A Research On Swing Pricing Of Open-ended Funds By Huge Redemption

As the first Open-ended Funds,Huaan innovation and open securities investment fund established in September 2001 to the first quarter of 2016,China already had 2,852 open-end fund,managed net assets 85,173.6491 billion yuan,accounting for all market fund net 96.89%,Compared to closed-end funds,open-end funds have the advantage as flexible size,high transparently,and positive correlation between income and net worth,etc,although open-end fund is relatively mature in the domestic,but there still some practical problems during operation,such as followed: O n one hand,because net value of fund shares is the price base to calculate open-end fund share purchase and redemption,the fairness is directly related to the interests of fund investors,but there are massive redemption transaction costs if investors apply huge redemption during fund operation such as commissions,taxes and impact cost generated by the transaction,which will dilute NAV and lead to the interests of other investors damage;On the other hand,managers face a large shortage of reserved cash caused by investor's huge redemptions,if it is difficult to realize portfolio at fair prices and suitable time,can cause the asset losses and transaction costs uncertainty,in this case which may lead to liquidity risk.During 2015 stock market crash and two depth adjustment period at the beginning of 2016,most of the net fund in the market have suffered significant retracement,Theoretically under the domestic mechanism of restrictions the ups and downs price,even if the fund held by the combination of all limit,its net share decline does not exceed 10%,but according to the wind data's incomplete statistics,there are 35 fund's net share have been more than 10%(net dilution),The huge withdrawal is internal reason behind of the downstream market,the NAV dilution problem caused by huge redemption also draw the attention of the fund industry and regulatory attention,which is also the study of this article,and the purpose of this paper is to seek a viable and actionable solutions in domestic.Swing pricing mechanism widely used in the European market can effectively solve the problem.The core of swing pricing mechanism is to mitigate the dilution of net fund shares caused by redemption,that is to say,there is a ratio when net purchase / redemption assets greater than the Fund's net(threshold swing time),if adapt the net share up / down with an amplitude(swing factor),will cause the reduce of actually shares or amount obtained by purchase / redemption,indirectly borne the cost caused by applicant redemption and cash asset,and the protection of investors' long-term benefits,moreover in a certain degree it inhibition the large redemption and alleviate liquidity pressures.But unlike foreign market,who use calculation method based on the middle price between market maker trading mechanisms and net value of Fund's,domestic transactions using the calculation method based on the closing price of command-driven mechanism,so they are completely different in the calculation of commissions,taxes,impact cost and NAV.Firstly,the current situation and nature of problem is in-depth analysis,including the meaning of resolve the problem;then,the introduction of the concept of swing pricing system and the system introduction of its principles,operation mechanism,a comprehensive analysis of its advantages and disadvantages and feasibility;secondly,in accordance with domestic order-driven trading mechanism and the share of the net calculation rules to establish a complete system solution;Finally,according to the instruction book of intraday high frequency data to analysis the actual composition of a fund company,and draw the relevant conclusions.