IMPORTANT INFORMATION about the CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product
IMPORTANT: Investment involves risks. Investment value may rise or fall. Past performance information presented is not indicative of future performance. Investors should refer to the Prospectus and the Product Key Facts Statement for further details, including product features and risk factors. Investors should not base on this website alone to make investment decisions.
| CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product (the “Product”) is a sub-fund of CSOP Leveraged and Inverse Series, an umbrella unit trust established under Hong Kong law. Units of the Product (the “Units”) are traded in HKD on the Stock Exchange of Hong Kong Limited (the “SEHK”) like stocks. It is a futures-based product which invests directly in futures contracts on the Hang Seng China Enterprises Index (“HSCEI Futures”) listed on the Hong Kong Futures Exchange Limited (“HKFE”) so as to give the Product the two times inverse (-2x) of the Daily performance of the Index. “Daily” in relation to the inverse performance of the Index or the performance of the Product, means the inverse performance of the Index or the performance of the Product (as the case may be) from the close of market of a given Business Day until the close of the market on the subsequent Business Day. | |
| The Product is a derivative product and is not suitable for all investors. There is no guarantee of the repayment of principal. Therefore your investment in the Product may suffer substantial or total losses. | |
| The Product tracks the two times inverse performance of the Index on a Daily basis, using leverage to achieve a Daily return equivalent to twice the inverse performance of the Index. Both gains and losses will be magnified and in the two times inverse (-2x) direction of the Daily performance of the Index. Should the value of the underlying securities of the Index increase, it could have a magnified negative effect on the performance of the Product. Unitholders could, in certain circumstances including a bull market, face minimal or no returns, or may even suffer a complete loss, on such investments. | |
| The Product will utilise leverage to achieve a Daily return equivalent to minus two times (-2x) the return of the Index. Both gains and losses will be magnified. The risk of loss resulting from an investment in the Product in certain circumstances including a bull market will be substantially more than a fund that does not employ leverage. For example, the Index could increase by more than 50% on a particular day and this may result in the total loss of the investors’ investment in the Product. Such total loss of investment could occur in a relatively short period of time if there is a material market movement. | |
| The Product is not suitable for holding longer than one day as the performance of the Product over a period longer than one day will very likely differ in amount and possibly direction from the two times inverse performance of the Index over that same period (e.g. the loss may be more than 2 times the increase in the Index). This effect may be more pronounced for longer holding periods and in products with larger leverage factor and/or inverse exposure. Investors should not expect the actual percentage return of investing in the Product to be equal to two times the inverse percentage change in the Index for periods of longer than one day. The effect of compounding becomes more pronounced on the Product’s performance as the Index experiences volatility. With higher Index volatility, the deviation of the Product’s performance from the two times inverse performance of the Index will increase, and the performance of the Product will generally be adversely affected. As a result of Daily rebalancing, the Index’s volatility and the effects of compounding of each day’s return over time, it is even possible that the Product will lose money over time while the Index’s performance falls or is flat. Investors in the Product should actively manage and monitor their investments, as frequently as daily. | |
| Investing in the Product is different from taking a short position. Because of rebalancing, the return profile of the Product is not the same as that of a short position. In a volatile market with frequent directional swings, the performance of the Product may deviate from a short position. | |
| Risk investment outcome of the Product is the opposite of conventional investment funds, and any gains and losses will be magnified by approximately two times. If the value of the Index increases for extended periods, the Product will likely to lose most or all of its value. | |
| There is no assurance that the Product can rebalance its portfolio on a Daily basis to achieve its investment objective. Market disruption, regulatory restrictions or extreme market volatility may adversely affect the Product’s ability to rebalance its portfolio. | |
| The rebalancing activities of the Product typically take place near the end of trading of the underlying futures market to minimise tracking difference. As a result, the Product may be more exposed to the market conditions during a shorter interval and may be more subject to liquidity risk. | |
| The Product is normally rebalanced at the end of trading of the underlying futures market on a Business Day. As such, return for investors that invest for period less than a full trading day will generally be greater than or less than the inverse investment exposure to the Index, depending upon the movement of the Index from the end of one trading day until the time of purchase. | |
| Daily rebalancing of Product’s holdings causes a higher level of portfolio transactions than compared to the conventional exchange traded funds. High levels of transactions increase brokerage and other transaction costs. | |
