证券投资基金的管理费率设计研究

Research on Fund Management Fee Rate Design Based on the Performance

针对目前不同公司的新基金在发行中都面临投资者认购不积极的问题,认为基金经理和投资者之间关于基金经理投资能力的信息不对称是造成这一现象的主要原因之一.然后,利用期权定价的思想,将管理费率和基金业绩及市场收益挂钩,设计了上下限费率条款.通过仿真计算,分析了投资能力不同的基金为吸引投资者的积极认购,在费率参数设计上的区别.

The information asymmetry between fund managers and investors about fund managers' investment ability is thought of as one of the main reasons causing the low subscription rate of different funds in issuance. Then, under the way of option pricing, the management fee rate is affiliated with fund return and market return, the management fee rate spread is designed, and the option's prices and profits shareholders can obtain are computed through Monte Carlo simulation. At last, the difference in parameters settings of fund managers with different ability is also analyzed in order to attract shareholders' subscription interest.