Empirical Research On Structured Fund’s Leverage Analysis And Pricing

Classification of the fund is also called structured fund.It decomposes the fund’s income or net worth to built two or more fund shares which have different risk and return.Generally,structured fund includes basis share,A share and B share.A share can get stable earnings and the risk is low.B share gets all the rest earnings and bear high risk.Its main characteristic is that the risk is classified,so does the earnings.Sine the first structured fund is brought about in July,2007,it is popular in investors and developed fast.It mainly depends on its leverage,so that its risk and earnings are classified and it’s different with general fund.Now,the type and quantity of structured fund is more and more in the market,and there is so different in different structured funds .So it is important to do classifying fund pricing and leverage analysis.This paper classified the structured fund into three types according to its earnings distribution pattern,then select three funds to do empirical analysis on pricing and leverage.I build B-S model and GARCH(1,1) model for the first two type funds’ pricing,then I do pricing comparison with its actual pricing to show the model’s effect. The last type fund is shares of debt two stage model. A share can be regard as zero coupon bonds and pricing it directly,B share is priced depends on no-arbitrage theory and the ratio of two shares. Then I do pricing comparison with its actual pricing to show the model’s effect as before.The result shows that the pricing effect is all good,there is no big bias.The GARCH(1,1)model is a little bit better than B-S model.In the last,I deduce and analysis the net leverage and price leverage on the three structured fund.