| Investment in futures contracts involves specific risks such as high volatility, leverage, rollover and margin risks. There may be imperfect correlation between the value of the underlying reference assets and the futures contracts, which may prevent the Product from achieving its investment objective. A “roll” occurs when an existing HSCEI Future is about to expire and is replaced with another HSCEI Future with a later expiration date. The value of the Product’s portfolio (and so the NAV per Unit) may be adversely affected by the cost of rolling positions forward as the HSCEI Futures approach expiry. An extremely high degree of leverage is typical of a futures trading account. As a result, a relatively small price movement in a HSCEI Future may result in a proportionally high impact and substantial losses to the Product, having a material adverse effect on the NAV. A futures transaction may result in significant losses in excess of the amount invested. | |
| The positions of futures contracts or stock options contracts held or controlled by the Manager, including positions held for the Manager’s own account or for the funds under its management (such as the Product) but controlled by the Manager, may not in aggregate exceed the relevant maximum under the Securities and Futures (Contracts Limits and Reportable Position) Rules (the “Rules”). Accordingly, if the position held or controlled by the Manager reaches the relevant position limit or if the Net Asset Value of the Product grows significantly, the restrictions under the Rules may prevent creations of Units due to the inability under the Rules of the Product to acquire further HSCEI Futures. This may cause a divergence between the trading price of a Unit on the SEHK and the Net Asset Value per Unit. The investment exposure could also deviate from the target exposure which adds tracking error to the Product. | |
| To the extent that the index constituents concentrates in Hong Kong listed securities (including H-shares and red chip shares) of a particular sector or market, the investments of the Product may be similarly concentrated. The value of the Product may be more volatile than that of a fund having a more diverse portfolio of investments. The value of the Product may be more susceptible to adverse conditions in such particular market/sector. | |
| Payment of distributions out of capital or effectively out of capital amounts to a return or withdrawal of part of an investor’s original investment or from any capital gains attributable to that original investment and may result in an immediate reduction in the NAV per Unit. | |
| The Product is not “actively managed” and the Manager will not adopt any temporary defensive position when the Index moves in an unfavourable direction. In such circumstances, Units of the Product will also decrease in value. | |
| The trading price of the Units on the SEHK is driven by market factors such as the demand and supply of the Units. Units may trade at a substantial premium or discount to the NAV. As investors will pay certain charges (e.g. trading fees and brokerage fees) to buy or sell Units on the SEHK, investors may pay more than the NAV per Unit when buying Units on the SEHK, and may receive less than the NAV per Unit when selling Units on the SEHK. | |
| The HKFE and the SEHK have different trading hours. As the HKFE may be open when Units in the Product are not priced, the value of the HSCEI Futures in the Product’s portfolio may change at times when investors will not be able to purchase or sell the Product’s Units. Difference in trading hours between the HKFE and the SEHK may increase the level of premium/discount of the Unit price to its Net Asset Value. Trading of the Index constituents closes earlier than trading of the HSCEI Futures so there may continue to be price movements for the HSCEI Futures when Index constituents are not trading. There may be imperfect correlation between the value of the Index constituents and the HSCEI Futures, which may prevent the Product from achieving its investment objective | |
| Although the Manager ensures that at least one market maker will maintain a market for the Units and gives not less than three months’ notice prior to termination of the market making arrangement, liquidity in the market for the Units may be adversely affected if there is only one market maker for the Units. There is also no guarantee that any market making activity will be effective. | |
| The Product may be subject to tracking error risk, which is the risk that its performance may not track that of the two times inverse (-2x) Daily performance of the Index exactly. This tracking error may result from the investment strategy used, high portfolio turnover, liquidity of the market and fees and expenses and the correlation between the performance of the Product and the two times inverse (-2x) Daily performance of the Index may be reduced. The Manager will monitor and seek to manage such risk in minimising tracking error. There can be no assurance of exact or identical replication of the two times inverse performance of the Index at any time. | |
| Prices of the Product may be more volatile than conventional ETFs because of the use of leverage and the daily rebalancing activities. | |
| The Product may be terminated early under certain circumstances, for example, where there is no market maker, the Index is no longer available for benchmarking or if the size of the Product falls below USD20 million. Investors may not be able to recover their investments and suffer a loss when the Product is terminated. |
Please note that the above listed investment risks are not exhaustive and investors should read the ETF Prospectus in detail before making any investment decision.
