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March 16, 2021
Fund Manager: China Shipping Fund Management Co., Ltd
Fund Custodian: China Merchants Bank Co., Ltd
Report sending date: April 22, 2021
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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§ 1 Important notes
The Board of Directors and directors of the Fund Manager guarantee that there are no false records, misleading statements or major omissions in the information contained in this report,
And bear individual and joint liabilities for the authenticity, accuracy and integrity of its contents.
China Merchants Bank Co., Ltd., the fund custodian, reviewed this report on April 16, 2021 in accordance with the provisions of this fund contract
The financial indicators, net worth performance and portfolio report in, to ensure that there is no false record, misleading statement or
Or major omission.
The Fund Manager promises to manage and use the Fund assets in the principle of honesty, credit and diligence, but does not guarantee that the Fund will be profitable.
The past performance of the Fund does not represent its future performance. Investment is risky. Investors should read this carefully before making investment decisions
Prospectus of the Fund.
The financial information in this report has not been audited.
The reporting period is from January 1, 2021 to March 16, 2021 (the last operation date of the fund).
§ 2 Overview of fund products
The fund is abbreviated to CNH Ruili for six months
The site is called as Zhonghai Ruili for six months
Fund main code 000316
Transaction code 000316
Fund operation mode: contractual open-ended
Effective date of fund contract October 24, 2019
Total fund shares at the end of the reporting period 6259926.01
Investment objectives
Under the premise of strictly controlling risks and maintaining high liquidity,
Strive to surpass the benchmark of fund performance for fund share holders
To realize the steady appreciation of fund assets.
investment strategy
1. Closed period investment strategy
During the closing period, the Fund has determined the macro economic situation and interest rate at home and abroad
Trend, yield curve change trend, credit risk change and other factors
Conduct comprehensive analysis, construct and adjust fixed income securities portfolio
Seeking for a steady return on investment.
(1) Duration allocation strategy: based on macroeconomic trend changes
Top down asset allocation.
Use the macroeconomic analysis model to determine the cyclical changes of the macro-economy,
It is mainly the change trend in the medium and long term, so as to determine the direction of interest rate change
And trends. According to the attributes of different categories of assets in the macroeconomic cycle,
That is, the characteristics of money market procyclicality and bond market countercyclicality determine the debt
The basic direction and characteristics of bond asset allocation. Combine monetary policy and finance
Policy and bond market capital supply and demand analysis, according to the yield model
Risk assessment of various fixed income financial instruments and final determination of investment
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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Duration allocation of asset portfolio.
(2) Term structure configuration strategy: based on quantitative model, top-down
Asset allocation under.
After determining the portfolio duration, through studying the shape of the yield curve
The yield curve analysis model is used to analyze the risk return of each period
Line evaluation, and analyze the riding income of each period of the yield curve.
Select the term with the highest expected return rate by optimizing the asset allocation model
Section to carry out matching combination, so that bullet combination, barbell combination and trapezoid
Select the optimal allocation scheme of risk return ratio in the portfolio.
Bullet portfolio, even if the portfolio's cash flow is concentrated and distributed as far as possible;
Barbell portfolio, even if the portfolio's cash flow is as bipolar as possible;
Trapezoidal portfolio, even if the portfolio's cash flow is as average as possible during the investment period
Distribution.
(3) Bond category allocation strategy/individual bond selection: mainly based on credit interest
Difference analysis, top-down asset allocation.
Based on the relative value between interest rate bonds and credit bonds, the Fund
It is based on the quantitative analysis of the historical price relationship, taking into account specific categories
Basic analysis of different income varieties and comprehensive analysis of credit of each variety
Margin changes. Holding financial bonds and enterprises when credit spreads are high
Bonds, short-term financing bonds and other credit bonds, when the credit spread level is low
Holding treasury bonds and other interest rate bonds, so as to determine various types of bonds in the entire bond portfolio
Proportion of investment in bonds.
Selection of individual bonds: bottom-up
Asset allocation.
The selection of individual coupons shall follow the following principles:
The principle of relative value: the varieties with higher yield in the same risk are equal
Varieties with low yield risk.
Liquidity principle: other conditions are similar, and the varieties with good liquidity should be selected.
