CSOP Gold Futures Daily (2x) Leveraged Product | Product Name | CSOP Gold Futures Daily (-1x) Inverse Product |
CSOP Asset Management Limited | Fund Manager | CSOP Asset Management Limited |
7299 | Stock Code | 7374 |
5 June 2020 | Listing Date | 20 October 2021 |
Hong Kong Stock Exchange - Main Board | Exchange | Hong Kong Stock Exchange - Main Board |
USD | Base Currency | USD |
HKD | Trading Currency | HKD |
100 Units | Trading Lot Size | 100 Units |
~ HKD 750 | Minimum Investment^ | ~ HKD 780 |
1.50% | Management Fee | 1.60% |
LEARN MORE | Product Details | LEARN MORE |
Product Name | CSOP Gold Futures Daily (2x) Leveraged Product |
Fund Manager | CSOP Asset Management Limited |
Stock Code | 7299 |
Listing Date | 5 June 2020 |
Exchange | Hong Kong Stock Exchange – Main Board |
Base Currency | USD |
Trading Currency | HKD |
Trading Lot Size | 100 Units |
Minimum Investment^ | ~ HKD 750 |
Management Fee | 1.50% |
Product Details | LEARN MORE |
|
Product Name | CSOP Gold Futures Daily (-1x) Inverse Product |
Fund Manager | CSOP Asset Management Limited |
Stock Code | 7374 |
Listing Date | 20 October 2021 |
Exchange | Hong Kong Stock Exchange - Main Board |
Base Currency | USD |
Trading Currency | HKD |
Trading Lot Size | 100 Units |
Minimum Investment^ | ~ HKD 780 |
Management Fee | 1.60% |
Product Details | LEARN MORE |
|
Data as of 19th October 2021.
1 The investment strategy of the Product is subject to the investment and borrowing restrictions set out in Part 1 of the Product’s Prospectus.
* Under exceptional circumstances (e.g. increased margin requirement by the exchange in extreme market turbulence), the margin requirement may increase substantially and as a result the percentages may vary proportionately. Please refer to the Product’s Prospectus for details.
Source: Bloomberg, CSOP research
1 The investment strategy of the Product is subject to the investment and borrowing restrictions set out in Part 1 of the Product’s Prospectus.
* Pleas note that under exceptional circumstances (e.g. increased margin requirement by the exchange or increased Initial Amount requirement by the Swap Counterparty in extreme market turbulence), the margin requirement or the Initial Amount requirement may increase substantially. Please refer to the Product’s Prospectus for details
Physical gold – backed ETF | CSOP Gold Futures Daily (2x) Leveraged Product | CSOP Gold Futures Daily (-1x) Inverse Product | |
---|---|---|---|
Underlying assets | Physical gold | COMEX Gold Futures + one or more partially-funded Swaps + cash (USD) + other USD denominated investment products, such as deposits with banks in Hong Kong and USD denominated short-term investment-grade bonds (i.e. maturity less than 3 years) and SFC authorised money market funds in accordance with the requirements of the Code on Unit Trusts and Mutual Funds 2 | COMEX Gold Futures + one or more partially-funded Swaps + cash (USD) + other USD denominated investment products, such as deposits with banks in Hong Kong and USD denominated short-term investment-grade bonds (i.e. maturity less than 3 years) and money market funds in accordance with the requirements of the Code. 2 |
Performance | Gold spot price | 2x performance of the Index | -1x performance of the Index |
The below chart shows the historical difference between gold spot price and COMEX Gold Futures price 3
2 Yield in USD from such cash and investment products will be used to meet the Product’s fees and expenses and after deduction of such fees and expenses the remainder will be distributed by the Manager to the Unitholders in USD
3 Bloomberg
The investment objective of the CSOP Gold Futures Daily (2x) Leveraged Product CSOP Gold Futures Daily (-1x) Inverse Product (the “Product”) is to provide investment results that, before fees and expenses, closely correspond to twice (2x) and inverse (-1x) the Daily performance of the Solactive Gold 1-Day Rolling Futures Index (the “Index”). The Index consists of only gold futures whose price movements may deviate significantly from the gold spot price. The Product does not seek to deliver a leveraged or inversed return of gold spot price.
