Many people only know that Class B funds are called leveraged funds, but the concept of leverage is unclear or confusing. Some people call net leverage "actual leverage", while others call price leverage "actual leverage". It is necessary to understand the concepts and formulas of Class B share leverage, net value leverage and price leverage of graded index funds.
Financing classification: share leverage = (A share +B share) /B share.
Net leverage = (parent fund net value /B share net value) × share leverage
Price leverage = (parent fund net value /B share price) × share leverage
Long and short classification: share leverage = agreed coefficient (such as 2 times,-/kloc-0 times, -2 times, etc.). )
Net leverage = (parent fund net value /B share net value) × share leverage
Price leverage = (parent fund net value /B share price) × share leverage
Real-time net value of index parent fund = yesterday's net value of parent fund x( 1+ position of the index tracked) (the position is generally 95%)
Real-time net value of class B financing leverage = (real-time net value of parent fund-class A net value x class A ratio)/class B ratio.
= [yesterday's net value of the parent fund X( 1+X index position tracked)-class A net value x class A ratio]/class B ratio.
Real-time net value of long and short category B = 1+ (real-time net value of parent fund-1) X share leverage.
When the falling distance of the parent fund from the downward conversion point is greater than 10% (note: Shenwan Enterprising has no discount, except Yin Hua H shares B).
1: 1 split financing sustainable reasonable transaction price of class b = real-time net value of class b+1- corresponding to agreed rate of return of class a/market recognized rate of return;
4.6 The reasonable transaction price of split financing sustainable Class B = Class B real-time net value +2/3( 1- corresponding to Class A agreed rate of return/market recognized rate of return).
As of February 30th, 20 13, 13, the market recognized Class A rate of return (implied rate of return) is about 6.7%-7%.
Irregular conversion, also known as point-to-point conversion, is divided into upward conversion (upward conversion) and downward conversion (downward conversion). In the case of upward conversion, the upward conversion of Class A is the same as the fixed conversion, and the agreed income is obtained by the share of the parent fund whose net value exceeds 1 yuan, and the share of Class B whose net value exceeds 1 yuan is converted into the parent fund. Folding up has no effect on Class A, but it will restore Class B to a higher initial net leverage. Assuming that the discount of Class B is B net value ≤0.25 yuan, the discount date of Class B net value is 0.242 yuan, Class A net value is 1.036 yuan, and the parent fund net value is 0.639 yuan. Then every 1000 copies of Class B with a net value of 0.242 yuan will be converted into 242 new Class B with a net value of 1 yuan; Every 1000 A-class net worth 1.036 yuan is converted into 242 new A-class net worth 1 yuan and 1036-242=794 new parent fund net worth 1 yuan; Every 1000 parent fund with a net value of 0.639 yuan is converted into 639 new parent funds with a net value of 1 yuan. When the discount approaches, the overflow value or discount of Class B funds that were originally traded at a premium or discount will be reduced to a quarter of the original value. For example, for Class B with an original spillover value of 0. 12 yuan, when the net value of 0.25 yuan is discounted, the transaction price is 0.28 yuan, and the spillover value is reduced to 0.03 yuan. Class B, originally traded at a discount value of 0.08 yuan, the discount price was 0.23 yuan when the net value was 0.25 yuan, and the discount value was reduced to 0.02 yuan. Class b, which was originally traded at parity, is still close to parity when there is a discount.
Lever finger seat
Except for a few equity class B leveraged share sub-funds that are not indexed (Herun B 1500 17, Jianxin Enterprising 150037, Yin Hua Ruixiang 150048, Consumption Enterprising 150050, CEIBS B/KLOC).
Term lever finger seat
For Class B funds with matching redemption mechanism, the transaction price is determined by the net value of the parent fund and the transaction price of Class A. The transaction price of Class B funds = (net value of the parent fund-transaction price of Class A ×A %)×B's share leverage. Class A discount transactions are Class B premium transactions, which will become parity transactions when they are about to expire. Among them, Ruifu is enterprising, and it has become a traditional closed-end fund because of the loss in the middle and the priority of Ruifu merging into the redemption mechanism of the parent fund.
Permanent lever finger seat
Such funds can be redeemed with Class A shares at any time. According to the pairing conversion mechanism, the discount premium of Class B shares is determined by the agreed rate of return and implied rate of return recognized by the market, and the discount of Class A shares leads to the premium transaction of Class B shares.
Leveraged debt base
Because the volatility of bonds is not as great as that of stocks, such funds will be magnified by the increase of bond prices during the interest rate reduction cycle. Most leveraged debt bases are time-limited, and perpetual leveraged debt bases can be paired with corresponding Class A shares to form a parent fund for redemption.
Leveraged debt base with closed term
Except for Huili B, Juli B, Zengli B and Puyinzeng B, the parent funds of these funds are mostly semi-closed funds, and Class A is open for regular redemption. Since most of the debt-based class A redemption fees are zero, debt-based class B actually bears the redemption fees, management fees, custody fees and class A sales service fees of the parent fund. If the rate of return of fixed-income wealth management products in banks and securities markets is higher than the agreed rate of return of Class A sub-funds corresponding to leveraged debt bases, a large number of Class A shares will be redeemed after the open application for redemption, reducing their share leverage. When all Class A shares are redeemed, the leverage of Class B shares will be reduced to 1 times, becoming a common closed debt base.
Tradable permanently leveraged debt base
In this kind of fund, those traded on the floor can be merged with Class A shares at any time and redeemed as the parent fund, and their share leverage is fixed. The subscription split arbitrage or merger redemption arbitrage can be carried out according to the combined cost of A share and B share and the discount premium of the net value of the parent fund.
Among them, the conversion of Dingli B and Dexin B is converted into the parent fund according to the net value, which is equivalent to a term, and the transaction price is close to the net value near the conversion. However, most or all of the conversions of Dolly's enterprising, mutual benefit B and convertible bond B are converted into themselves, and the original discount premium state continues.