Worried about the abandonment of warrants by high-risk and highly leveraged index funds (figure)

Yesterday, warrants landed in China's securities market again. As one of the major institutional investors, the Fund is allowed to hold and actively invest warrants. On August 20 alone, there were 8 fund companies and about 36 funds with intensive warrant investment plans.

Industry insiders have analyzed that the introduction of warrants may enable index funds to better track the underlying index. However, the reporter found that some fund companies coincidentally excluded index funds from the list of warrant investment funds.

"For index funds, warrants are a very meaningful investment tool." Yang Yu, the proposed fund manager of Harvest CSI 300 Index Fund, pointed out that since index funds need to maintain 5% of cash in response to redemption, this will affect the performance of index funds to replicate 100% of the underlying index. With warrants, a small amount of warrant investment can simulate the effect of all the remaining 5% of cash invested in index constituent stocks through leverage operation, so as to better track the underlying index.

An analyst from a securities firm pointed out that holding warrant products is conducive to better realizing the hedging strategy of capital guaranteed funds. According to the analysis, after the introduction of warrants, the principal guaranteed fund can innovate and design a portfolio of investment equity products (stocks), fixed income products (bonds) and derivative financial products (warrants), in order to lock in earnings through hedging.

　　 Index funds are excluded from the list

Although investing in warrants seems to have many benefits, according to the published warrant investment plan, some fund companies prefer to "only allow their actively managed partial equity funds to participate in warrant transactions, while passively invested index funds are excluded from the warrant investment list".

For example, according to the announcement, 7 of the 10 funds under Bosera Fund may invest in warrants, but with the "Xinhua FTSE China A200 Index constituent stocks, Xinhua FTSE China National Debt Index（ information quotation forum ）The index fund Boshi Yufu, whose main investment object is component securities, temporarily chose to voluntarily abstain.

And Huaxia SSE 50ETF（ information quotation forum ）It is also temporarily excluded by Huaxia Fund Company from the fund products that the company may invest in warrants.

In this regard, Guotai Jun'an said that the fund companies obviously take into account the high risk and high leverage attributes of warrants. According to the released announcement on warrant investment, warrant investment is mainly faced with four risks: first, price risk. Due to the high leverage of warrants, the price may fluctuate violently. For example, the price of underlying securities may decline, the interest rate level may decline, and the remaining duration of warrants may shorten, which may lead to the decline of warrant price; The second is liquidity risk. Influenced by the size of warrants and the degree of trading activity, warrants may not be able to buy or sell in large quantities at the same price level; The third is the timeliness risk. After the duration expires, the warrant will not have any value; Finally, when warrant holders exercise their rights, there is also a credit risk that the issuer cannot perform.

　　 Some closed-end funds are suspected of exceeding their authority

In addition, the reporter found that in the published list of about 36 funds or funds investing in warrants, a few closed-end funds that do not have warrant investment qualifications have suddenly appeared.

It is understood that at least two conditions need to be met for the Fund to invest in share reform warrants: first, it must comply with the relevant provisions of the Fund contract; Second, the warrant investment plan shall be reported to the CSRC and announced before investment. Most of the agreed investment scope of the existing fund products include "other securities specified by the CSRC", so the investment warrants may not require the holder to re authorize.

However, the reporter found that although it was agreed in the contract that "the investment scope is only limited to government bonds and domestically legally issued and listed stocks", in the announced warrant investment plan, the fund Xinghua（ information quotation forum ）However, it was listed in the equity reform warrant investment plan by its fund company. (By reporter Wu Qian)

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