Investment Objective and Strategy
| The investment objective of the Product is to provide investment results that, before fees and expenses, closely correspond to the two times inverse (-2x) of the Daily performance of the Index. The Product does not seek to achieve its stated investment objective over a period of time greater than one day. | |
| To achieve the investment objective of the Product, the Manager will adopt a futures-based replication strategy through investing directly in the spot month HSCEI Futures subject to the rolling strategy discussed below, to obtain the required exposure to the Index. | |
| In entering into the spot month HSCEI Futures, the Manager anticipates that no more than 30% of the Net Asset Value of the Product (the “NAV”) from time to time will be used as margin to acquire the HSCEI Futures. Under normal circumstances not less than 70% of the NAV will be invested in cash (HKD or USD) and other HKD or USD denominated investment products, such as deposits with banks in Hong Kong and HKD or USD denominated short-term investment-grade bonds and SFC authorised money market funds. |
Intra-day Estimated NAV1 & Market Price2
Market Information 3, 4
| Date | Last | Change | Change (%) | |
|---|---|---|---|---|
| NAV per Unit in HKD | - | - | - | - |
| Closing Price for Trading unit in HKD | - | - | - | - |
Product Information
| Manager | CSOP Asset Management Limited |
| Base Currency | HKD |
| Domicile | Hong Kong |
| Asset Class | Futures |
| Total NAV (HKD) | - |
| Outstanding Units | - |
| Management Fee^ | 1.50% |
| Ongoing Charges over a year # (annual average daily ongoing charges*) | 1.75% (0.007%) |
| Dividend Policy | Annually in December subject to the Manager’s discretion |
^ Include trustee fee, custodian fee and administration fee. Please note that the management fee may be increased up to a permitted maximum amount by providing one month’s prior notice to Unitholders. Please refer to the section headed “Fees and Expenses” in the Prospectus for further details of the fees and charges payable and the permitted maximum of such fee allowed, as well as other ongoing expenses that may be borne by the Product.
# The ongoing charges figure is based on expenses for the year ended 31 December 2019. This figure may vary from year to year. It represents the ongoing expenses chargeable to the Product expressed as a percentage of the Product’s average NAV.
* The annual average daily ongoing charges figure (%) is equal to the ongoing charges figure divided by the number of dealing days for the year ended 31 December 2019. This figure may vary from year to year.