Index daily return | Index level | Index accumulative return | Leveraged (2X) product Daily return | Leveraged (2X) product NAV | Leveraged (2X) product accumulative return | 2x of Index accumulative return | Difference | |
---|---|---|---|---|---|---|---|---|
Day 0 | 100.00 | 100.00 | ||||||
Day 1 | 10% | 110.00 | 10% | 20% | 120.00 | 20% | 20% | 0% |
Day 2 | 10% | 121.00 | 21% | 20% | 144.00 | 44% | 42% | 2% |
Day 3 | 10% | 133.10 | 33% | 20% | 172.80 | 73% | 66% | 7% |
Day 4 | 10% | 146.41 | 46% | 20% | 207.36 | 107% | 93% | 15% |
Index daily return | Index level | Index accumulative return | Leveraged (2x) product Daily return | Leveraged (2x) product NAV | Leveraged (2x) product accumulative return | 2x of Index accumulative return | Difference | |
---|---|---|---|---|---|---|---|---|
Day 0 | 100.00 | 100.00 | ||||||
Day 1 | -10% | 90.00 | -10% | -20% | 80.00 | -20% | -20% | 0% |
Day 2 | -10% | 81.00 | -19% | -20% | 64.00 | -36% | -38% | 2% |
Day 3 | -10% | 72.90 | -27% | -20% | 51.20 | -49% | -54% | 5% |
Day 4 | -10% | 65.61 | -34% | -20% | 40.96 | -59% | -69% | 10% |
Index daily return | Index level | Index accumulative return | Leveraged (2x) product Daily return | Leveraged (2x) product NAV | Leveraged (2x) product accumulative return | 2x of Index accumulative return | Difference | |
---|---|---|---|---|---|---|---|---|
Day 0 | 100.00 | 100.00 | ||||||
Day 1 | 10% | 110.00 | 10% | 20% | 120.00 | 20% | 20% | 0% |
Day 2 | -10% | 99.00 | -1% | -20% | 96.00 | -4% | -2% | -2% |
Day 3 | 10% | 108.90 | 9% | 20% | 115.20 | 15% | 18% | -3% |
Day 4 | -15% | 92.57 | -7% | -30% | 80.64 | -19% | -15% | -4% |
Index daily return | Index level | Index accumulative return | Inverse (-1X) product Daily return | Inverse product NAV | Inverse product accumulative return | -1x of Index accumulative return | Difference | |
---|---|---|---|---|---|---|---|---|
Day 0 | 100.00 | 100.00 | ||||||
Day 1 | 10% | 110.00 | 10% | -10% | 90.00 | -10% | -10% | 0% |
Day 2 | 10% | 121.00 | 21% | -10% | 81.00 | -19% | -21% | 2% |
Day 3 | 10% | 133.10 | 33% | -10% | 72.90 | -27% | -33% | 6% |
Day 4 | 10% | 146.41 | 46% | -10% | 65.61 | -34% | -46% | 12% |
Index daily return | Index level | Index accumulative return | Inverse product Daily return | Inverse product NAV | Inverse product accumulative return | -1x of Index accumulative return | Difference | |
---|---|---|---|---|---|---|---|---|
Day 0 | 100.00 | 100.00 | ||||||
Day 1 | -10% | 90.00 | -10% | 10% | 110.00 | 10% | 10% | 0% |
Day 2 | -10% | 81.00 | -19% | 10% | 121.00 | 21% | 19% | 2% |
Day 3 | -10% | 72.90 | -27% | 10% | 133.10 | 33% | 27% | 6% |
Day 4 | -10% | 65.61 | -34% | 10% | 146.41 | 46% | 34% | 12% |
Index daily return | Index level | Index accumulative return | Inverse product Daily return | Inverse product NAV | Inverse product accumulative return | -1x of Index accumulative return | Difference | |
---|---|---|---|---|---|---|---|---|
Day 0 | 100.00 | 100.00 | ||||||
Day 1 | 10% | 110.00 | 10% | -10% | 90.00 | -10% | -10% | 0% |
Day 2 | -10% | 99.00 | -1% | 10% | 99.00 | -1% | 1% | -2% |
Day 3 | 10% | 108.90 | 9% | -10% | 89.10 | -11% | -9% | -2% |
Day 4 | -15% | 92.57 | -7% | 15% | 102.47 | 2% | 7% | -5% |
As illustrated in the graphs and the tables, the accumulative performance of the Product is not equal to twice or inverse the accumulative performance of the Index over a period longer than 1 Business Day.
4 CSOP research
The information below is part of the Product’s Prospectus
Futures RollIndex Components are selected according to the Roll Period and in accordance with the Roll Schedule as explained below.
Roll Period
During the roll period, the Active Contract is rolled over a one-day period into the Next Active Contract. The Roll Period starts on the 6th trading day preceding the First Notice Day (as explained below) of the Active Contract. The contract roll weight of the Active Contract is then decreased by 100% after the close of business of each trading day of the roll period starting at 100% while the contract roll weight of the Next Active Contract is increased by 100% after the close of business of each trading day of the roll period starting at 0%. After the end of the roll period the Next Active Contract becomes the Active Contract.
“Notice Day” shall be the day on which a non-transferrable assignment notification is issued by the CME Clearing House to the long clearing member and the short clearing member upon completion of assignment. The first day during which an assignment notification can be issued shall be the last business day of the month prior to the delivery month and shall be referred to as “First Notice Day”. The assignment notification shall specify the parties matched for delivery and the number of contracts to be delivered.
