Study On The Delay Of Bidirectional Arbitrage Strategy For Exponential Grading Funds

The classification funds are a series of innovative fund products developed on the basis of closed-end funds learning from the idea of structured products. Essentially, it is a recombination of risk and return structure carried by nomal funds. The basic-share of the funds is asymmetrically divided by a certain percentage into the priority share which has fixed income, lower risk and the ordinary share which has leverage, greater risk. The priority share positioning in the low risk-return preferences investors that pursue stable income while the ordinary share positioning in the high risk-return preferences ones desire to increase investment by leveraged financing to obtain excess returns. So the classification funds is extensively sought after by investors and the market. With shining of the classification funds in the market, many investors gradually turn their focus on whether they can make any profit by the characteristics of classification funds, of which can lead to the most market-wide hot highlights is to provide investors a new arbitrage way, various arbitrage strategies are endless.Share-matched conversion mechanism is one of the ingenious designs of classification funds,which allows the mutual conversion of basic-share and two types of sub-share,then the relatively fixed and closed basic-share begins to have flexible and open features. As the market price of sub-share changes in the freely traded secondary market and becomes a certain discount or premium spread to basic-share, there will be plenty of arbitrage space. Using Share-matched conversion mechanism to seize arbitrage opportunity will be able to bring the risk-free arbitrage gains for investors. At present, China’s open-end classification funds all have share-matched conversion mechanism, and passively managed index funds are more easily subjected as arbitrage. So the paper takes the two-way arbitrage strategy based on share-matched conversion mechanism of open-end index classification funds as its research priorities, and to propose a new two-way arbitrage strategy by the combination of index futures arbitrage hedge strategy based on the actual situation.Firstly, the paper makes a brief introduction of research background, significance,and methods of the two-way arbitrage strategy of open-end index classification funds.Secondly, introduces the main study open-end index classification funds, notes and describes the existence of the discount or premium phenomenon, combining with the empirical reality of funds data to analysis and calculates the effect of two-way arbitrage strategies based on share-matched conversion mechanism, points out its time lag risk.Thirdly, try to combine stock index futures with the two-way arbitrage strategy.Through the empirical proof of the exist cointegration of sample funds and stock index futures prices, build error correction model based on this and get the hedge ratio of the actual operation.design new two-way risk arbitrage strategy which use stock index futures to hedge the time lag, then combined with realistic simulated data to calculate and evaluate implemented cost-benefit situation of the program.Finally, summarize the bias between new two-way arbitrage strategies programs and the reality,as well as the implementation problems encounter. At last put forward improving directions of the program in the future.