16 1024 adopts an indexed investment strategy to closely track the CSI military industry index. Under normal market conditions, we will strive to control the absolute value of the daily average tracking deviation between the fund's net growth rate and the performance benchmark within 0.35%, and the annual tracking error within 4%.
Investment scope
16 1024 invests in financial instruments with good liquidity, including components of the CSI Military Industry Index, alternative components, fixed-income assets (government bonds, financial bonds, corporate bonds, subordinated bonds, convertible bonds, separate convertible bonds, central bank bills, medium-term notes, short-term financing bills (including ultra-short-term financing bills) and asset-backed securities. If the future laws, regulations or regulatory agencies allow the Fund to invest in other varieties, the fund manager can include them in the investment scope after performing appropriate procedures. If the requirements of laws and regulations on this ratio are changed, the changed ratio shall prevail, and the investment scope of the Fund will be adjusted accordingly.
investment strategy
16 1024 mainly adopts the investment of completely copied banks, relies on the quantitative investment platform of rich countries, and uses the long-term and stable risk model and transaction cost model to construct the stock portfolio according to the composition and benchmark weight of the constituent stocks in the CSI military industry index, so as to fit and track the income performance of the CSI military industry index, and make corresponding adjustments according to the changes of the constituent stocks and their weights of the underlying index. 16 1024 strive to control the absolute value of the daily average tracking deviation between the fund net growth rate and the performance benchmark within 0.35%, and the annual tracking error within 4%. When it is expected that the constituent stocks will be adjusted, the constituent stocks will be allotted shares, issued shares and paid dividends. And the subscription and redemption of the Fund may have an impact on the tracking effect of the Fund on the CSI Military Industry Index, resulting in the inability to effectively copy and track the underlying index. The fund manager can take reasonable measures according to market conditions, make appropriate treatment and adjustment within a reasonable period of time, and strive to control the tracking error within a limited range.
1. Asset allocation strategy The fund manager mainly constructs the stock portfolio according to the composition and weight of the constituent stocks of the CSI Military Industry Index, and makes corresponding adjustments according to the changes of the constituent stocks and their weights. The investment ratio of stock assets in 16 1024 is not less than 90% of the fund assets, and the assets invested in CSI constituent stocks and alternative constituent stocks are not less than 80% of the non-cash fund assets. At the end of each trading day, after deducting the trading margin required for stock index futures contracts, in accordance with laws, regulations or regulations of regulatory agencies, maintain the investment ratio of financial instruments such as cash or government bonds and warrants with maturity within one year, which is not less than 5% of the fund's net asset value.
2. Construction of Stock Portfolio (1) Portfolio Construction Method The Fund will use the complete copy method to construct the stock portfolio to fit and track the income performance of the CSI Military Industry Index.
(2) Portfolio adjustment In principle, the stock portfolio constructed by the Fund will be adjusted according to the composition and weight changes of the constituent stocks of the CSI Military Industry Index. At the same time, the Fund will adjust its stock portfolio in real time according to changes in laws and regulations, restrictions on investment proportion in fund contracts, changes in purchase and redemption, and factors of stock issuance, so as to ensure that the growth rate of the fund's net value is highly positively correlated with the yield of the CSI Military Industry Index and minimize the tracking error. The fund manager shall, within 6 months from the effective date of the fund contract, make the proportion of the fund's stock portfolio conform to the agreement of the fund contract.
① Regular adjustment Adjust the stock portfolio in time according to the adjustment rules of the CSI Military Industry Index and the expectation of alternative stocks. ② Irregular adjustment
A. When listed companies have behaviors that affect the weight of constituent stocks in the index, such as issuance and allotment, the Fund will adjust the stock portfolio in time according to the changes in the weight of each constituent stock;
B. Adjust the stock portfolio according to the fund purchase and redemption, and effectively track the CSI Military Industry Index;
C. According to laws and regulations, if the weight of the constituent stocks in the CSI Military Industry Index changes for other reasons, the Fund will make corresponding adjustments to keep the weight of the constituent stocks in the fund assets consistent with the index.
3. Bond investment strategy The fund manager will make reasonable interest rate expectations, judge the basic trend of the bond market and formulate asset allocation strategies under long-term control on the basis of in-depth analysis of the impact of macroeconomic situation at home and abroad, domestic fiscal policies and money market policies on the bond market. In the process of bond portfolio construction and management, the fund manager will adopt specific management methods such as term structure allocation, market conversion, credit spread and relative value judgment, credit risk assessment, cash management and so on to select a single bond. 16 1024 The purpose of bond investment is to reduce the tracking error on the basis of ensuring the liquidity of fund assets.
4. Financial Derivatives Investment Strategy Under the circumstances permitted by laws and regulations, the Fund can manage the fund's portfolio by using related financial derivatives such as warrants and stock index futures based on the principle of prudence, so as to control and reduce portfolio risks, improve investment efficiency and reduce tracking errors, thus better achieving the investment objectives of the Fund. 16 1024 investing in stock index futures will mainly choose stock index futures contracts with good liquidity and active trading according to the principle of risk management. 16 1024 strives to use the leverage of stock index futures to reduce the transaction cost of frequent adjustment of stock positions. The fund manager will establish a decision-making department or group for stock index futures trading, authorize a specific manager to be responsible for the investment approval of stock index futures, and at the same time formulate the investment decision-making process and risk control system for stock index futures trading and report it to the board of directors for approval.
Dividend distribution policy
During the term of existence, the Fund (including the share of rich countries' military industry, the share of rich countries' military industry A and the share of rich countries' military industry B) will not distribute the income.
Performance comparison benchmark
95%× CSI military price index yield +5%× bank RMB deposit interest rate (after tax).
Risk return characteristics
The Fund is a stock fund with the characteristics of high expected risk and high expected return. Judging from the two types of fund shares divided by the fund, the A share of rich countries' military industry has the characteristics of low expected risk and relatively stable expected income; Rich countries' military B shares have the characteristics of high expected risk and relatively high expected return.