Empirical Research On Fee Rate Of Securities Investment Funds And Rating Pricing Under The Way Of Option Pricing

In recent years, as an important component of Chinese financial system the securities investment fund industry plays a more significant role in the financial markets. Fee rate of securities investment fund is directly related to long-term benefits of investors. In view of current monotonous management fee rate structure, taking close-end funds as the research objects, the paper provides a new way of charging management fee by using B-S option pricing model. Management fee rate structure provided by this paper includes the structure limited to minimum yield targets and the structure limited to the upper and lower yield. This paper considers minimum return promised by the fund management company as European put options purchased by investors. This paper sets different minimum rates of return and calculates management fee under minimum yield targets.Depending on the minimum yield targets, management fee rate structure can satisfy investors' needs for cost reduction.Based on the idea of collar option, this paper has given management fee formula limited to the upper and lower yield rate target. The fee structure may drive the fund managers to pursue higher return as well as guarantee investors' benefits and will help improve staff enthusiasm and get other benefits.This paper has carried out the close-end fund performance evaluation and does some research on the relevance of fund performance and the fee rate proposed by this paper. The results show that there is not statistically significant correlation between appraisal ratio and management fee, and no significant correlation between Treynor measure and management fee as well as Sharpe ratio and management fee. Management fee under minimum yield targets is positively correlated with Jensen measure and there is statistically significant correlation between them. Management fee under six groups of upper and lower yield targets is positively correlated with Jensen measure. and there is statistically significant correlation between them.Therefore, this new way of charging management fee may increase the efficient use of investment funds, and investors can gain higher returns.