Appropriation
| Inverse | Daily opposite return (-2x) of the underlying index |
| Actively Managed | No |
| Swap Based | No |
| Futures Based | Yes |
| Securities Lending | No |
Underlying Index Information
| Underlying Index | Hang Seng China Enterprises Index |
| Index Provider | Hang Seng Indexes Company Limited |
| Currency | Hong Kong dollars (HKD) |
| Index Launch Date | 8 August 1994 |
| Benchmark Level Type | Price return |
| Bloomberg Ticker | HSCEI |
Trading Information
| Exchange | Hong Kong Stock Exchange – Main Board |
| Date of Listing / Dealing | 14 March 2017 |
| Primary Exchange Time Zone | GMT+8 |
| Exchange Ticker | 7588 |
| Bloomberg Ticker | 7588 HK |
| ISIN | HK0000330172 |
| Trading Board Lot | 100 Units |
| Trading Currency | HKD |
Participating Dealers5
| ABN AMRO Clearing Hong Kong Limited | Mirae Asset Securities (HK) Limited |
| Guotai Junan Securities (Hong Kong) Limited | China International Capital Corporation Hong Kong Securities Limited |
| J.P. Morgan Broking (Hong Kong) Limited | GF Securities (Hong Kong) Brokerage Limited |
| UBS Securities Hong Kong Limited | BOCI Securities Limited |
| Nomura International (Hong Kong) Limited | BNP Paribas Securities Services |
| Merrill Lynch Far East Limited | KGI Asia Limited |
| Citigroup Global Markets Asia Limited | Haitong International Securities Company Limited |
Market Makers6
- IOPV calculations and delayed market data as shown on CSOP website (the “data”) provided by ICE Data Indices , see ICE Terms of Use , and is updated during HK Exchange trading hours. Powered by Factset . IOPV is indicative and for reference purposes only. The Fund is not sponsored, endorsed, sold or marketed by ICE Data Indices, LLC, its affiliates (“ICE Data”) and ICE Data or its respective third party suppliers make no express or implied warranties, and hereby expressly disclaim all warranties of merchantability or fitness for a particular purpose with respect to the iNAV, IOPV, fund or any fund data included therein. In no event shall ICE Data have any liability for any special, punitive, direct, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages. You acknowledge that the data is provided for information only and should not be relied upon for any purpose. HKEX Information Services Limited, its holding companies and/or any subsidiaries of such holding companies endeavour to ensure the accuracy and reliability of the information provided but do not guarantee its accuracy or reliability and accept no liability (whether in tort or contract or otherwise) for any loss or damage arising from any inaccuracies or omissions.
- Market prices are provided on a 15-minute delayed basis by ICE.
- Change of the closing price in HKD indicates change of closing price since previous SEHK trading day. (Source: Bloomberg)
- The last closing NAV per Unit in HKD is indicative and for reference purpose only and is calculated using the last closing NAV per Unit in HKD multiplied by an assumed foreign exchange rate using the HKD exchange rate quoted by Thomson Reuters at 3:00 p.m. (Hong Kong time) as of the same Dealing Day.
- Additional Participating Dealer(s) will be appointed from time to time.
- Please refer to HKEX website for the most updated information. Additional Market Maker(s) will be appointed from time to time.
Performance
| 1 Month | 3 Month | 6 Month | Year to date | Since Inception# | |
|---|---|---|---|---|---|
| CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product (Price Return)* | |||||
| Hang Seng China Enterprises Index (Price Return) | |||||
| Inverse (-2x) of Hang Seng China Enterprises Index (Price Return) |
# Cumulative performance is calculated since the inception date on 14 March 2017.
All dollar amounts are in HKD and all dates are in GMT+8 Time, unless otherwise specified
Performance is calculated on NAV to NAV basis in HKD with dividend reinvested, taking into account ongoing charges and excluding your trading costs on SEHK.
Past performance information is not indicative of future performance. Investors may not get back the full amount invested.
These figures show by how much the fund increased or decreased in value during the period being shown.
* Note: The performance of the Product prior to 25 June 2019 was achieved under circumstances that no longer apply. The objective of the Product was changed from providing investment results that, before fees and expenses, closely correspond to the inverse (-1x) of the Daily performance of the Index to the two times inverse (-2x) of the Daily performance of the Index since 25 June 2019. The name of the Product was changed from CSOP Hang Seng China Enterprises Index Daily (-1x) Inverse Product (stock code: 7388) to CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product (stock code: 7588) since 25 June 2019.
Performance Simulator
| Investors should understand that the Inverse Product aims to provide returns closely correspond to the opposite/ inverse (-2x) of the Daily performance of the Index. It has to rebalance its position on a daily basis in order to achieve its investment objective. As a result of rebalancing, it may not track the opposite return of the Index when it is held for less than a full trading day or overnight. | |
| Below is a performance simulator to allow investors to simulate the performance of the Inverse Product during the selected period based on historical data. The investor is assumed to hold the Inverse Product for the entire simulation period. The performance of the Inverse Product is calculated based on it's NAV. The performance of the Inverse Product may not reflect the returns that the investor would be able to obtain as it does not capture the premium/ discount of the Inverse Product, or the trading costs. |
| Simulation Results | |
|---|---|
| CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product | - |
| Hang Seng China Enterprises Index | - |
| Inverse (-2x) of Hang Seng China Enterprises Index | - |
Performance Chart
* Note: The performance of the Product prior to 25 June 2019 was achieved under circumstances that no longer apply. The objective of the Product was changed from providing investment results that, before fees and expenses, closely correspond to the inverse (-1x) of the Daily performance of the Index to the two times inverse (-2x) of the Daily performance of the Index since 25 June 2019. The name of the Product was changed from CSOP Hang Seng China Enterprises Index Daily (-1x) Inverse Product (stock code: 7388) to CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product (stock code: 7588) since 25 June 2019.
