The Analysis Of Structured Fund Investment Strategy Based On Discount And Premium

Structured Fund is an innovative fund product, that base on the closed-end funds, learn from foreign structured product classification concepts, decompose the fund’s net assets, and then the mother fund basis share’s risks and benefits asymmetrical divide into two or more classes share, risks and benefits between child shares show some differences. In practice, the mother fund is a real investment entity, purchase according to the net asset value; while the child fund is derivative shares, trade according to the secondary market price. Therefore, the Structured Fund is prone to deviation of the net asset value and the transaction price, resulting in the phenomenon of discount and premium. The existence of purchase with redemption mechanism and matching transformation mechanism provide investors with a good short-term investment opportunity.The paper designs a short-term investment strategy which is based on the structured fund’s premium or discount phenomenon, describe the structured funds in detail from the structural characteristics, core mechanism and strategy thinking. The paper selects the YH Shenzheng 100 Index Structured Fund as the representative to case analysis, which is the classic structured fund product, to study the structured funds’ investment opportunities, then propose corresponding investment strategies, including premium investment strategy and discount investment strategy. In this paper, we use the historical data of the case to carry on simulation transactions, and test the return rate of the discount and premium investment strategies. Then the writer use the statistics method to study the relationship between the tracking index change scope and preferred shares with enterprising share prices, thus through the simulation analysis method to verify the influence of the structured fund’s overall premium or discount rate and tracking index future change scope for investment strategies effectiveness. The research shows that when the structured fund ’s overall premium or discount rate is greater than the total transaction cost, at the same time, the tracking index expected future change scope within a reasonable scope, investors can do a short-term investment, to get a low risk returns.