| The 2015 China's securities market was filled with emotions that took investors on several roller coaster rides. In addition to the common shares, the structured funds had took up in investors' view. However, it develops only eight years, most of the investors are confused to the trading rules and products mix, the holders suffered great losses when the stock market crash approached.The structured funds are unique products for China and its rules make a big difference to other funds. Its own structural features caused leveraged characteristic which is the embodiment of the earnings and the unknown risks. The design of the funds is complex and the structured features meet the needs of different preferences of investors. The structured funds must have a place in the future capital market, but, the operation theory and investment strategy researches are very few in the market. Based on this, the article analyzed the leveraged characteristic, the conversion mechanism and the matching transformation mechanism by reading the fund contracts and the recruit manual. The analysis results are applied to simulate the carry trade to test the conclusion and put forward to suggestions.This paper is first introduced the general characteristics of structured funds and then choose an active and typical product---Yi Hua Shen Zheng 100 Structured Fund to be the case study. The case is applied to test the leveraged characteristic, the conversion mechanism, the matching transformation mechanism and to simulate the carry trade.The structured fund can be easily understood to investors by a comprehensive analyzed, I hope that the analysis of this paper can provide investors with general methods of investment and investors can use the basic analytical tools making more rational decisions.The main content of this paper is as follows, the first part is the introduction, it described the background and significance of this paper and thinks that after the bull market of 2015, the importance of structured funds has been highly attracted. The second chapter is the literature review part of this paper, though other countries have similar products, the specific design is different from them. Therefore, this part introduces and summarizes domestic scholars and researchers' paper which about leveraged characteristic and investment strategies more. In addition, this part also summarizes the long memory theory and R/S analysis which will be used in the back part of this paper. The second chapter introduces the products' features, the historical development, the structural characteristics and mainly focus on the leveraged characteristic and conversion mechanism. The fourth chapter is the core of this article which is case study. For this part, it answers that why I choose Yin Hua Shen Zheng 100 structured fund and based on this, it studies the long time investment strategy with R/S analysis and short time investment strategy with matching transformation mechanism and combing to the Exchange Traded Funds (ETF), this part also calculates the optimal discount arbitrage interval. The fifth chapter is the main conclusion and suggestion part of this paper, it summarizes the foregoing analysis and put forward to some rational investment suggestions for the investors. |
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