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【600288大恒科技】T+0后净值现离奇走势(2015-02-06)


600288大恒科技——叶檀

  研究者们在31318年进行的数据分析,从目前来看,从目前来看,从目前来看,从从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从目前来看,从从目前来看,从目前的QDIQDIQDIQDIQDIQDIII的研究,从目前来看,从目前来看,从从目前来看,从分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分分但最近一些投资者发现,他们所投资的QDII基金净值的走势却大相径庭从指数或商品的走势来看,有时会出现相反的走势,从而导致套利的失败。这种现象在跨境lof中更为明显。
  跨境lof净值怪潮背后是否有“黑手”?由于大多数投资者对QDII并不熟悉,他们草率地走进了难看的被子。一时间,市场上疑点重重。有投资者愤怒地将QDII基金净值走势称为“奇葩”,痛斥基金公司“造假”,并怀疑其涉嫌故意操纵净值和基金价格。

600288大恒科技

  但是否真的如投资者所言,QDII背后有玄机?记者通过多方核实发现了线索。事实上,QDII产品异乎寻常的走势,主要是由股价突变、个股权重差异、人民币汇率变化等一系列因素造成的,当不明真相的投资者涌向市场时,他们会“套利不倒”。
  跨境lof出现“神秘”现象

600288大恒科技——商导

  “最近,很多基金公司完全是胡闹。昨日,一只跨境lof对应指数下跌0.4%,前十名个股跌幅均未超过1%。因此,基金净值下跌了2.52%。”基金投资者在论坛上抱怨投资。如今,LOF的跨境投资是一个极好的趋势。事实上,类似的“受害者”并不在少数。近期,QDII基金投资者关注跨境lof净值问题。有季敏怀疑基金公司在篡改净值,甚至准备“正式举报跨境lof基金净值造假”。

  以上述投资者提到的跨境lof为例,基金投资策略指出,原则上采取完全复制策略,即根据标的指数成份股的构成和权重构建基金股票组合,并进行相应调整根据标的指数成份股和权重的变化。“基金对标的指数的跟踪目标是:力争使基金日均跟踪偏差不超过0.5%,年度跟踪误差不超过4%。”
  近期基金跟踪的基准指数呈上升趋势,但基金净值曲线呈下降趋势。1月29日差异较大,1月30日以后逐渐收敛。According to statistics, on January 29, the index tracked by the fund fell 1.01%, but the net value of the fund fell 2.52%.Its fund price is from January 23, a cliff like decline, all the way down to February 2, and then rebounded slightly.Compared with the net value and price of the fund, there were some arbitrage opportunities in the middle, that is, to buy at the immediate transaction price in the secondary market, and then redeem at the relatively higher net value of the fund at the close of the day, so that investors can carry out the arbitrage transaction of “buy low and sell high”.Even if the redemption is unsuccessful on that day, if the trend of the benchmark index is followed, under normal circumstances, the net value of the fund will still be higher than the floor price, and arbitrage can still be profitable.However, due to the inexplicable decline in the net value of the fund, investors were caught instead.

600288大恒科技——板块轮动

  ”The tracking error is more than 0.5%, which is difficult for us to understand.”A fund analyst told reporters that recently more than one fund appeared this “mysterious” phenomenon, but the difference is relatively small.
  Behind the scenes “black hand” surfaced

  Is QDII really far away from investors for too long, leading fund companies to dare to “act recklessly”?

600288大恒科技——600332股票

  Some market participants explained that one of the reasons for this phenomenon is that there is a large deviation between the market rate and the RMB middle price.Since the fourth quarter of 2014, the RMB exchange rate in the international money market has fluctuated greatly, once plummeting by 200 points.On January 23, the central parity rate of RMB against the US dollar depreciated by 95 points, and then on January 26, it further depreciated by 42 points to 6.1384.At the same time, the intraday trading price once rose above 6.25, showing a significant depreciation relative to the central parity rate, at most close to 1.9%.
  A QDII fund manager in Shenzhen introduced to the reporter that the central bank mainly uses the middle price to manage the exchange rate.The middle price is not the market rate, but the means used by the central bank to manage the exchange rate, and the transaction price is the exchange rate formed by the trading of foreign exchange by financial institutions in the inter-bank foreign exchange market, which is the real exchange rate used for transactions.The deviation reflects the difference between the central bank’s guidance price and the market price.”But fund companies do use the middle price to do asset valuation, so there will be errors.”

  近日,被广泛猜测的知名QDII基金在2014年第四季度提到,2014年第四季度人民币实际汇率一路贬值,而同期央行中间价一路升值。“双重汇率价格和极不相称的波动继续导致基金面临更大的赎回损失和人民币跟踪误差,2014年第四季度人民币实际汇率上升,业绩与标的指数之间的年度跟踪误差为4.5%。”

  但上述基金经理也指出,仅人民币汇率变动对基金净值的影响并不会造成如此奇怪的差异,“更何况人民币贬值对基金净值的影响是积极的。”上述走势最为诡异的基金公司昨日对记者表示,其实是因为该基金原本规模较小,只有几百万股,“但自T+0实施以来,规模的大幅上升给净值带来了很大影响。”。
  除了规模爆炸,基金经理们也没有时间增仓。豪迈基金研究中心研究员何波分析认为,基金重仓股的权重差异比较大。与其他跟踪指数的基金不同,其分布相对均衡,这也是其波动较大的原因。

  投资者教育不容忽视
  1月19日,共有18只T+0基金。但由于跨境lof可现货交易,申购和赎回金额较大,出现了高成交量、高换手率、高振幅的“三高”现象。现在的参与者往往想快速赚钱套利。深交所日前发布的lof市场规模信息显示,12只跨境lof的交易价格和规模均呈现出大涨大跌的过山车表现,市场浓厚的投机氛围不言而喻。

  事实上,上述被投资者洗劫一空、让投资者深陷其中的跨境lof性质并未改变。2014年第四季度,其净资产增长率为-10.48%,业绩基准回报率为-8.53%,60天内低于5000万。按照规定对“小基金”进行清算,甚至面临与其他基金“踩红线”的命运。T+0机制给QDII基金带来了一丝阳光,但并没有给基金管理带来太大的变化。如果投资者大规模地看到一点套利空间,必然会被打败。
  In the case of RMB devaluation, QDII fund should become an asset allocation tool for residents to disperse risks and maintain asset value.However, most investors are not familiar with QDII products because it is far away from the crowd for a long time.When the arbitrage funds of “unknown truth” surge, the fund company should not only emphasize its investment value blindly, but also appropriately prompt the risk.When the cross-border lof after frenzied speculation, arbitrage capital fled to smash the market, and staged a large area or continuous limit drop picture, the fund company did make money, but also lost the trust of investors forever.

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