A Case On Arbitrage Strategy Of Penghua CSI 800 Real Estate Grading Fund

China's financial market development is very fast, the formation of the scale is also growing, more and more varieties of transactions, all kinds of financial products also have their own characteristics,in a number of investment vehicles,the development of fund products worthy of attention , But the Fund in the development process has also appeared bottlenecks, the development of relatively slow, investors on this structured financial products are not much understanding,grading funds is in this environment came into being structured financial investment tools,Compared to closed financial investment products, is an innovative investment tool, with low risk and can get a fixed income characteristics, which meet the risk of aversion to investors, on the other hand a leveraged features, which also meet the preferences High risk of high-income investors,suitable for risk and profit differentiation needs of the participants, but also the trend of market development, favored by the majority of participantsThis article starts from the most basic aspects of the classification fund, the classification of the classification fund and the classification of the classification fund and the development history of the classification fund and the current development status.On the basis of this study,we make a deeper exploration of the grading fund, from the three categories of the classification fund, the conversion mechanism, the discounted arbitrage strategy and so on, respectively, based on the hierarchical structured products in-depth understanding, We selected Peng Huazhong CSI 800 Real Estate Grading Fund as a sample fund to explore the arbitrage strategy, combined with the real historical transaction data to simulate the process of arbitrage transactions, in the simulation process we have to consider the existence of various transaction risks and transaction costs,and finally Found that the existence of discounts on the fund market opportunities to more than the premium situation,the success of the opportunity should be more than the premium situation, therefore, in the latter part of the study we need more attention to discount premium arbitrage strategy, this article also pairing conversion Mechanism has been explained and used in the operation of arbitrage activities, paired conversion combined with discount premium can get very good results in the future research we have to hedge fund arbitrage strategy to do more in-depth exploration of the fund market Development play a catalytic role.