| The structured fund is a kind of innovative investment instrument that investors are commonly utilising in the market recently.The funding rating fund has also become a popular investment method.Rating funds are different from traditional funds.Graded funds have a unique pairing conversion mechanism and leverage mechanism,and the aggressive share of graded funds is linked directly to the stock market.Therefore,rating funds in the bull market have far more benefits than traditional funds.In 2007,China's first graded fund emerged.After more than a decade of development,the size of the graded fund has shown an "inverted U-shaped" development path.In 2014,with the advent of the bull market,the graded funds showed a blowout development.In 2015,the grading funds reached their maximum scale.As the bear market emerged,the size of the grading funds gradually decreased.In the end of 2017,there were 147 graded funds in the public fund market in China.The surviving scale was 139.211 billion yuan,which decrease 88.750 billion yuan or decrease 38.93% compare with the end of 2016.As a new investment tool,the classification fund should be beneficial to the development of the financial market.However,due to the inconsistent education level of its many domestic investors,the understanding of the classification fund is not profound enough,which leads to blindly follow the trends of an investment grade fund,market price volatility and a serious deviation from the normal range.Therefore,this article provides details on the structured fund's pairing conversion mechanism and the principle of leverage.On the one hand,it enhances the professionalism of investors,fundamentally guides investors 'cognition of these two types of shares of classification funds,changes the misunderstanding of investors' investment in the classification funds concept,allows the majority of investors to deeply recognize the normal fluctuating range of graded fund prices,as well as the investment strategy in extreme cases,which can protect the interests of investors and avoid unnecessary losses.On the other hand,by popularizing the relevant knowledge of graded funds,it enhance investor awareness of risk control,decreases regulatory pressure of regulators and achieves healthy development of the fund market.The first part of the article summarizes the domestic and foreign literature on the grading fund arbitrage research.The second part of the article describes the basic concepts of graded funds in detail,and gives a brief overview of the origin and historical development of graded funds.In the third part of the article,combined with the current situation of the graded fund market,this paper analyzes the anomalies of the price performance of the graded fund in detail by analyzing the matching conversion mechanism and the leverage principle of a graded fund,and introduces the four common arbitrage strategies.Including purchase arbitrage,redemption arbitrage,twoway arbitrage and discount arbitrage.The fourth part takes TEDA Manulife 500 Index Rating Fund and Fortune SGAM China Securities 1000 Index Rating Fund as an example to conduct an empirical study on arbitrage.First,we analyze four arbitrage strategies without hedging and find that in the current environment arbitrage strategy remains and then hedge arbitrage against the existence of the discount,premium phenomenon of the graded fund respectively with stock index futures.In addition,the hedging effect of arbitrage funds in the grading fund market is then further analyzed.The hedging analysis results of the graded fund all show that the hedging of the stock index futures can indeed Hedge the systematic risk of rating funds,and can delay the lag effect of rating funds arbitrage.However,the hedging effect of index futures is not stable. |
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