Is it a setback that FOF quantitative hedging strategy is forbidden to invest in stock index futures?

The new regulations refine the complex derivatives that FOF prohibits from investing, and the long-planned quantitative hedging strategy FOF of fund companies is "stillborn"

2065438+April 28, 2007

Recently, China Securities Regulatory Commission issued "Guidelines for the Audit of Funds in Funds (FOF)" to fund companies, clarifying that FOF cannot invest in stock index futures, treasury bonds futures and stock futures, and the quantitative hedging strategy FOF proposed by many fund companies failed.

On September 23rd, last year, the "Guidelines for the Operation of Public Offering of Securities Investment Funds No.2-Guidelines for Funds in Funds" was officially issued, which stipulated in the investment scope that FOF shall not hold fund shares with complex and derivative nature, including graded funds and other fund shares recognized by CSRC.

The "Guidelines" clearly refined the relevant varieties. FOF can invest in QDII shares, but not in graded fund shares, mutual recognition fund shares of Hong Kong stocks, stock index futures, treasury bonds futures and stock futures.