A Research On The Matched Arbitrage Strategy Of The Stock Passive Structured Fund

With the regular and development of the capital market in China, the existing financial products can not meet the needs of the market. Structured fund for the first time introduced into China in 2007, and its strong leverage effects stimulate investor enthusiasm, and it is concerned by market participants and researchers. In recent years, the structured fund market in China is gradually entering a period of rapid development, especially in the bull market period that is the second half of 2014 to the first half of 2015. Meanwhile, the stock passive strucured fund has continued to occupy the absolute share of China structured fund market. It is different from other types of structured fund, the stock passive strucured fund using the index of passive investment, through strict process control and risk management to reduce the tracking error, and reducing the non-systematic risk in trading process, and reaching the purpose of raising revenue.Based on the above analysis, in order to giving investors the more comprehensive understanding of the stock passive strucured fund, and actively participate in the stock passive strucured fund investment, the study first introduced the basic concept of stock passive strucured fund, income distribution, conversion mechanism and matching arbitrage mechanism.Secondly, the study regards the stock passive structured fund as underlying assets and constructing the barrier option pricing model, then empirical analysis the arbitrage value. Then according to the characteristics of arbitrage mechanism to construct matching arbitrage model of the stock passive structured fund and empirical research. At the same time, when constructing the model, we consider the purchase and redemption rate of the primary market and the transaction fees of the secondary market, and that make matching arbitrage of the stock passive structured fund is more consistent with the reality fund market. Finally, the study through constrcts the the forecasting model of the parent fund net value, the A share and B share price to predicts the condition of matching arbitrage in the next year, and according to this provides guidance for the matching arbitrage investors.This study selects 39 stock passive structured funds before April 31, 2014 listed as the research object, and makes empirical study. The empirical results show that: (1) based on the perspective of the double barrier option pricing, we can know that there exists matching arbitrage process among the parent fund shares, A and B shares. And for the stock passive structured funds, the fluctuation of option price is strong at the end of the second quarter of 2014 to the end of the third quarter of 2015, and the volatility of the rest time is relatively weak;(2) the price volatility of B share in stock passive structured fund is stronger, when the higher income will inevitably face greater risk. Therefore, different types of investors can choose to invest in different parts, and then obtain the expected return; (3) both the matching arbitrage results from whole sample or the extreme market sample, all stock passive structured fund shows that the number of expected arbitrage are higher than the number of successful arbitrage.And in the split arbitrage, the average expected return is higher than the actual return, but in merger arbitrage does not have that feature. In addition, the vast majority of stock passive structured fund shows that the arbitrage successful number of merger arbitrage is higher than the split arbitrage, and the success rate of merger arbitrage is higher than the split arbitrage.This shows that in the China structured market, the arbitrage opportunities of merge arbitrage much more than split arbitrage on the whole; (4) in the split arbitrage, the expected return mean of most stock passive structured fund under extreme market is higher than the whole sample,but merger arbitrage does not exhibit such characteristics at the same time, and more arbitrage may occur during the volatility of the stock market; (5) this paper constructs the Netlogo simulation system and two-factor jump diffusion model can ensure simulated net sequence of parent fund, the simulated price sequence of A share and B share consistent the same trend with historical price sequence. And the same conclusion can be obtained when using simulated data to predict the matching arbitrage.