(4) Convertible bond investment strategy: Convertible bonds have both bonds and
The relevant characteristics of stocks, whose investment risks and returns are between bonds and stocks
between. When screening convertible bonds, the Fund will first
The intrinsic bond value of the converted bonds (such as nominal interest, interest supplement
Compensation and unconditional resale price), application scope and flow of protection clauses
Sex; And then, for the underlying stock of convertible bonds
Analyze the fundamentals to form the valuation of the underlying stocks; last
The basic score of the convertible bond itself and the base of its underlying stock
This score is combined to determine the convertible bond type of investment.
(5) Exchangeable bond investment strategy
Exchangeable bonds The shares exchanged during the share exchange period are held by the issuer
Shares of some other listed companies (hereinafter referred to as "target companies").
Exchangeable bonds also have the characteristics of stocks and bonds. Of which, bonds
The characteristics are the same as those of convertible bonds, which refers to the nominal interest obtained from holding to maturity
Interest and face value. The stock characteristics refer to the growth ability
Profitability and the growth of the target company's stock price. The Fund will
By comparing the net debt value of exchangeable bonds with the stock price of the target company
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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To conduct research and analysis, and comprehensively carry out investment decisions.
(6) Asset backed securities investment strategy
The Fund will, on the basis of macroeconomic and fundamental analysis
Quality and composition of supporting securities, interest rate risk, credit risk, liquidity
All aspects of qualitative and quantitative analysis of sexual risk and prepayment risk
Analyze, evaluate its relative investment value and make corresponding investment decisions,
Strive to improve the Fund as much as possible under the premise of controlling investment risks
The benefits of.
Performance comparison benchmark: yield of China Securities Total Bond Index * 100%
Risk return characteristics
The Fund is a bond fund with long-term average risk and expected yield
It is lower than stock funds and hybrid funds and higher than money market funds.
Fund Manager: China Shipping Fund Management Co., Ltd
Fund Custodian China Merchants Bank Co., Ltd
§ 3 Main financial indicators and net fund value performance
3.1 Main financial indicators
Unit: RMB
Main financial indicators
Reporting period (January 1, 2021 to March 16, 2021
Day)
1. Realized income of the current period 363.15
2. Current profit - 11750.28
3. Weighted average fund share profit of the current period -0.0018
4. Net asset value of the fund at the end of the period 5268051.66
5. Net value of fund units at the end of the period 0.8416
Note: 1: The fund performance indicators mentioned above do not include various fees for fund share holders to subscribe or trade funds (for example, subscription
Redemption fees, etc.), the actual income level after being included in the fees should be lower than the listed figures.
2: Realized income in the current period refers to the interest income, investment income and other income (excluding income from changes in fair value) of the fund in the current period
As for the balance after expenses, the profit of the current period is the realized income of the current period plus the income from changes in fair value of the current period.
3.2 Fund net value performance
3.2.1 The growth rate of the net value of fund shares and its comparison with the benchmark return rate of performance in the same period
stage
Net value growth rate
①
Net value growth rate
Standard deviation ②
Performance comparison base
Quasi yield ③
Performance Benchmark
Standard deviation of yield
④
①－③ ②－④
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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In the past three months - 0.24% 0.08% 0.60% 0.05% - 0.84% 0.03%
In the past six months - 0.99% 0.11% 1.91% 0.05% - 2.90% 0.06%
Last year - 1.16% 0.13% 0.73% 0.08% - 1.89% 0.05%
Self fund contract
Since its entry into force
0.51% 0.11% 5.03% 0.09% -4.52% 0.02%
Note: The benchmark for performance comparison of the Fund is: the yield of the CSI All Bond Index * 100%.
"Last three months" refers to the period from January 1, 2021 to March 16, 2021.
"Last Six Months" means the period from October 1, 2020 to March 16, 2021.
"Last year" refers to the period from April 1, 2020 to March 16, 2021.
"Since the Fund Contract came into force" refers to the period from October 24, 2019 to March 16, 2021.