Roll Schedule
The Active Contract (which is also called front month in practice) and the next active contract of the COMEX Gold Futures (“Next Active Contract”) are selected based on the current month as follows:
Active contract of COMEX Gold Futures (“Active Contract”):
Calendar Month | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 |
GC contract month | G | J | J | M | M | Q | Q | Z | Z | Z | Z | G+ |
“+” defines a contract of the following year. |
The following naming convention of the contracts holds:
Identifier | Month | Identifier | Month |
F | January | N | July |
G | Feburary | Q | August |
H | March | U | September |
J | April | V | October |
K | May | X | November |
M | June | Z | December |
The roll schedule for the Active Contract and the Next Active Contracts will therefore be as follows:
Roll Month | Active Contract | Next Active Contract |
January | G: February | J:April |
March | J: April | M: June |
May | M: June | Q: August |
July | Q: August | Z: December |
November | Z: December | G+: February+ |
Below is an illustrative example of the expiration schedule of the Active Contract:
Ticker | Month | First Notice Day | Roll Day* | |
Active Contracts | GCG0 | February 2020 | 01/31/2020 | 01/23/2020 |
Next Active Contracts | GCJ0 | April 2020 | 03/31/2020 | 03/23/2020 |
* 6th Trading Day preceding the First Notice Day of the Active Contract
Below is an illustrative example of the Index’s performance during a period of two roll days in January:
Trading day | Active Contract (GCG0) | Next Active Contract (GCJ0) | Index | |||||
Price | Return | Weight | Price | Return | Weight | Price | Return | |
1/23/2020 | 1,565.4 | 0.56% | 100% | 1,571.6 | 0.56% | 0% | 121.52 | 0.56% |
1/24/2020 | 1,571.9 | 0.42% | 0% | 1,578.2 | 0.42% | 100% | 122.03 | 0.42% |
As illustrated above, rolling from GCG0 to GCJ0 is done on the roll day (i.e. 23 January 2020), being the 6th Trading Day preceding the First Notice Day (i.e. the last business day of the month prior to the delivery month, and in this case, 31 January 2020) of the Active Contracts (i.e. February contracts).
On the roll day (i.e. 23 January 2020), the Manager will, through an executing broker, place sell order of the Active Contracts and buy order of the Next Active Contracts on COMEX.
The same operation will be done on the next roll day (i.e. 23 Mach 2020), being the 6th Trading Day preceding the First Notice Day (i.e. 31 March 2020) of the relevant Active Contracts (i.e. April contracts).
This is the website of CSOP Asset Management Limited ("CSOP"). We understand that our customers and website visitors are concerned about the privacy of information. We have established policies and procedures concerning the collection, use and security of your information that will help protect your privacy. This policy statement provides information on the obligations and policies of CSOP under the Personal Data (Privacy) Ordinance (the "Ordinance").
OUR CORPORATE POLICY
CSOP recognize the importance of personal data to our business and the importance of respecting the privacy rights of our clients. Therefore, we are committed to ensuring compliance with the requirements of the Ordinance. Each employee of CSOP must abide by our commitment to privacy in the handling of personal information. To further enhance confidentiality and security of all personal data, only authorized staff will be allowed to have access to the personal information collected. It is restricted to those persons who have a business need to access personal information in order to perform their job duties.
The purpose of this Statement is to establish the policies and practices of CSOP's commitment to protect the privacy of personal data and to inform you about our responsibilities and your rights under the Ordinance.
Types of Personal Data Held
There are two broad categories of personal data held by us. They are personal data relating to clients and employees of CSOP.
Personal data held by us regarding clients may include the following:-
Personal data relating to employment held by us may include the following:-
Main Purposes of keeping Personal Data
The purposes for which personal data relating to clients may be used are as follows:-
The purposes for which personal data relating to employees may be used are as follows:-
Transfer of Personal Data
Personal data held by CSOP relating to clients will be kept confidential but may be transferred to the following parties (whether within or outside the Hong Kong Special Administrative Region) for any of the purposes stated above:-
Accuracy of Personal Data
CSOP strive at all times to ensure accuracy of all personal data collected and processed by us. In order to assist us to deliver on this pledge, please inform us immediately in the event that your personal information has been changed or you discovered that your personal information held by us is incorrect.
Your Rights
It is not a statutory requirement for you to provide personal data to us. However, we will not be able to provide you with the services and products you may require unless you provide us with the necessary personal data or information.
You have a right (i) to be informed whether we hold any of your personal data; (ii) to be supplied with a copy of your personal data we hold; and (iii) to request correction of your personal data we hold. If you wish to access to and/or to correct any of your personal data held by us, please send your written request to the address set out below. We may, subject to the Ordinance, impose a reasonable fee for complying with a data access request.
If you do not wish your personal data to be used for direct marketing purposes, you may notify us in writing to the following address:-
Head of Legal & Compliance
CSOP Asset Management Limited,
2801-2802 Two Exchange Square
8 Connaught Place, Central
Hong Kong
Upon receipt of such notice, we shall, without charge to you, cease using your personal data for direct marketing purposes.
CSOP Asset Management Limited ("CSOP") is a regulated institution in Hong Kong by the Securities and Futures Commission (“SFC”). This website contains information about CSOP and the services and products offered by CSOP. The information provided on the CSOP website is not intended for distribution to, or use by, any person or entity in any jurisdiction or country that would subject CSOP or its affiliates to any registration requirement within such jurisdiction or country. Non-Hong Kong investors are responsible for observing all applicable laws and regulations of their relevant jurisdictions before proceeding to access the information contained herein. By proceeding, you are representing that you have understood and accepted the restrictions set out in this section.
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