Research On The Optimal Scheme Design Of Leveraged

Leveraged ETFs are innovative ETF varieties in innovative global ETF market,This kind of products has widely sought after by investors and caused widespread concern in academia.The main market of leveraged ETFs to raise issue and to transaction concentrates in the American and Europe.Although in domestic market there is no such kind of products at present, but there is also no doubt that the China Securities Regulatory Commission,the China Securities Index Co as well as a number of fund management companies as market participants have made full preparations for the launch of the kind of products.From the market performance of leveraged ETFs oversaes,the the purpose of leveraged ETFs products is to further enrich the capital market products system.In general,positive leveraged ETFs can multiply the return of the tracking the subject index,which are powerful tool for speculators to chase hot market and high risk preferences of investors get high yield;the inverse ETFs provide low cost, convenient tool to short with low threshold,which are not only new short-term hedge tools of institutional investor,but also tools for the small and medium-sized investors to participate in the market short more conveniently. With all these new advantages,at the same time,the advantages of the traditional ETF products can also be found in leveraged ETFs:active trading,purchasing and redemption cost and management cost are relatively low,and the risk is relatively controllable.Based on a number of reference of foreign regulators’,theory and practice resaerch of leveraged ETFs products, this paper overviews the world’s largest leveraged ETF raising and trading market for now--American leveraged ETFs market by using the data from ETFDataBase, the introduction of leveraged ETFs is intended to show domestic investors the investment philosophy of leveraged ETFs with a comprehensive understanding of the leveraged of ETFs.Including macro level analysis:its origin and the the deep-seated reasons od its rapid rise,the market development status at present and characteristics,and micro level analysis:the product structure design, tracking target, the product cost rate setting,purchasing and redemption mechanism and so on.The main part of this paper discussed the feasibility study on the leveraged ETFs launch in the current domestic market conditions.This paper uses the method of combining theoretical discussion and test simulation based on historical data.This paper selects China’s capital market real data from 2013 to 2014 as a basis,and considers various factors affecting portfolio performance in the actual portfolio management as far as possible,then reasonably constructs the leveraged ETFs portfolio.This paper demonstrates an optimal design scheme of launch of leveraged ETFs products in China market, mainly including selection of tracking target, the determination of reasonable leverage multiples, selection of financial tools to construct the portfolio,reducing the deviation of daily lever and promised lever,reducing the deviation the long-term trend of net value of the fund and the long-term trend of the underlying index.