3.2.2 Changes in the growth rate of the accumulated net value of the fund since the fund contract came into force and its benchmark earnings compared with the performance of the same period
Comparison of rate changes
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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§ 4 Manager's report
4.1 Profile of fund manager (or fund manager team)
Term of the Fund Manager
Name Title
Date of appointment Date of departure
Description of securities working years
Shao Qiang
The Fund Fund
Manager Jin
Zhonghai Medium short
Bond type
portfolio investment
Fund
Manager, Middle
Haihui Yuchun
Bond type
Origination certificate
Securities investment base
Gold (LOF)
fund manager
February 2019
19th
-9 years
Mr. Shao Qiang, Boming, England
John University International Accounting and King
Master of Finance. Former middle term
Beijing Management of Plant Enterprise Group
Headquarters Assistant Analyst, Xing
Research by Securities Planning and Finance Department
Researcher, China Merchants Bank Shanghai
Branch interbank manager, Xingzheng
Securities Asset Management Co., Ltd
Corporate bond researcher. two thousand and eighteen
Joined China Shipping Fund in September
Manage the work of the limited company,
Proposed Fund of Investment Research Center
Manager. February 2019 to
Six months since I was appointed to Zhonghai Ruili
Fixed term open bond securities
Investment fund manager,
February 2019~now
Haizhong Short term Bond Securities
Investment fund manager,
March 2019~now
Haihuiyu pure bond issuance
Starting securities investment fund
(LOF) Fund manager.
Note 1: The above appointment date and departure date shall be filled in according to the appointment and removal date disclosed by the Fund Manager.
Note 2: The meaning of securities industry is subject to the relevant provisions of the Measures for the Administration of Securities Industry Practitioners' Qualifications issued by the industry association.
4.2 Statement of the Manager on the compliance of the Fund's operation during the reporting period
The Fund Manager strictly abides by the Securities Investment Fund Law of the People's Republic of China and other relevant laws and regulations during the reporting period
The Fund Contract stipulates that the Fund Unitholders shall diligently and responsibly seek for the interests of the Fund Unitholders without harming the interests of the Fund Unitholders
There is no violation of laws and regulations or failure to fulfill the fund contract commitments.
4.3 Special description of fair trade
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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4.3.1 Implementation of fair trade system
According to the Guiding Opinions on Fair Trading System of Securities Investment Fund Management Companies and relevant systems of the company
Transaction, post analysis of risk management and other links, and investment management activities such as primary market subscription and secondary market transaction of stocks and bonds
The whole process of fair trade was clearly agreed. The company requires all portfolios of the company to study
As a result, investment trading instructions are uniformly sent to the trading room, which will implement relevant transactions by enabling the fair trading module,
So that the time priority, price priority, proportional distribution and comprehensive balance required in the fair trade system can be implemented; At the same time, according to the company
The system prohibits the same day reverse trading between company portfolios (except index portfolios) through the system. For those occurred in the inter-bank market
Bond trading and block trading in the exchange market shall be reviewed in advance by the company, and risk control shall be involved in advance
It has effectively prevented possible unfair transactions.
During the reporting period, the company collected premium rate samples of the same direction transaction price difference of different portfolios in different time periods
The importance of the contribution of the relevant premium amount to the portfolio yield is analyzed, and the number of dominant transactions is
Time series analysis is carried out. The multi-dimensional fair trade monitoring indicators make the post analysis of fair trade more comprehensive and effective.
During the reporting period, the company made statistical analysis on reverse transactions of different combinations in different time periods according to the system requirements
The abnormal transactions stipulated in the current company system require relevant parties and approvers to leave marks according to the company system requirements.
4.3.2 Special description of abnormal trading behavior
During the reporting period, there was no unilateral trading volume with less reverse transactions on the same day in the open bidding of the exchanges in which all portfolios participated
In case of exceeding 5% of the trading volume of the securities on that day, the possibility of securities subscription in the primary market and securities trading in the secondary market
The company requires portfolio managers to provide relevant information on major abnormal transactions that lead to unfair transactions and benefit transfer according to the system
The condition description shall be marked.
