Arbitrage Strategy Of Industrial Chain In Hedge Funds

Hedge funds are the main users of hedge arbitrage strategies,seeking for absolute returns. With the domestic capital market developing gradually and hedging tools increasing day by day, hedge funds is booming recently, whose market position are also improving constantly. The arbitrage of industrial chain is belonging to arbitrage strategies, which is very popular in the financial market owing to stable difference price. In this paper, arbitrage strategy of industrial chain is placed as research core, adopting the method combining the theoretical research and case analysis.Finally our research makes some achievements.Firstly, analyse arbitrage mechanism and related theory of hedging.(1)We put forward the definition of hedge arbitrage from the view of the tool theory, focusing on risk selection function;(2)elaborate the ideological origin of arbitrage and summarize the arbitrage theory: relative value theory and spreads driving theory;(3) study the industrial chain of theoretical basis and model features.Secondly, classify arbitrage strategy of industry chain and conclude two kinds of strategy models.(1) Introduce the characteristics of the hedge fund and the general classification of hedge arbitrage is given;(2) divid the arbitrage strategy of industrial chain into two parts:commodities and commodity/stock.(3) analyse the fundamentals model and statistical arbitrage model.Finally, take the industrial chain of Billet-Steel bar for example.(1)Study this industrial chain by fundamentals model and dig the driving force of spreads;(2) study this industrial chain by statistical arbitrage model and program the trading strategy.