Grading fund arbitrage analysis

[Keywords] study, arbitrage, fund, grading,

First, what is the classification of the Fund

The classification of the Fund to the asymmetric split the benefits and risks of the Fund, divided into the share of the low-risk level and the share of high-risk level funds which target investors of the share of low-risk investors with lower risk-return preferences, and the high risk level The share is targeted at investors who expect to increase their investment capital through financing, thus obtain excess returns with higher risk-return preferences.

Grade funds hierarchical structure with its innovative design, favored by different investors in recent years. Following the UBS SDIC Redford grading, Changsheng Celebration grading SDIC Ruiyin Rui and CSI 300 grading Cathay assessment the value advantage grading Guolian An CSI 100 double Jubilee grading, Societe Generale stock classification Herun Yinhua Shenzhen 100 Index grading, Wells Fargo Advantage Bond grading, SYWG the Paris Shenzhengchengzhi grading, Dacheng King Fung Bond grading day Hong Tianli Bond grading, Prudential Securities 500 Index classification, Yinhua CSI weight 90 Index classification, the Castrol Lee Bond grading, Manulife TEDA the poly Lee Bond grading CCB double Lee strategic themes grading, the the ten thousand Termbray bonds grading rich countries the Tianying bonds grading such as classification of the Fund have been issued, the gradual increase in the number of grade funds in China, richer varieties, especially among the sub-fund revenue and The risk difference was more significant.

Second, the hierarchical classification of the Fund

Depending on the variability of the fund size, we can grade funds in the domestic market is divided into two categories, the first category is a closed-end fund, such funds in the duration of the investors can not purchase and redemption of fund shares in floor trading, we called the closed graded Fund, the other both in OTC purchase and redemption in the exchange-traded fund size can be increased or decreased, we called open-graded funds.

Depending on the fund investment object, we can grade funds into the classification of funds of the equity classification funds and bond. Equity classification of the Fund is the vast majority of fund of funds investing in stocks, it can be divided into active the stock grade funds and passive stock hierarchical classification of funds (index funds, by contrast, the index stocks grading Fund in operation more transparent, investors can arbitrage operations in accordance with the trend of the index being tracked, passive index funds tracking the index, less affected by human factors, the arbitrage investors manipulability higher bond grade funds most of the money to invest in bonds funds.

Third, the classification of the Fund pairing conversion

The classification of the Fund has been able to generate arbitrage space is based on the following two reasons: First, the classification of the Fund's share of low-risk and high-risk share trading in the securities market, the different share of the supply and demand relationship, these two types of share the conversion price and the net may appear large deviation, secondly, the open graded Fund, "pairing conversion" is important arbitrage mechanism, investors can be achieved in a short period of time the exchange market and over-the-counter market transactions, provides a possibility to operate as arbitrage.

The so-called "pairing converting" open-graded fund the venue share split and merge operations. The venue share of the spin-off, the venue share holders the foundation fund shares they hold in accordance with the two types of share proportion convention, split into a share of the share of low-risk and high-risk behavior. share merger of the venue, the venue share holders will hold its share of the low-risk and high-risk share merged into the underlying fund in accordance with the agreed proportion share behavior.

Affected by a variety of factors, grading fund share of low-risk and high-risk share prices in the stock market will happen many changes if the overall market capitalization of the two types of share-unit class fund (corresponding proportion of the market value of the share of low-risk beyond a certain percentage of the net share of the underlying fund and the market value of the share of high-risk, investors in the market to purchase the underlying fund share, and then split into the share of low-risk and high-risk share sold in the market, then the market price, will be able to obtain certain gains. contrary, if the underlying fund share of the net beyond a certain ratio of the two types of share of the overall market capitalization of the unit grade funds, investors can buy in the market share of low-risk and high-risk share of the corresponding proportion of the basis of the share of the Fund, and then merge ingredient level last redemption can get some income. therefore, the overall market capitalization and a larger share of the underlying fund net difference of the two types of share-unit class fund to provide investors with opportunities for arbitrage profits.

