| As an innovation in China’s fund industry, structured fund has been in existencefor seven years. However, its operating mechanism and marketing have beencomprehended in recent years. It has been widely accepted by the investors forredistributing the risk and return between tow sub-funds. Also, its special tradingmechanism leads to the price deviation between the sub-fund trading in the secondarymarket, and the parent fund subscripting and redeeming though the fund company.This article will use the phenomenon to present an arbitrage strategy and verify itbased on quantitative methods.This article mainly makes a simple judgment and forecast of the developmenttrend of domestic fund industry, according to the development process of the foreignone. It also analyses the probable opportunities of arbitrage and offers feasiblestrategies from the structure of structured funds, the mechanism of subscription andredemption and the unique starting point of the structured funds. The article presentsthe prerequisite of the strategy, based on which it makes a preliminary screening of allthe structured funds in the market. And then, it uses the high frequency position datato calculate the fixed costs, impact costs and waiting costs. At last, it uses the highfrequency data of the recent year to backtest the arbitrage strategy and concludes themajor factors which affect the return rate of the arbitrage strategy. In combinationwith the greatest value of backtesting, profit and loss ratio, winning percentage andother factors, an optimum range of profit and risk are obtained on this basis.Although some articles have introduced and conducted some research of thestructured funds, they haven’t put impact costs, waiting costs and market capacity intoconsideration. Meanwhile, these studies only confined in a classification of a fund.The main innovation of this paper is to consider possible market factors as much aspossible and make arbitrage among multiple structured funds that satisfied certainconditions. |
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