1. Participate in the market value allotment of the primary stock market and the additional allotment of the constituent stocks of MSCI China A-share index.
3. Stock investment other than constituent stocks is limited to unsold subscription of new shares, stocks that are expected to be adjusted into index constituent stocks and other stocks that replace constituent stocks in enhanced investment.
5. Other financial instruments approved by the China Securities Regulatory Commission that allow the fund to invest.
Fund investment decision
Investment strategy
1. Portfolio principles and selection criteria
(1) Basic principles of portfolio
(2) the construction of investment portfolio
1) stock index combination construction:
2) Strengthen the selection criteria for investment:
2 stocks that cannot be opened according to the index standard weight due to poor liquidity;
3 stocks that are suspected of major violations and are investigated by the regulatory authorities;
⑤ Other special stocks, such as those that are not expected to be included in the index.
For the following stocks, the Fund will consider including them in the investment portfolio or increasing the investment weight:
(2) Stocks selected as substitutes due to difficulties in opening positions of other constituent stocks;
(4) Other special stocks, such as those expected to be included in the index.
(3) Indexing strengthens the restriction and control of investment management.
The Fund focuses on indexed investment, supplemented by strengthened investment. In order to control the deviation of the portfolio from the standard index structure caused by enhanced investment, the Fund chose to track the deviation degree as the standard and restrain the active investment behavior to control the deviation risk of the fund's relative index.
Where: = I-day fund portfolio return-I-day benchmark return.
N is the calculation interval, and the fund selection is 30 trading days.
In addition, the fund's other restrictions on strengthening investment include:
Basic procedures of investment management
(1) investment decision-making procedure
1) The Investment Decision Committee holds regular meetings to review and make resolutions on the deviation between the phased portfolio asset allocation ratio and the industry weight relative index;
2) The financial engineering team uses the comprehensive market forecasting model and risk control model to calculate the expected returns of industries, stocks and markets, the research department makes a research report on the trends of industries, stocks and markets from the fundamental analysis, and the open-end fund registration department provides the dynamic situation of subscription and redemption for the fund manager's reference;
3) According to the judgment of the above factors, the fund manager team initially determines the investment portfolio, including the proportion of investment varieties such as stocks and cash, the deviation of the relative index of industries, individual stocks and the overall portfolio, and the participation in primary market operations such as new share placement;
4) The fund manager team makes appropriate adjustments to the portfolio according to the feedback report of the transaction. For the stocks that need to be adjusted, the research department provides alternative stocks in advance;
5) The risk analysis team evaluates the deviation risk of the fund portfolio, puts forward the deviation attribution analysis report and gives an early warning when the portfolio tracking deviation exceeds 0.5%;
6) The supervision and audit department shall inspect the investment procedures and issue inspection reports.
(2) Investment operation procedures
1) According to the standard composition of the index, the fund manager determines the proportional relationship of each stock in the portfolio within the set adjustment range and inputs it into the trading system;
2) When it is necessary to buy stocks, the trader starts the portfolio trading system, and the system uniformly places orders to buy according to the preset stock weights; When the stock needs to be sold, the system will uniformly place an order for sale;
3) For stocks that need to be adjusted or have difficulties in portfolio trading, the fund manager can give instructions independently, and traders can operate a single variety during trading hours;
4) The Investment Department regularly calculates the tracking deviation of the indexed portfolio, and adjusts the portfolio if the tracking deviation exceeds the allowable range;
When the constituent stocks of MSCI China A-share index subscribe for new shares and issue additional shares, the research department will provide research reports of new share issuers and additional companies; The investment department will purchase and issue new shares according to the research report;
6) The opening period of the Fund is 3 months.
Investment restriction
The fund manager shall operate and manage the fund in accordance with the relevant laws and regulations and the provisions of the fund contract.
The investment portfolio of the Fund shall meet the following requirements:
(1) The Fund holds shares of 1 listed companies, and the market value does not exceed 10% of the fund's net asset value, except in the case of fully proportional investment in the underlying index;
(2) The sum of the securities issued by 65,438+0 companies held by the Fund and other funds managed by the fund manager shall not exceed 65,438+00% of the securities, except for investment in full proportion of the underlying index;
(3) Laws and regulations and other proportional restrictions of China Securities Regulatory Commission.
It is forbidden to use fund property to engage in the following acts:
(1) Invest in other securities investment funds;
(2) buying and selling securities in the name of the fund with funds not in the name of the fund;
(3) Real estate investment of fund assets;
(four) to engage in investments that may make the fund assets bear unlimited liability;
(5) Investing the fund assets in securities issued by companies that have an interest in the fund custodian or fund manager;
(6) Other acts prohibited by laws and regulations in force at that time, China Securities Regulatory Commission and Fund Contract.