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Fourth grade funds arbitrage case

(A spin-off of arbitrage Case

The Yinhua the graded Fund share Yinhua Shenzhen 100 Yinhua steady advance and Yinhua sharp into three categories share, and through over-the-counter, the venue two ways public subscription, redemption, over-the-counter full share of the proceeds from the subscription will recognized as Yinhua Shenzhen 100 full share of the venue subscription proceeds according to a ratio of 1:1 was split into Yinhua steady advance and Yinhua Rui Jin. venue to buy Yinhua steady advance Yinhua Rui Jin share can be 1:1 ratio combined into the SZSE 300 basis share.

Yinhua steady advance fixed income, fixed income characteristics of mid-dividend income for the 1-year bank deposit rate for the same period (after tax +3%, the remaining net assets of all included Yinhua Rui Jin share. Yinhua Rui Jin extreme into the lever mechanism.

July 26th, 2010 the 100 graded Fund Yinhua Shenzhen net basis of share 1.039 yuan on Yinhua steady advance of the closing price of 1.03 yuan, Rui Jin Yinhua closing price of 1.100 yuan, of units graded fund two types of share overall market value of 1.065 (0.5 × 1.030 +0.5 × 1.100, compared to its underlying share of the net, there are 2.5% of arbitrage, net the fund purchase fee of 1.20% and 0.04% Yinhua steady advance and share Yinhua Rui Jin sold fee The four days of the investors can get 1.25% of low-risk arbitrage gains.

(B merger arbitrage Case

SDIC Ruiyin Rui and 300 grading fund shares, including the Swiss 300, Switzerland and the well-off with Sweden and vision three types of share, and through over-the-counter, the venue in two ways public subscription, redemption, the full share of the proceeds from the subscription of the over-the-counter will be recognized as Sweden and 300 from the full share of the venue subscription according to a ratio of 1:1 was split into Switzerland and the well-off, with the Swiss and vision venue to buy Swiss and well-off can also be Swiss and vision to share 1:1 the ratio of the merger into Sweden and 300 basic share.

Switzerland and the well-off with Sweden and vision calculation of the share of the net following principles: in within any functioning anniversary, the Swiss and 300 foundation fund shares, net of less than or equal to 1.000 yuan, Switzerland and the well-off share, Switzerland and vision share fund shares Swiss and 300 foundation fund shares, net of greater than 1.000 yuan, equal to the net, and fund share value is equal to the share of Swiss and 300, each Swiss and well-off share with each Swiss and vision share of 1.000 yuan net on the basis of less than 10% of the income part, by a Swiss and well-off share ratio of 8:2 with a Swiss and vision to share is divided into parts for more than 10% of revenue, a Swiss and well-off share copies of Swiss and vision to share is divided into a ratio of 2:8.

December 9, 2009, the net value of the underlying share in Sweden and 300 grade funds of 1.055 yuan. Switzerland and the well-off with Sweden and vision at the date the closing price of 0.927 yuan and 1.093 yuan, of units graded fund two types of share overall market value of 1.01 (0.5 × 0.927 +0.5 × 1.093. share of the overall market capitalization of the Swiss and 300 basis of the share of the net and the unit grade funds two types arbitrage of 4.46%, net of Swiss and well-off, and Switzerland and vision share buy 0.04% commission and 0.5% of fund redemption fees, investors in the six working days to obtain a gain of 3.92%.

, Grading fund arbitrage recommended

1. Closed grade funds purchase and redemption in a closed period, the Fund for the duration of the open-graded free subscription and redemption, so that only the varieties of open-graded funds paired conversion of arbitrage opportunities .

2 It should be noted arbitrage risk. The above two cases, we assume that the short-term stability of the share price and the share of the underlying fund net arbitrage operations will generate a loss if the share price and fund net short-term fell sharply, in the case of the securities market is stable or rise expected securities market arbitrage give benefits to investors.

[Keywords] study, arbitrage, fund, grading,


Customers for large funds, is inversely proportional to its subscription rates and the purchase amount, the greater the purchase amount lower subscription rates, so the big money customers can to greater arbitrage and margin of safety.

References:

Grade funds reproduction arbitrage opportunities.

How to use the classification funds and stock index futures arbitrage.

Clear up doubts: Grading fund large inventory of China Securities News - Zhongzheng

4. Grade funds or into a trend. Desheng Ji Jin Research Center.

5. UBS SDIC Fund Management Company's website.

6. The Yinhua Fund management company website.

7. The Societe global management company website.

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