| 2007 was the first investment year of structured funds in our country. The first issued one attracted great attentions from investors. The improvement and development of graded product line, has quietly changed the map of fund industry. The third generation of index structured funds, as the leveraged investment products, has double nature: leveraged investment and Index Investment. Meanwhile, with the development of the derivatives market in our country recently, the introduction of stock index futures provides investors with the facilities for carry trade.This thesis focuses on how to get riskless profits in index arbitrage by index Investment and leveraged investment:To begin with, this thesis makes brief introductions to the price return in secondary market influenced by conversion mechanism and matching transfer mechanism set in the terms of the third generation of structured funds, by means of analyzing the basic terms and special setting of structured funds in our country;Next, this thesis explains three special measures in detail: pricing, lever, premium and discount; this thesis also proves the pricing rationality of the third generation of structured funds by applying Monte Carlo simulation;In the end, based on the principles of arbitrage, this thesis makes correlation analysis and statistical description of the Shanghai and Shenzhen 300 Index yield rate and stock index futures yield rate by combining with sample data respectively, builds the arbitrage model and states the positive return on investment by empirical analysis. |
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