Study On Investment Strategy Of Split-capital Fund

This essay is an update to Split-capital fund study on investment strategy. The main purposes of this essay include:1) give Split-capital fund investors an in-depth understanding of the product;2) provide an analysis of Split-capital funds;3) enable more investors to make rational decisions in the Split-capital fund market;4) let the Split-capital fund market continue to expand and become normalized;5) motivate fund companies to innovate and diversify their Split-capital fund products;6) and ultimately, help the development of China’s securities market.Split-capital fund is the innovative product domestic fund companies generated in order to help break through the bottlenecks of the development of closed-end Fund. It is developed from foreign structured product classification techniques. Through Fund share of risk and return reconstruction, Fund share is divided into two classes with different risk-return characteristics, priority shares and enterprising share, to meet investors’ more complicated investment demand. While investment demand meets is achieved through leverage effects. The level of leverage reflects the investment income on the future and reveals the size of the unknowable risk. Relative to the other categories of funds, due to its complex flexible terms, especially the structured setting that can meet different investor needs, there is well received by investors, and has gradually become the mainstream of the fund company to issue new funds. Split-capital funds first appeared abroad, and emerged in our country less than five years, and Split-capital funds research is relatively small, because of its provisions on structured sets and diverse design differences to the current securities products of domestic, the investors widespread lack sufficient knowledge to Split-capital funds. Currently, the Split-capital funds mainly studied by brokers, by reading up the research reports published by the brokers, that can be seen on Split-capital funds study on confined to an a or a class of Split-capital funds in a study carried out under a specific point or market quotations, and then make the appropriate investment strategy. To date, not have more comprehensive analysis and study of investment value on all Split-capital funds, research is also a category of up to Split-capital funds valued, they choose a different valuation methods, to arrive at the same Split-capital funds of valuation data differences also exist, And that the valuation is usually based on a number of assumptions, on the basis of use Black-Scholes valuation models-a classical derivative security pricing theory, then drawn the theoretical value.currently Split-capital funds market has just started, investors lack of awareness for the Split-capital funds, theoretical value serious deviations from the actual,and there is no guiding significance for investors.Based on the above background, through a deep reading Split-capital funds prospectuses of all currently existing on the market, combined with current brokerage investment reports, and summarize and research, this article reach a conclusion that we should learn from the structure and operation of Split-capital funds, risk and return characteristics the rate of leverage, folding\paired premium rates, conversion, valuation, conversion and carry this several ways to study Split-capital funds, and in-depth studies to the few points one by one and allow investors have an in-depth understanding of the comprehensive to Split-capital funds,then the comprehensive application of several points in the carry trade, and simulate the effect of carry trades, then concluded.The main content of this paper:the first chapter first describes the origin and development of the Split-capital funds in China, allow investors to know the ins and outs of Split-capital funds, as well as a total understanding of the current development situation; chapter Ⅱ,1have a general classification study for the structure and mode of operation of Split-capital funds, allows investors to have a basis and comprehensive understanding of Split-capital funds; the third chapter study the risk-return characteristics and leverage ratio of Split-capital funds, risk-return characteristics is the starting point for general investment research, mainly using the method of quantitative analysis in this article, first of all, in accordance with the distribution of returns provided by prospectuses articles, analysis the risk-return characteristics of the Two-stage share of Split-capital funds and integration the real return data provided by Morningstar2010year2011year, shows the share of risk/reward characteristics to investors from intuitive level. On this basis, and introduction of the concept of the leverage ratio, Leverage ratio is the innovative core of Split-capital funds, through research to leverage ratio,underscore the characteristics of low risk-low revenue of preferential share and high risk-high-return of progressive from works further.; the fourth chapter is mainly study on discount\premium rate of Split-capital funds, the folding\premium rate can directly share even the reaction of investors to fund the marketing promising levels, two-stage share of Split-capital funds due to different risk and return, so the changes of discount\premium rate are quite different, in view of this, this article would give separate study to discount\premium rate of priority share to progressive share, for more detailed studies to variation causes of discount\premium rate, I classified study each share Finally to provide investors with the investment policy, arbitrage and later were in mind. The fifth chapter study to methods and purposes of the conversion of Split-capital funds, conversion is another innovative feature of Split-capital funds, more flexibility to meet the different needs of investors, through research, which you can look for investment opportunities into conversion, and provide appropriate investment strategies for investors. The sixth chapter, in view of the different valuation methods of current research of Split-capital funds, by combining Manere Suo probes and seeking truth from facts in this article, uses discounted cash flow model, to value the priority types of Fund share of Split-capital funds, correlation coefficient, and p-values on the model test And historical backtracking test, get a conclusion to the economic law of:despite the price will deviate from the theoretical price in the short term, but long term, it will revert to the theoretical price. On this basis, under the no-arbitrage assumption, to value the aggressive share of the split-capital funds.The seventh chapter, first through the study of paired conversion, leads to arbitrage research, Under different market conditions, as well as conversion point, simulating the actual arbitrage, and the use of model checking method of validation for arbitrage transactions in the actual results, and thus came to the conclusion.Looking from the investors’ perspective, through both theory and practice, this essay provide a more comprehensive study about split-capital funds, allowing investors to have a full and clear understanding of Split-capital funds. After being shown a method to study Split-capital funds, investors can be more rational when making their own investment decisions. Building upon previous theories, this essay gave China’s current Split-capital fund market condition more consideration. The conclusion reached by combining theory and empirical analysis should have much practical value for investors.