Tracking Difference/ Error
Daily Tracking Difference (Daily TD)
| Daily TD is the difference between the daily return of an Inverse Product and the daily opposite return of the underlying index. |
Tracking Error (TE)
| Tracking error measures how consistently an Inverse Product delivers the opposite return of the underlying index. It is the volatility (measured by standard deviation) of that daily return difference. |
| Tracking Difference | Tracking Error |
|---|---|
|
As of 31 May, 2019 Product listing date: 14 March, 2017 Rolling 1-year actual average daily TD: -0.01% Actual average daily TD for calendar year 2018: -0.01% Actual average daily TD for calendar year 2019: -0.02% |
As of 31 May, 2019 Product listing Date: 14 March, 2017 Rolling 1-year Daily TE^: 0.28% ^TE is measured by the standard deviation of the daily TD. The standard deviation is calculated based on the daily TD over the rolling one year period. |
Note: The objective of the Product was changed from providing investment results that, before fees and expenses, closely correspond to the inverse (-1x) of the Daily performance of the Index to the two times inverse (-2x) of the Daily performance of the Index since 25 June 2019. The name of the Product was changed from CSOP Hang Seng China Enterprises Index Daily (-1x) Inverse Product (stock code: 7388) to CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product (stock code: 7588) since 25 June 2019.
Graph for Tracking Difference
Product's performance is calculated on an NAV to NAV basis without any reinvestment of distributions.
Daily return of the Inverse Product and the daily opposite return of the underlying Index
* Note: The objective of the Product was changed from providing investment results that, before fees and expenses, closely correspond to the inverse (-1x) of the Daily performance of the Index to the two times inverse (-2x) of the Daily performance of the Index since 25 June 2019. The name of the Product was changed from CSOP Hang Seng China Enterprises Index Daily (-1x) Inverse Product (stock code: 7388) to CSOP Hang Seng China Enterprises Index Daily (-2x) Inverse Product (stock code: 7588) since 25 June 2019.
Actual daily tracking difference
Holdings
| Total Net Asset Value (HKD) (Deemed Total Net Asset Value (HKD))1 |
Market Value of Futures Contracts (HKD) | Futures Contract Exposure (%)2 |
|---|---|---|
| 78,983,383.00 (78,982,276.00) |
-158,440,600.00 | -200.60 |
As of 23 Oct, 2020
1 Deemed Total Net Asset Value incorporates creation/redemption order amount and the rebalancing activity of above date.
2 Future Contract Exposure = Market Value of Future Contract / Deemed Total Net Asset Value
Futures Contracts Holdings
| Futures Contracts Name | Bloomberg Ticker | Quantity |
|---|---|---|
| HSCEI FUTURES NOV20 | HCX0 INDEX | -313 |
As of 23 Oct, 2020
Product Holdings
| Holdings | Weighting (%) |
|---|---|
| CASH AND CASH EQUIVALENTS(HKD) | 28.58 |
| CSOP HKD MONEY MART ETF HKD | 18.31 |
| HONG KONG T-BILLS HKTB 0 11/11/20 | 8.86 |
| HONG KONG T-BILLS HKTB 0 11/25/20 | 8.86 |
| HONG KONG T-BILLS HKTB 0 12/02/20 | 7.60 |
| HONG KONG T-BILLS HKTB 0 12/09/20 | 5.06 |
| HONG KONG T-BILLS HKTB 0 01/06/21 | 5.06 |
| HONG KONG T-BILLS HKTB 0 12/23/20 | 2.53 |
| HONG KONG T-BILLS HKTB 0 11/18/20 | 1.27 |
| HONG KONG T-BILLS HKTB 0 12/30/20 | 1.27 |
| HSCEI FUTURES NOV20 | -0.53 |
As of 23 Oct, 2020
All dollar amounts are in HKD. All dates are in GMT+8 Time.
