Reaearch On Graded Fund's Operating Mechanism And Arbitrage Strategy

The graded fund refers to the traditional fund according to the redistribution of income and risk, the basis share divided into the preference share of lower risk and the aggressive share of higher risk, to meet the different risk preferences of investors more sophisticated investment demand. Since 2007, both the quantity and scale of the domestic graded fund market have been significantly improved, and it is widely favored by investors. But in the period from 2014 to 2015 the crow bear rapid reversal, investors experienced a sense of heaven and hell, market's irrational slumping and enterprising share's lever attribute are still the solid reasons for investors suffering heavy losses, the product defects and investor's education also require a profound reflection of the market and regulatory agencies.As a leveraged investment tool, The graded fund isn't without its advantages or disadvantages. This paper attempts to use the detailed classification of fund products' development at home and abroad, classification and operation mechanism, and arbitrage strategy, fundamentally guiding investor's correct cognition of the graded fund, providing reference to the investors for making reasonable investment or arbitrage operation. This paper focuses on the graded fund's arbitrage strategies by analyzing the overall graded fund discount or premium grade in conjunction with some matching conversion mechanism,providing a mechanistic pathways of the overall discount or premium arbitrage. In the overall discount or premium arbitrage, the graded arbitrage fund subject selection, arbitrage costs are analyzed by using scenario analysis to conduct a comprehensive combing of the graded fund's overall discount or premium flow, and based on the graded fund with the corresponding index futures Underlying Index the correlation coefficient between the calculated number of stock index futures contracts to hedge the risk of sheets required for stock index futures to hedge transactions; subsequently the paper lists an example of RuiHer CSI 300 graded fund to analyze the graded funds leveraged arbitrage strategy by the fund' unique rating income distribution deriving its aggressive share net leverage, to build the "RuiHer vision +0.4 times short index futures contracts to hedge arbitrage portfolio and illustrates the punch arbitrage entire process. Both arbitrage hedge fund classification analysis results show that although it may be because the arbitrage profit loss and decline in the futures market, but it does reduce the systemic risk investors hold enough cash in the face arbitrage process.