Open-end Fund Liquidity Riskmanagement Based On The Expectation Of Fund Performance

This paper study China’s open-end fund’s liquidity risk management issues on the point of the investor redemption behavior lead to open-end fund liquidity risk. As the response to redemption requires a certain liquidity reserves, which reduces the fund’s profitability. Contradictions between the liquidity and profitability is the cause of open-end fund source of liquidity risk. Reference to the U.S. mutual funds, open-end fund liquidity risk is affected by the size of the fund performance, investment strategy, ability and reputation of managers, fund rate structure, the stock market trends, and many other factorsChina’s open-end funds is still an emerging market, capital market development is inadequate. There are many Chinese characteristics comparing with other developed capital market. "Redemption vision" is the most typical among them. This paper introduces the "Market Information" parameter, and build the Excess Return State Space Model for the oldest of the six open-end fund. Solve equation through Kalman filter, simulate the investment behavior of individual investors, get people’s expected value of the Fund’s performance based on market information at all times. Then introduce artificial variables to build the regression model to prove that subscription and redemption of individual investors are positive correlation with Future expectations of fund performance. The so-called "redemption of vision" is not obvious.In streamlining the Fund’s performance and redemption pressure relationship, for the characteristics of China’s open-end fund, made a series of recommendations and countermeasures to prevent liquidity risk of open-end fund in China. First of all, strengthen liquidity management of open-end funds and formulate a reasonable mobility program to enhance management of the Fund’s sources. Second, strengthen the Fund’s internal factors to reduce the risk of the fund redemption liquidity, such as increasing the Fund’s performance, strengthening the Fund’s product innovation, setting a reasonable fee structure of funds and so on. Third, in order to promote China’s open-end fund rapid and healthy development, create a favorable external environment, such as the introduction of shorting mechanism, enhancement of the quality of listed companies, improvement of the legal system to strengthen the supervision and so on,...