Research On The Investment Strategy Of Structured Funds

Structured funds classified funds into multiple shares with different expected profit and risk, and one or all of classified shares are traded in the market. Investors can choose preferred products based on risk preference and market situation. For risk averse investors, they can select conservative products; for risk seeking investors, they can select high risk shares with high leverage. The advantage of structured funds is leverage effects without borrowing money, which is core feature of these sort of funds.From the perspective of investment target, the structured funds can be classified as active equity market fund, passive equity index fund, bond market fund. The profit and volatility of shares heavily depend on the types of parent fund.From the perspective of trade location, structured funds can be classified into two types, one is closed funds, which only can be traded at exchange, and named as Close Structured Fund, another can both tread in exchange and purchase and redeem over the counter, named as structured LOF funds.The arbitrage opportunities of structured funds created by two features. One is leverage effects. Another is paring convert mechanical-- an important feature of LOF fund, that different shares can be converted from exchange to over the counter, or from over the counter to exchange, and profit from the difference of price of identical fund.There are two arbitrage strategies, one is split arbitrage, another is merger arbitrage. For split arbitrage, purchase the parent fund first and split it into A share fund and B share, then sell the A and B shell. For merge arbitrage, purchase A share and B share first, and merge them to parent fund, then redeem it. Due to restrictive trade regime, split or merger arbitrage can not be completed within the same day, so the net parent fund or sub-share price volatility will have an impact, Hushen 300 stock index futures must be used to hedge volatility risk of parent fund or sub-share prices In addition, due to the net value of parent fund is calculated after closing of trading time, net value is not known when commit the arbitrage. The net value can be calculated by regression, taking the index traced as independent variable, and net value as dependent variable.