Among them, if the operated "old fund" intends to invest in stock index futures, it needs to make an investment plan for stock index futures, hold a holders' meeting to vote, and modify the fund contract accordingly. The investment plan shall specify the investment strategy, proportion limit, valuation method, information disclosure method, risk control method, personnel and technical system preparation of the fund stock index futures; Before the newly issued "new fund" is approved, the relevant contents such as stock index futures investment plan shall be listed in the fund contract, prospectus, product plan and other application materials.
In the specific trading process, the fund company should also abide by the following provisions: at the end of any trading day, the value of stock index futures contracts held by the fund shall not exceed10% of the fund's net value; At the end of any trading day, the sum of the value of buying futures contracts held by open-end funds (excluding ETFs) and the value of securities held (excluding government bonds with a maturity of less than one year) shall not exceed 95% of the fund's net asset value; At the end of any trading day, the sum of the value of futures contracts held by closed-end funds and ETFs and the market value of securities (excluding government bonds with maturity within one year) shall not exceed 65,438+000% of the fund's net asset value.
The combined calculation of the market value of the stocks held by the Fund and the contract value of buying and selling stock index futures shall conform to the relevant provisions of the fund contract on the proportion of stock investment. Open-end funds (excluding ETFs) should keep cash of not less than 5% of the fund's net asset value or government bonds with a maturity of less than one year after deducting the trading margin required for stock index futures contracts at the end of each trading day; Closed-end funds and ETFs, after deducting the trading margin required for stock index futures contracts at the end of each trading day, should keep cash of not less than twice the margin; Capital preservation fund's investment in stock index futures is not restricted by some clauses, but it should conform to the capital preservation strategy and investment objectives agreed in the fund contract, and the maximum possible loss of futures contracts held every day shall not exceed the balance of the fund's net assets after deducting some assets used for capital preservation.
Generally speaking, participating in stock index futures is a risky investment. After the "old fund" participates in the stock index futures investment, it will change the risk/return characteristics of the original fund and have a great impact on the reconstruction of the product line system of the whole fund market, which needs to be treated with caution.