4.4 Analysis of the Fund's investment strategy and operation during the reporting period
The economic operation in the first quarter of this year has generally continued the trend of stable recovery since last year. The economic cycle is increasingly smooth, and the market expects
Keep improving. However, due to the sporadic recurrence of the domestic epidemic at the beginning of the year and the impact of the local New Year policy, the economic recovery appeared structural
Differentiation. For example, thanks to the recovery of domestic and foreign demand and the impact of last year's low base, the export growth and the increase of industries above designated size in January and February
The growth rate of value and social retail consumption both achieved a double-digit high growth and was higher than expected. On the other hand, the overall growth rate of fixed asset investment is low
As expected, it may have obvious effects on epidemic prevention and control, slow progress of financial expenditure, and the "three red lines" policy regulation of real estate enterprises
It is now relevant.
In terms of monetary policy, inter-bank liquidity in the first quarter was reasonable and abundant as a whole, except for large fluctuations at the end of January. In January and February, the entity
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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The demand for economic financing is strong, and the social financing data from the total amount to the structure are better than expected. Proposed by the Monetary Policy Committee of the People's Bank of China at its regular meeting in the first quarter of 2021
"The driving force of domestic economic development has been continuously strengthened, and the positive factors have increased significantly". At the same time, the description of "no sharp turn" has not been mentioned
The basal regulator is neutral. The bond yield in the first quarter was the first to rise and fall, and the yield of active 10-year treasury bonds rose by 14BP at the highest during the period,
Up 5BP at the end of the period compared with the beginning of the period; The yield of active 10-year bonds issued by China rose by 24BP at the highest level during the period, and by 9BP at the end of the period compared with the beginning of the period.
In the international arena, Biden proposed a huge fiscal stimulus policy, and the optimism of reviving the re inflation transaction dominated the global financial market at the beginning of the year
Field. With the rapid rise of the price of oil and other commodities and the long-term yield to maturity of US bonds, the recovery inflation expectation is expected to become the highest this year
An important trading thread.
In the next stage, the main driving force of bond market may gradually shift from the rapid increase of inflation expectations to the rapid recovery of economic fundamentals
Marginal change of rate. Next, we should still pay attention to the implementation of domestic and foreign fiscal and monetary policies, and the rhythm difference of economic fundamentals recovery
And the latest development of international games.
In the first quarter, the Fund continued to adhere to the strategy of short duration, medium and low leverage. In operation, the proportion of each asset is strictly in accordance with the requirements of laws and regulations,
There is no liquidity risk. The subsequent asset allocation of the product will continue to track the trend of short-term and long-term bond yields
When the price ratio is highlighted again, the opportunity to participate in the band can be considered.
4.5 Performance of the Fund during the reporting period
As of March 16, 2021 (the last operation date of the Fund), the net value of the Fund units is 0.8416 yuan (cumulative net value 1.2818 yuan)
Yuan). During the reporting period, the growth rate of the net value of the Fund was -0.24%, 0.84 percentage points lower than the performance benchmark.
4.6 Number of fund holders or early-warning statement of fund net asset value during the reporting period
The Fund has had a net asset value of less than 50 million yuan for more than 60 consecutive working days,
The Fund will enter into liquidation procedures from March 17, 2021.
§ 5 Portfolio report
5.1 Fund asset portfolio at the end of the reporting period
S/N Item amount (yuan) in the proportion of total fund assets (%)
1. Equity investment -- including stocks -- 2. Fund investment -- 3. Fixed income investment -- including bonds ---
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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Asset backed securities -- 4 precious metal investment -- 5 financial derivatives investment -- 6 redemptory financial assets for sale -- including: redemptory repurchase for sale
financial assets
-- 7 Total bank deposits and settlement provisions 5306369.04 99.63
8 Other assets 19497.11 0.37
9 Total 5325866.15 100.00
5.2 Stock portfolio classified by industry at the end of the reporting period
Note: The Fund did not hold shares at the end of the reporting period.
5.3 Details of top ten stock investments ranked by the proportion of fair value in the net asset value of the fund at the end of the reporting period
Note: The Fund did not hold shares at the end of the reporting period.
5.4 Bond portfolio classified by bond varieties at the end of the reporting period
Note: The Fund did not hold bonds at the end of the reporting period.
5.5 Details of the top five bond investments ranked by the proportion of fair value in the net asset value of the fund at the end of the reporting period
Note: The Fund did not hold bonds at the end of the reporting period.
