一类指数分级基金的定价模型及其杠杆率的分析.pdfVIP

第2010 年第9 期 商 业 经 济 No.9 ，2010 （总第358 期） SHANGYE JINGJI Total No.358 [文章编号] 1009- 6043（2010）09- 0034- 05 一类指数分级基金的定价模型 及其杠杆率的分析 光 华，任学敏 （同济大学 应用数学系，上海 200092） [摘 要] 2009 年9 月17 日，带有杠杆机制的国内首只指数分级基金———瑞和沪深300 指数分级基金发行。瑞银瑞和 分级基金的分级收益特征以及引入的交易机制等具有较强的创新性，作为一只本质上复制沪深300 的指数型基金，预期获得 市场平均收益率的投资者可以构建长期持有的策略；由于差额分配机制的存在使得年阀值内外瑞和小康、瑞和远见的杠杆率 显著不同，对于有能力把握市场的投资者可以根据市场预期的变化，对瑞和小康和瑞和远见之间采取不同的交易策略；此外， 它作为一种指数期货的套利工具，可以充分利用两种份额的杠杆率，当期货指数高于现货时，可以买入杠杆率较高的份额获 得更高的收益。 [关键词] 创新型封闭式基金；结构化方法；杠杆率 [中图分类号] F830.91 [文献标识码] A An Analysis of Pricing Model and Its Leverage Ratio of an Index Classification Fund GUANG Hua, REN Xuemin Abstract: On September 17, 2009, the first leveraged index classification fund- UBS SDIC Ruihe China CSI 300 Index Classification Fund was issued in China. UBS SDIC Ruihe classification fund is innovative in its classification returns, and transaction mechanism in- troduced, etc. As a index fund copying CSI 300 in essence, the investors expecting to obtain market average returns can construct a long- term holding strategy. The leverage rate of Ruihe well- off and Ruihe far- sight is different distinctively around the annual thresh- olds due to different distribution mechanism. Hence, the investors grasping market opportunity can take different transaction strategies between Ruihe well- off and Ruihe far- sight based on the change of market expectation. Furthermore, as a arbitrage tool of index futures, we can make full use of the leverage ratio of two shares, namely, when futures index is higher than spot index, we can obtain more re- turns through purchasing the shares with higher leverag