The Portfolio Management Of Open-end Funds Under Microstructure Restrictions

It witnessed the rapid development of open-end funds in china from emergence, but the investment of open-end funds lacks the enough supporting of portfolio management theory. This paper researches the relationship of redemption pressure, investment style, asset size and investment action and the employment of the stock index future on the portfolio management of open-end funds.At chapter two, the paper analyzes the investment actions under the market microstructure restriction including redemption pressure, investment style and asset size. The research shows that fund managers should consider the structure and rate of cash sort asset and the importance of the reserve for the portfolio management of open-end funds. It also finds that the difference on portfolio construction is distinct for different style funds, and there is a negative correlation between fund size and the concentration level of stock and industry.At chapter three, the paper brings stock index future into the portfolio management of open-end funds and takes Shanghai-Shenzhen 300 index as the substitute of index future contract to hedge S&P CITIC 50 portfolio. The conclusion finds that the hedge function of stock index future is effective to control the downside risk. Additionally, the paper presents the hedge strategy basing on fund performance. The demonstration results show that this strategy is helpful to reduce the hedge rate and improve the hedge effect, especially in a rising market.