The Risk Of Open-end Securities Investment Funds

It is only two years from the first open-end fund being launched in China, hut it grows very quickly. The open-end fund are playing a more and more important role in Chinese capital market. There are great significance in theory and reality, making a systematic and deepgoing research in open-end fund' s risk. This paper analyses macroscopical and microcosmic risk of Chinese open-end fund, applying theoretically and empirically method. The author brings fOorward the politic suggestion and specific method for defending and removing the risk, after analyzing the research result. This paper also brings forward a new train of thought about a full performance evaluation system for open-end funds, combining with its risk. This paper includes four parts as following.The first part, analyses the macroscopical defact and the reason for these defact in Chinese finance market, also puts forward some politic suggestion. The author draws into the concept about martingale, utilizes synthetical some statistic models to anylse Chinese security market' s efficiency when doing empirical research. The result demonstrates that Chinese security market is a weak efficiency market. It is appropriate for developing open-end funds.The second part analyses the liquid risk. Because open-end fund can be redeemed and purchased freely on any business day, there are higher liquid risk than close-end fund. The paper studies open-end fund's liquid risk by VaR test, trying to construct a appropriate asset portfolio which based on liquid risk by using mathematical model.The third part discusses the managerial risk. The shareholder's lawful right can not be protected by fund investment company, because fund investmrnt company has both the duty of sponsor and management. This kind of adminitration structure goes against the protection of shareholder' s right.This paper discusses the inside managerial risk with different visual and puts forward some suggestion, asking for reference abroad from the successful experience in mutualfund's administration structure on the one hand, synthesizing the knowledge of economics, management and trust-law. The descriptive norm is more important than comparative norm, because we find no persistence based on raw yield,and when compared with yield of market , raw yield is not persistent.The fouth part discusses the relationship among systematic risk, managerial risk and liquidity risk. This paper try to find a mathematical model describing the relationship.