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Research On Premium And Arbitrage Of Classification Fund

Posted on:2017-02-26Degree:MasterType:Thesis
Country:ChinaCandidate:X H YuanFull Text:PDF
GTID:2209330485461264Subject:Financial
Abstract/Summary:PDF Full Text Request
Since the beginning of the securities investment funds in 1992, there are plenty of securities investment fund products to promote the fund market in our country, and even the development of capital market.More than 20 years of time to get the industry to construct the complete industrial line.Traditional structured, professional, systematic fund products brought difficulties to the innovation of the fund.Fund industry to broaden its investment channels from traditional investment mode, to reform and innovation of fund,And the breakthrough of specialization and differentiation of the fund, which form their own style characteristic, to open up another prosperous scene.At this point, the Structured Fund appear just adapt to the market which the needs of the development of personality.The structured fund is a kind of innovation of products, which the decomposition of fund income or net worth, forming two levels or multistage risk earnings performance has certain differentiation fund share fund variety.Usually,structured fund contains two types of child share:low risk share (A share) and high risk share (B share),low risk share have fixed income, risk share after meet the provisions of the low risk share earnings, bear all the loss and residual income.Since the China’s first structured fund established in,2007,For eight years, after many times the framework have been changed gradually stable.The size of 6 billion from the beginning, after two growth, the scale has been up to more than 500 billion.The types of Structured fund enriched, the number of them ever increasing, and mechanism of these fund so popular with investors because of their unique design.Between 2014 and 2015, more B shares have boomed to leave deep impression to investors.The structured fund also became an important investment target.In order to provide some reference and advice to investors who interested in the structured fund.In this paper, I studied the discount premium and arbitrage of the structured fund and focused on the time lag of arbitrage problem for analysis.In the end,through the statistical arbitrage and the form of stock index futures hedging trying to solve this problem.This paper is divided into five chapters. The first chapter introduces the research background, discusses the structured fund development situation at home, and provides research ideas and framework of this paper.The second chapter presents the structured fund product characteristics, introduces the design terms and characteristics of the structured fund. It mainly includes the fund raising and works, income distribution way. leverage multiples and conversion mechanism. Leverage multiples includes initial leverage and net leverage, conversion mechanism contains maturity translation and point conversion. The third chapter presents classification fund discount premium analysis,firstly I analyze the influence factors of price changes between two shares and then analyze the which factors determines the fold premium rate of two shares.illustrates the decisive relationship between the fold premium rate of two shares,point out that the fold premium rate makes structured fund has the possibility of arbitrage.The fourth chapter presents the research of arbitrage time delay in structured fund, according to the problem are analyzed, and put forward two solutions--Pairs trading strategy based on co-integration theory and stock index futures hedging strategy,and has carried on the empirical analysis.The fifth chapter is the conclusion of this paper, I review the full text,summarize and prospect above two methods.
Keywords/Search Tags:The Structured Fund, Time Lag, Folding Premium, Statistical Arbitrage, Stock Index Futures
PDF Full Text Request
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