants to carry out investment strategies such as option replication when conditions are ripe.
2、 Investment strategy
1. The investment in warrants is based on the research and valuation of the underlying securities, with the implied volatility and other parameters as the main valuation indicators, and the corresponding investment operations are determined according to the valuation;
2. In view of the high volatility of warrants, the operation strategy is mainly band operation, and the position time is limited. In specific operation, the position time of each warrant is limited according to the different contracts of the funds managed by the Fund Manager and the different characteristics of each warrant;
3. Formulate stop loss strategy, and formulate stop loss line for each warrant operation according to different contracts of each fund and different characteristics of each warrant.
3、 Risk control
1. The proportion of warrant investment shall refer to the relevant provisions of the CSRC, that is, the overall proportion of warrant investment shall not be higher than 3% of the net fund value; The single day purchase ratio shall not exceed 0.5% of the net fund value; The same warrant held by all funds managed by the Fund Manager shall not exceed 10% of the warrant.
2. Track the VAR changes of the overall portfolio after joining the warrant investment, coordinate with the market investment environment, and monitor the risk of warrant investment.
3. Regularly summarize the profit and loss of warrant trading and adjust the specific investment plan.
4、 Information disclosure
The Fund Manager will report the transactions of active investment in warrants on the same day to the regulatory authority in the form of electronic documents (forms) on the next working day, and publicly disclose the special contents in the Fund's regular report (quarterly report).
It is hereby announced that
Shenwan Paris 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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