Important information about Dividend out of capital / effectively out of capital
| The Manager may, at its discretion, pay dividend out of capital. The Manager may also, at its discretion, pay dividend out of gross income while all or part of the fees and expenses of the Product are charged to/paid out of the capital of the Product, resulting in an increase in distributable income for the payment of dividends by the Product and therefore, the Product may effectively pay dividend out of capital. | |
| Payments of dividends out of capital or effectively out of capital amounts to a return or withdrawal of part of an investor’s original investment or from capital gains attributed to that original investment. Any distributions involving payment of dividends out of the Product’s capital or effectively out of capital may result in an immediate reduction in the Net Asset Value (“NAV”) per Unit. |
Distribution History
| Ex-Date | Record Date | Payable Date | Dividend Per Share | Dividend Paid Out of Net Distributable Income* for the month | Dividend Paid Out of Capital |
|---|
*“Net distributable income” means the net investment income (i.e. dividend income and interest income net of fees and expenses) attributable to the relevant share class and may also include net realised gains (if any) based on unaudited management accounts. However, “net distributable income” does not include net unrealised gains.
The data in “dividend paid out of net distributable income” and “dividend paid of out of capital” are just for reference only. Please kindly refer to the official dividends information in the dividend per share column.
Warning: Please note that a positive distribution yield does not imply a positive return. Investors should not make any investment decision solely based on information contained in the table above. There is no guarantee of distribution. Investors should read the relevant offering document (including the key facts statement) of the fund for further details including the risk factors.
All dollar amounts are in HKD. All dates are in GMT+8 Time.
Index Provider Disclaimer
The mark and name "Hang Seng China Enterprises Index" is proprietary to Hang Seng Data Services Limited ("HSDS") which has licensed its compilation and publication to Hang Seng Indexes Company Limited ("HSIL"). HSIL and HSDS have agreed to the use of, and reference to, the Hang Seng China Enterprises Index by CSOP Asset Management Limited ("the Issuer") in connection with its Leveraged and Inverse Products (the “Products”). However, neither HSIL nor HSDS warrants, represents or guarantees to any person the accuracy or completeness of the Hang Seng China Enterprises Index, its computation or any information related thereto and no warranty, representation or guarantee of any kind whatsoever relating to the Hang Seng China Enterprises Index is given or may be implied. Neither HSIL nor HSDS accepts any responsibility or liability for any economic or other loss which may be directly or indirectly sustained by any person as a result of or in connection with the use of and/or reference to the Hang Seng China Enterprises Index by the Issuer in connection with the Products, or any inaccuracies, omissions or errors of HSIL in computing the Hang Seng China Enterprises Index. Any person dealing with the Product shall place no reliance whatsoever on HSIL and/or HSDS nor bring any claims or legal proceedings against HSIL and/or HSDS in any manner whatsoever. For the avoidance of doubt, this disclaimer does not create any contractual or quasi-contractual relationship between any broker or other person dealing with the Products and HSIL and/or HSDS and must not be construed to have created such relationship.
Disclaimer
This website is owned and managed by CSOP Asset Management Limited (“CSOP”). CSOP reserves the right to change, modify, add or delete, any content and the terms & conditions of use of this website without notice. Users are advised to periodically review the contents of this website to be familiar with any modifications.
The performance figures contained on this website are for informational purposes only. Past performance is not indicative of future performance. Investment involves risks and the Product's NAV per unit may rise as well as fall. Persons interested in investing in the Product should read the relevant fund offering documents (including the full text of the risk factors stated therein) in detail before making any investment decision.
This website is prepared by CSOP and has not been reviewed by the Securities and Futures Commission.