REPLICATION RATIO AS A KEY PARAMETER OF DERIVATIVE MUTUAL INVESTMENT FUNDS

Abstract

The article is devoted to the development and testing of an operational model of a derivative mutual investment fund (DMIF) focused on synthetic reproduction of the dynamics of the underlying asset through futures contracts while maintaining a high share of liquid assets in the portfolio. It is shown that the dual-circuit design of the DPF allows combining the formation of market exposure and maintaining calculated stability through a margin mechanism and the use of money market instruments. The key parameters of the model – replication and margin coefficients – are highlighted, which determine the amount of collateral required, the nature of daily rebalancing and the trajectory of net asset value. The calculation example demonstrates that the DMIF result is formed not only by the price dynamics of the forward contract, but also by the yield of the liquid segment, which explains possible discrepancies with the behavior of the futures contract. The conclusions obtained confirm the methodological necessity of a marginal approach to accounting for derivatives when calculating the net asset value and assessing the effectiveness of derivative replication within the framework of a regulated form of collective investment.