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In accordance with the provisions of the Law of the People's Republic of China on Securities Investment Funds, the Measures for the Operation and Management of Securities Investment Funds, the Notice on Issues Related to Securities Investment Fund Investment Warrants in the Reform of Non tradable Shares (ZJJJZ [2005] No. 138) and the Dacheng Value Growth Securities Investment Fund under Dacheng Fund Management Co., Ltd. (hereinafter referred to as "the Company") According to the relevant provisions in the fund contracts of Dacheng Blue chip Robust Securities Investment Fund, Dacheng Selected Value added Hybrid Securities Investment Fund, Jingyang Securities Investment Fund, Jingbo Securities Investment Fund, Jingfu Securities Investment Fund and Jingye Securities Investment Fund, the above funds of the Company can actively invest in the warrants issued in the share trading reform. The warrant investment plan is hereby announced as follows:
1、 Proportion limit of investment warrants
The Company's use of fund assets for warrant investment will comply with the following restrictions:
1. The total amount of warrants purchased by a single 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 single fund shall not exceed 3% of the net asset value of the fund.
3. The same warrant held by all funds of the Company shall not exceed 10% of the warrant.
4. Because in Non tradable shares Passively obtaining warrants in the reform negotiable securities If the proportion of warrant investment does not meet the above proportion limit due to factors other than fund managers, such as market fluctuations, mergers of listed companies, changes in fund size, etc., the Company will adjust and make it meet the proportion within ten trading days.
China CSRC If there are other provisions, they are not subject to the proportion limit specified in Items 1, 2 and 3 of the preceding paragraph.
2、 Warrant investment strategy
The Fund shall actively invest in warrants on the premise of controlling investment risks and ensuring the safety of fund assets. The Fund's warrant investment strategy mainly includes the following aspects:
1. The Fund mainly uses a variety of options pricing models recognized by the market to price warrants, as the value benchmark of warrant investment.
2. The Fund will conduct trend investment of warrants based on the research and valuation of the underlying company of warrants and the theoretical value of warrants.
3. By taking advantage of the characteristics of warrant derivatives, funds can improve the risk return characteristics of portfolios through portfolio investment of warrants and securities; Including but not limited to leverage trading strategy, bearish protection portfolio strategy, protection portfolio cost strategy, profit protection strategy, and buy straddle investment strategy.
3、 Disclosure method of warrant investment information
The Company will disclose relevant information about fund investment warrants in the quarterly report, semi annual report and investment portfolio report of the annual report of the Fund. When the portfolio report discloses the asset portfolio of the fund, it also displays the amount of warrants at the end of the reporting period and their proportion in the total assets of the fund in a list.
In the semi annual report and annual report, disclose the details of all warrants sorted by the proportion of market value in the net asset value of the fund at the end of the reporting period, including the warrant code, warrant name, number, market value at the end of the reporting period, and the proportion of market value in the net asset value of the fund.
If the CSRC has new rules, relevant information shall be disclosed according to the new rules.
4、 Risk control of warrant investment
1. For warrant investment, the company's investment decision-making committee formulates the fund warrant investment management system, and constantly adjusts it according to the actual situation.
2. The fund manager shall decide the type of investment warrants according to the market transactions of warrants and his own research judgment, and strictly implement the company's warrant investment authorization system.
3. The Trading Department shall review the warrant investment instructions issued by the fund manager, and timely notify the relevant departments in case of violations and abnormal transactions.
4. The Financial Engineering Department uses the VAR risk control system, Delta Gamma Vega analysis method and other methods to regularly assess the investment risk of warrants and warrant portfolios and provide relevant risk assessment reports.
5. The Supervision and Audit Department monitors the compliance risk of each fund warrant investment.
5、 Risk warning
Due to the unique characteristics of warrants such as high leverage and high volatility, the behavior of fund investing in warrants may change the risk return characteristics of fund investment to a certain extent, reminding fund share holders to pay special attention to the risk of fund net value fluctuation caused by investing in warrants.
It is hereby announced that
Dacheng Fund Management Co., Ltd
August 24, 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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