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The high-quality growth fund and dividend and profit increasing fund managed by Guolian Fund Management Company can actively invest in warrants according to the provisions of the fund contract. We will continue to implement investment management in strict accordance with the Notice of the CSRC on Issues Related to Fund Investment Warrants in the Share trading Reform and the Company's existing investment management methods, The following provisions are made for warrant investment:
1、 Proportion limit of investment warrants
1. The total amount of warrants purchased by a fund on any trading day, calculated at cost, 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 at cost.
3. The same warrant held by all funds managed by Guolian Fund shall not exceed 10% of the warrant.
4. Due to fluctuations in the securities market, changes in fund size Non tradable shares The proportion of warrant investment does not meet the above proportion limit due to factors other than the fund manager such as payment of consideration during the reform, and the Company will complete the adjustment within ten trading days. If the CSRC has other provisions, it shall not be subject to the proportion limit specified in the preceding paragraph.
2、 Investment strategy
The B-S model, binary tree model, implied volatility and other methods are used to measure the valuation of warrants, and the risk is locked through warrant trading. Take appropriate risks and make active investment to obtain excess returns.
3、 Information disclosure method
The Fund Manager will, in strict accordance with the Fund Law, the Administrative Measures for Information Disclosure of Securities Investment Funds, other relevant laws and regulations, and the relevant provisions of the CSRC, include the information disclosure of warrant investment into the scope of information disclosure, and disclose the information related to fund investment warrants in the regular reports of the Fund, Announce on more than one media designated by the CSRC, and report to the CSRC and the dispatched office of the CSRC where the fund manager's main office is located on the public disclosure day for filing.
4、 Risk control measures
1. The investment department evaluates the liquidity, pricing and leverage ratio of warrant varieties through quantitative risk measurement indicators, and determines the corresponding investment strategy.
2. The business operation implements the post separation system of mutual supervision and mutual restriction. The investment decision-making committee and fund managers shall strictly follow the relevant laws and regulations and the company's investment management system when making warrant investment decisions. When executing the warrant investment order, the Fund Trading Department shall review the compliance of the investment order and have the right to refuse to execute the order in violation of the provisions.
3. Clarify the relevant investment restrictions and prohibitions, set the corresponding restrictions in the computer trading program for transaction execution, and set the warning function for abnormal trading behaviors, so as to ensure that any intentional or wrong investment orders and trading orders that violate the relevant restrictions or prohibitions cannot be realized, and abnormal conditions can be prompted in a timely manner.
4. Merger management of warrants and corresponding regular shares, for those not entering Level III shares The warrant corresponding to the stock of the treasury shall not be actively invested. Other passively held warrants can only be sold in one direction.
5. Strict authorization management. According to the company's investment and decision-making management process, the fund manager must operate within the scope of authorization. When the market value of all the warrants held by a fund exceeds 1% of the net asset value of the fund according to the cost, the approval of the investment director is required; All warrants held by a fund shall be calculated at cost, and the market value of which shall not exceed 2% of the net asset value of the fund shall be subject to the approval of the leader in charge. The total amount of any warrant held in one direction shall not exceed the proportional limit of the CSRC at any time point.
6. The supervision and audit personnel have the right to immediately monitor the execution of the warrant transaction, check the decision-making of the warrant investment, the warrant portfolio and its changes, and the completion of the transaction of the warrant investment order, and timely reflect and report the questionable transactions.
7. The financial engineering team will use the financial statistical analysis model to assess the risk of the fund's investment portfolio, assess the risk of the warrants and investment portfolio by means of quantitative analysis, and issue a risk control report every week.
5、 Investment risk disclosure
Warrant trading has a series of functions such as hedging, price discovery, optimizing resource allocation, and reducing transaction costs. However, if it is not properly used or risk management is improper, it will lead to huge risks.
1. Leveraged transaction risk: the high leverage of warrants means that investors can obtain the same yield as the underlying assets by paying a small amount of premium when conducting warrant transactions, which means that investors will suffer greater losses when the price of the underlying assets changes in an adverse direction.
2. Investment strategy risk: The virtuality and pricing complexity of derivatives make their trading strategies far more complex than spot trading. When participating in warrant trading, whether the investment strategy formulated by the fund is effective and whether the model used has been fully verified will bring risks to investors. In particular, the use of financial derivatives is based on the stable and accurately estimated statistical relationship between portfolio assets and the underlying assets of derivatives, and between the underlying assets of derivatives and derivatives. When such relationship cannot be established or is not reliable, financial derivatives become a pure speculative tool, and portfolio assets cannot be effectively protected, The fund is also difficult to achieve its own purpose.
3. Risk of sharp price fluctuation: due to the existence of T+0, high leverage and relatively low transaction costs, possible institutional manipulation will lead to sharp fluctuations in the price of warrants. As a new financial product, the risk of deviation from the actual value will lead to irrational sharp rise and fall in the price of warrants.
4. Performance risk: If the issuer fails to perform, the investor may suffer all losses.
It is hereby announced!
Guolian 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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