5.6 The top ten asset-backed securities investments ranked by the proportion of fair value in the net asset value of the fund at the end of the reporting period
detailed
Note: The Fund did not hold asset-backed securities at the end of the reporting period.
5.7 Details of the top five precious metal investments ranked by the proportion of fair value in the net asset value of the fund at the end of the reporting period
Note: The Fund did not hold precious metals at the end of the reporting period.
5.8 Details of the top five warrant investments ranked by the proportion of fair value in the net asset value of the fund at the end of the reporting period
Note: The Fund did not hold warrants at the end of the reporting period.
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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5.9 Description of treasury bond futures transactions invested by the Fund at the end of the reporting period
5.9.1 Investment policy of current treasury bond futures
According to the fund contract, the Fund will not participate in treasury bond futures trading.
5.9.2 Details of positions and profits and losses of treasury bond futures invested by the Fund at the end of the reporting period
Note: The Fund did not hold treasury bond futures contracts at the end of the reporting period.
5.9.3 Evaluation of current treasury bond futures investment
According to the fund contract, the Fund will not participate in treasury bond futures trading.
5.10 Notes to Portfolio Report
5.10.1 Description of the investigation and punishment of the issuers of the top ten securities invested by the Fund in the current period
The issuers of the top ten securities invested by the Fund during the reporting period were not investigated by the regulatory authorities or before the preparation date of this report
Public condemnation and punishment within one year.
5.10.2 Explanation of the situation that the top ten stocks invested by the Fund exceed the alternative stock pool specified in the Fund Contract
During the reporting period, the top ten stocks invested by the Fund did not include any stocks other than the alternative stocks specified in the Fund contract.
5.10.3 Composition of other assets
No. Name Amount (yuan)
1 Deposit 18017.19
2. Securities clearing receivables - 3. Dividends receivable - 4. Interest receivable 1479.92
5 Purchase application receivables - 6 other receivables - 7 others - 8 total 19497.11
5.10.4 Details of convertible bonds held in the conversion period at the end of the reporting period
Note: The Fund did not hold convertible bonds in the conversion period at the end of the reporting period.
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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5.10.5 Explanation of restricted circulation of the top ten stocks at the end of the reporting period
Note: There is no circulation restriction in the top ten stocks of the Fund at the end of the reporting period.
5.10.6 Other words in the notes to the portfolio report
Due to rounding of the Fund, there may be a tail difference between the sum of sub items and the total.
§ 6 Change of open-ended fund shares
Unit: copy
Total fund shares at the beginning of the reporting period 7107294.06
Total fund subscriptions during the reporting period 44125.35
Less: Total redeemed fund units during the reporting period 891493.40
Share of fund split changes during the reporting period (share decrease expressed with "-")
Fill in)
-Total fund shares at the end of the reporting period 6259926.01
§ 7 The Fund Manager's investment in the Fund with its own capital
7.1 Changes in the Fund Manager's holding of Fund units
Note: During the reporting period, the Fund Manager did not hold the Fund.
7.2 Transaction details of the Fund Manager's investment in the Fund with its own capital
Note: During the reporting period, the Fund Manager did not use its own capital to invest in the Fund.
§ 8 Directory of documents for future reference
8.1 Directory of documents for future reference
1. The document of the CSRC approving the raising of centralized Haihuili pure debt graded bond securities investment fund
Six month report for the first quarter of 2021 of CNOOC Rayleigh
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2. Six month Fixed Open ended Bond Securities Investment Fund Contract of China Shipping Ruili
3. Custody Agreement of Six month Regular Open ended Bond Securities Investment Fund of China Shipping Ruili
4. Financial Statements and Notes to the Statements of the Six month Regular Open ended Bond Securities Investment Fund of China Shipping Ruili
5. Announcements disclosed in designated newspapers and periodicals during the reporting period
8.2 Storage location
Room 2905-2908 and 30/F, No. 68, Yincheng Middle Road, Pudong New Area, Shanghai
8.3 Query method
If investors have any questions about this report, they can consult the fund manager, China Overseas Fund Management Co., Ltd.
Tel: (021) 38789788 or 400-888-9788
Company website: http://www.zhfund.com
China Shipping Fund Management Co., Ltd
April 22, 2021 |
